Schedule of Notional Amounts of Derivative Positions (Details) - USD ($)
|
3 Months Ended |
6 Months Ended |
Jun. 30, 2023 |
Jun. 30, 2022 |
Jun. 30, 2023 |
Jun. 30, 2022 |
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
$ 2,725,042,000
|
$ 10,850,144,000
|
$ 14,149,933,000
|
$ 36,295,849,000
|
| Settlement, Termination, Expiration or Exercise |
(2,506,743,000)
|
(26,750,332,000)
|
5,496,769,000
|
(50,477,623,000)
|
| Realized Gain (Loss), net |
(37,476,000)
|
140,712,000
|
(144,408,000)
|
(110,195,000)
|
| Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
0
|
0
|
| Settlement, Termination, Expiration or Exercise |
(8,543,000)
|
(14,367,000)
|
(16,914,000)
|
(29,250,000)
|
| Realized Gain (Loss), net |
0
|
(1,875,000)
|
0
|
(3,640,000)
|
| Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
572,842,000
|
6,653,204,000
|
10,565,783,000
|
17,445,009,000
|
| Settlement, Termination, Expiration or Exercise |
0
|
(16,102,515,000)
|
(1,588,069,000)
|
(22,981,973,000)
|
| Realized Gain (Loss), net |
0
|
219,025,000
|
(18,580,000)
|
162,761,000
|
| Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
0
|
0
|
(200,000,000)
|
(1,000,000,000)
|
| Settlement, Termination, Expiration or Exercise |
0
|
1,081,000,000
|
0
|
1,081,000,000
|
| Realized Gain (Loss), net |
0
|
27,186,000
|
0
|
27,186,000
|
| TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
11,120,000,000
|
21,697,000,000
|
25,786,000,000
|
42,215,000,000
|
| Settlement, Termination, Expiration or Exercise |
(11,787,000,000)
|
(20,002,000,000)
|
(26,561,000,000)
|
(40,014,000,000)
|
| Realized Gain (Loss), net |
(17,375,000)
|
(103,893,000)
|
(105,858,000)
|
(294,658,000)
|
| Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
(8,967,800,000)
|
(17,500,060,000)
|
(22,001,850,000)
|
(22,366,160,000)
|
| Settlement, Termination, Expiration or Exercise |
9,288,800,000
|
8,289,550,000
|
33,662,752,000
|
11,468,600,000
|
| Realized Gain (Loss), net |
(20,101,000)
|
2,493,000
|
(19,970,000)
|
380,000
|
| Options on Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Additions |
|
0
|
|
2,000,000
|
| Settlement, Termination, Expiration or Exercise |
|
(2,000,000)
|
|
(2,000,000)
|
| Realized Gain (Loss), net |
|
(2,224,000)
|
|
(2,224,000)
|
| Net Long Position [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
5,165,407,000
|
18,878,215,000
|
|
17,159,801,000
|
| End of Period Notional Amount |
5,383,706,000
|
2,978,027,000
|
5,383,706,000
|
2,978,027,000
|
| Average Notional Amount |
5,423,378,000
|
9,067,363,000
|
|
13,409,480,000
|
| Net Long Position [Member] | Inverse Interest-Only Securities [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
188,085,000
|
232,218,000
|
196,456,000
|
247,101,000
|
| End of Period Notional Amount |
179,542,000
|
217,851,000
|
179,542,000
|
217,851,000
|
| Average Notional Amount |
184,122,000
|
225,537,000
|
188,401,000
|
232,750,000
|
| Net Long Position [Member] | Interest Rate Swap [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
8,404,872,000
|
24,299,647,000
|
0
|
20,387,300,000
|
| End of Period Notional Amount |
8,977,714,000
|
14,850,336,000
|
8,977,714,000
|
14,850,336,000
|
| Average Notional Amount |
8,493,858,000
|
20,461,467,000
|
5,860,046,000
|
22,478,619,000
|
| Net Long Position [Member] | TBAs [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
3,718,000,000
|
4,622,000,000
|
3,826,000,000
|
4,116,000,000
|
| End of Period Notional Amount |
3,051,000,000
|
6,317,000,000
|
3,051,000,000
|
6,317,000,000
|
| Average Notional Amount |
3,411,198,000
|
5,568,560,000
|
3,740,503,000
|
4,595,387,000
|
| Net Long Position [Member] | Options on Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
2,000,000
|
|
0
|
| End of Period Notional Amount |
|
0
|
|
0
|
| Average Notional Amount |
|
1,055,000
|
|
840,000
|
| Net Short Position [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
|
|
14,262,996,000
|
|
| Average Notional Amount |
|
|
1,315,332,000
|
|
| Net Short Position [Member] | Interest Rate Swaption [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
200,000,000
|
2,761,000,000
|
0
|
1,761,000,000
|
| End of Period Notional Amount |
200,000,000
|
1,680,000,000
|
200,000,000
|
1,680,000,000
|
| Average Notional Amount |
200,000,000
|
1,901,286,000
|
129,282,000
|
2,071,862,000
|
| Net Short Position [Member] | Futures [Member] |
|
|
|
|
| Derivative, Notional Amount [Roll Forward] |
|
|
|
|
| Beginning of Period Notional Amount |
6,945,550,000
|
7,516,650,000
|
18,285,452,000
|
5,829,600,000
|
| End of Period Notional Amount |
6,624,550,000
|
16,727,160,000
|
6,624,550,000
|
16,727,160,000
|
| Average Notional Amount |
$ 6,465,800,000
|
$ 15,287,970,000
|
$ 10,975,000,000
|
$ 11,826,254,000
|