Income Taxes (Tables)

9 Months Ended

Sep. 30, 2020

Income Tax Disclosure [Abstract]

Schedule of Effective Income Tax Rate Reconciliation

The following table reconciles our GAAP net income (loss) to estimated REIT taxable income (loss) for the three and nine months ended September 30, 2020 and September 30, 2019. 

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2020		2019		2020		2019
GAAP net income (loss)	$	58,386	$	(60,955)	$	(296,525)	$	(358,586)
Book to tax differences:
TRS (income) loss	145		(27)		76		(180)
Premium amortization expense	(103)		—		(183)		—
Agency Securities, trading	(12,149)		—		(20,060)		—
Credit Risk and Non-Agency Securities	6,510		10,051		188,075		25,973
Interest-Only Securities	—		—		—		85
U.S. Treasury Securities	—		736		(21,357)		(2,024)
Changes in interest rate contracts	(29,199)		88,733		334,312		442,554
Credit loss expense	—		—		1,012		—
Gain on Security Sales	(9,468)		(4,569)		(138,802)		(1,615)
Amortization of deferred hedging costs	(45,458)		(20,817)		(106,618)		(49,868)
Series B Cumulative Preferred Stock dividend - Called for redemption	—		—		1,375		—
Other	561		2		1,032		11
Estimated REIT taxable income (loss)	$	(30,775)	$	13,154	$	(57,663)	$	56,350

Summary of Tax Credit Carryforwards

Net capital losses realized	Amount		Available to offset capital gains through
2015	$	(5,182)	2020
2016	$	(31,204)	2021
2017	$	(7,375)	2022
2018	$	(216,634)	2023