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Derivative Instruments - Gain or Loss (Details) - USD ($)
$ in Thousands
3 Months Ended 6 Months Ended
Jun. 30, 2022
Jun. 30, 2021
Jun. 30, 2022
Jun. 30, 2021
Amounts recognized on the statements of operations related to the Company's derivatives        
Return (Recovery) of Basis     $ 157 $ 8
Total $ 4,781 $ 175 11,717 201
Derivative instruments not accounted as hedges under GAAP        
Amounts recognized on the statements of operations related to the Company's derivatives        
Other Settlements / Expirations 748 16 763  
Variation Margin Settlement 5,781 35 11,321  
Return (Recovery) of Basis (43) (79) (115)  
Mark-to-Market (1,498) 25 157  
Contractual interest income (expense), net (207) 178 (409)  
Total 4,781 175 11,717  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP        
Amounts recognized on the statements of operations related to the Company's derivatives        
Other Settlements / Expirations 0 0 0 0
Variation Margin Settlement 5,781 35 11,321 35
Return (Recovery) of Basis 0 0 0 0
Mark-to-Market (671) 46 (1,120) 46
Contractual interest income (expense), net (262) 76 (553) 76
Total 4,848 157 9,648 157
Interest-Only Strips— accounted for as derivatives | Derivative instruments not accounted as hedges under GAAP        
Amounts recognized on the statements of operations related to the Company's derivatives        
Other Settlements / Expirations 0 0 0 0
Variation Margin Settlement 0 0 0 0
Return (Recovery) of Basis (43) (79) (115) (173)
Mark-to-Market (107) (34) (216) (34)
Contractual interest income (expense), net 55 102 144 223
Total (95) (11) (187) 16
Credit default swaps | Derivative instruments not accounted as hedges under GAAP        
Amounts recognized on the statements of operations related to the Company's derivatives        
Other Settlements / Expirations 16 16 31 32
Variation Margin Settlement 0 0 0 0
Return (Recovery) of Basis 0 0 0 0
Mark-to-Market (2,103) 13 110 (4)
Contractual interest income (expense), net 0 0 0 0
Total (2,087) $ 29 141 28
TBAs | Derivative instruments not accounted as hedges under GAAP        
Amounts recognized on the statements of operations related to the Company's derivatives        
Other Settlements / Expirations 732   732 32
Variation Margin Settlement 0   0 35
Return (Recovery) of Basis 0   0 (173)
Mark-to-Market 1,383   1,383 8
Contractual interest income (expense), net 0   0 299
Total $ 2,115   $ 2,115 $ 201