XML 76 R65.htm IDEA: XBRL DOCUMENT v3.20.2
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($)
Jun. 30, 2020
Mar. 31, 2020
Dec. 31, 2019
Jun. 30, 2019
Mar. 31, 2019
Dec. 31, 2018
Notional Disclosures [Abstract]            
Derivative, Notional Amount $ 8,076,933,000 $ 60,549,307,000 $ 48,445,497,000 $ 55,549,424,000 $ 58,777,783,000 $ 36,528,169,000
Inverse Interest-Only Securities [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value 72,822,000   69,469,000      
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      
Notional Disclosures [Abstract]            
Derivative, Notional Amount     41,890,000      
Derivative Financial Instruments, Assets [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value 110,527,000   188,051,000      
Notional Disclosures [Abstract]            
Derivative, Notional Amount 2,397,933,000   14,343,137,000      
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member]            
Notional Disclosures [Abstract]            
Derivative, Notional Amount 361,933,000   397,137,000      
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value 0   102,268,000      
Notional Disclosures [Abstract]            
Derivative, Notional Amount 0   2,725,000,000      
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value     7,801,000      
Notional Disclosures [Abstract]            
Derivative, Notional Amount     1,257,000,000      
Derivative Financial Instruments, Assets [Member] | TBAs [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value 37,705,000   8,011,000      
Notional Disclosures [Abstract]            
Derivative, Notional Amount 2,036,000,000   9,584,000,000      
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      
Notional Disclosures [Abstract]            
Derivative, Notional Amount     0      
Derivative Financial Instruments, Liabilities [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value (1,298,000)   (6,740,000)      
Notional Disclosures [Abstract]            
Derivative, Notional Amount 5,679,000,000   34,862,360,000      
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 4,479,000,000   36,977,470,000      
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value     0      
Notional Disclosures [Abstract]            
Derivative, Notional Amount     0      
Derivative Financial Instruments, Liabilities [Member] | TBAs [Member]            
Derivative, Fair Value, Net [Abstract]            
Fair Value (1,298,000)   (6,711,000)      
Notional Disclosures [Abstract]            
Derivative, Notional Amount $ 1,200,000,000   2,157,000,000      
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)      
Notional Disclosures [Abstract]            
Derivative, Notional Amount     $ 41,890,000