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Investments in RMBS, Assets by Maturity (Details)
$ in Thousands
6 Months Ended 12 Months Ended
Jun. 30, 2021
USD ($)
Security
Dec. 31, 2020
USD ($)
Security
RMBS, Assets by Maturity [Abstract]    
Carrying value $ 998,799 $ 1,228,251
RMBS [Member]    
RMBS, Assets by Maturity [Abstract]    
Original face value 1,225,005 1,411,705
Book value 984,441 1,192,539
Gross unrealized gains 18,181 35,833
Gross unrealized losses (3,823) (121)
Carrying value [1] $ 998,799 $ 1,228,251
Number of securities | Security 119 135
Weighted average coupon 3.07% 3.18%
Weighted average yield [2] 2.94% 3.05%
Weighted average maturity 28 years 28 years
RMBS [Member] | Over 10 Years [Member]    
RMBS, Assets by Maturity [Abstract]    
Original face value $ 1,225,005 $ 1,411,705
Book value 984,441 1,192,539
Gross unrealized gains 18,181 35,833
Gross unrealized losses (3,823) (121)
Carrying value [1],[3] $ 998,799 $ 1,228,251
Number of securities | Security 119 135
Weighted average coupon 3.07% 3.18%
Weighted average yield [2] 2.94% 3.05%
Weighted average maturity 28 years 28 years
[1] See Note 9 regarding the estimation of fair value, which approximates carrying value for all securities.
[2] The weighted average yield is based on the most recent gross monthly interest income, which is then annualized and divided by the book value of settled securities.
[3] The Company used an implied AAA rating for the Agency RMBS. The Company’s private label RMBS are rated investment grade or better by at least one NRSRO as of December 31, 2020.