XML 137 R72.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($)
Dec. 31, 2019
Dec. 31, 2018
Dec. 31, 2017
Notional Disclosures [Abstract]      
Derivative, Notional Amount $ 49,205,497,000 $ 36,528,169,000 $ 31,226,878,000
Inverse Interest-Only Securities [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 69,469,000 70,813,000  
Interest Rate Cap [Member]      
Notional Disclosures [Abstract]      
Derivative, Notional Amount   2,500,000,000 $ 0
Short US Treasuries [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   781,500,000  
U.S. Treasury Futures [Member]      
Notional Disclosures [Abstract]      
Derivative, Notional Amount 380,000,000.0    
Markit IOS Total Return Swap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 29,000 383,000  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 41,890,000 48,265,000  
Derivative Financial Instruments, Assets [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 188,051,000 319,981,000  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 14,343,137,000 36,258,904,000  
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member]      
Notional Disclosures [Abstract]      
Derivative, Notional Amount 397,137,000 476,299,000  
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 102,268,000 187,231,000  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 2,725,000,000 26,798,605,000  
Derivative Financial Instruments, Assets [Member] | Interest Rate Cap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   40,335,000  
Notional Disclosures [Abstract]      
Derivative, Notional Amount   2,500,000,000  
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 7,801,000 0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 1,257,000,000 0  
Derivative Financial Instruments, Assets [Member] | TBAs [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 8,011,000 21,602,000  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 9,584,000,000 6,484,000,000  
Derivative Financial Instruments, Assets [Member] | Put and Call Options for TBAs [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount   0  
Derivative Financial Instruments, Assets [Member] | Short US Treasuries [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount   0  
Derivative Financial Instruments, Assets [Member] | U.S. Treasury Futures [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 502,000    
Notional Disclosures [Abstract]      
Derivative, Notional Amount 380,000,000    
Derivative Financial Instruments, Assets [Member] | Markit IOS Total Return Swap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 0 0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 0 0  
Derivative Financial Instruments, Liabilities [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value (6,740,000) (820,590,000)  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 34,862,360,000 5,403,265,000  
Derivative Financial Instruments, Liabilities [Member] | Inverse Interest-Only Securities [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 0 0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 0 0  
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 0 0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 36,977,470,000 2,725,000,000  
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Cap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount   0  
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 0 (13,456,000)  
Notional Disclosures [Abstract]      
Derivative, Notional Amount 0 63,000,000  
Derivative Financial Instruments, Liabilities [Member] | TBAs [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value (6,711,000) 0  
Notional Disclosures [Abstract]      
Derivative, Notional Amount (2,157,000,000) 0  
Derivative Financial Instruments, Liabilities [Member] | Put and Call Options for TBAs [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   (25,296,000)  
Notional Disclosures [Abstract]      
Derivative, Notional Amount   1,767,000,000  
Derivative Financial Instruments, Liabilities [Member] | Short US Treasuries [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value   (781,455,000)  
Notional Disclosures [Abstract]      
Derivative, Notional Amount   800,000,000.0  
Derivative Financial Instruments, Liabilities [Member] | U.S. Treasury Futures [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value 0    
Notional Disclosures [Abstract]      
Derivative, Notional Amount 0    
Derivative Financial Instruments, Liabilities [Member] | Markit IOS Total Return Swap [Member]      
Derivative, Fair Value, Net [Abstract]      
Fair Value (29,000) (383,000)  
Notional Disclosures [Abstract]      
Derivative, Notional Amount $ 41,890,000 $ 48,265,000