Investments in Debt Securities Investments in Debt Securities (Tables)

12 Months Ended

Dec. 31, 2019

Investments, Debt and Equity Securities [Abstract]

Debt Securities, Available-for-sale [Table Text Block]

The following tables present the Company’s debt securities by investment type (including securities pending settlement) as of the dates indicated:

	December 31, 2019
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value		WAC (1)
RMBS:
Agency	$	2,563,684	$	55,770	$	2,619,454	$	69,082	$	(462)	$	2,688,074	3.76	%
Non-Agency	655		—		655		29		(20)		664		6.75	%
	2,564,339		55,770		2,620,109		69,111		(482)		2,688,738
CMBS:
Agency	1,890,186		15,414		1,905,600		93,763		(6)		1,999,357		3.30	%
Non-Agency	1,283		(780)		503		523		—		1,026		7.06	%
	1,891,469		14,634		1,906,103		94,286		(6)		2,000,383
CMBS IO (2):
Agency	—		298,900		298,900		7,431		(706)		305,625		0.65	%
Non-Agency	—		189,245		189,245		4,329		(157)		193,417		0.62	%
	—		488,145		488,145		11,760		(863)		499,042
Total MBS:	$	4,455,808	$	558,549	$	5,014,357	$	175,157	$	(1,351)	$	5,188,163

(1) The weighted average coupon (“WAC”) is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).

(2) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $13,404,824 and $9,799,629 respectively, as of December 31, 2019.

	December 31, 2018
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value		WAC (1)
RMBS:
Agency	$	2,118,639	$	56,744	$	2,175,383	$	8,902	$	(26,264)	$	2,158,021	3.95	%
Non-Agency	856		—		856		24		(22)		858		6.75	%
	2,119,495		56,744		2,176,239		8,926		(26,286)		2,158,879
CMBS:
Agency	1,071,906		8,518		1,080,424		6,141		(29,550)		1,057,015		3.22	%
Non-Agency	3,040		(2,037)		1,003		413		—		1,416		6.47	%
	1,074,946		6,481		1,081,427		6,554		(29,550)		1,058,431
CMBS IO (2):
Agency	—		287,062		287,062		4,281		(239)		291,104		0.55	%
Non-Agency	—		240,681		240,681		1,675		(1,306)		241,050		0.57	%
	—		527,743		527,743		5,956		(1,545)		532,154
Total MBS:	$	3,194,441	$	590,968	$	3,785,409	$	21,436	$	(57,381)	$	3,749,464

(1) The WAC is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).

(2) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,048,666 and $10,275,494, respectively, as of December 31, 2018.

Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities.

Schedule of Realized Gain (Loss) [Table Text Block]

The following table presents information regarding the "loss on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:

	Year Ended
	December 31,
	2019				2018				2017
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)
Agency RMBS	$	796,699	$	506	$	217,837	$	(7,785)	$	716,560	$	(12,392)
Agency CMBS	213,199		(6,493)		242,029		(9,218)		252,624		(135)
Agency CMBS IO	23,168		232		15,700		146		—		—
Non-Agency RMBS	—		—		—		—		16,407		42
Non-Agency CMBS	—		—		—		—		35,705		1,199
Non-Agency CMBS IO	—		—		8,695		51		—		—
U.S. Treasuries	—		—		248,803		(6,567)		51,797		(244)
	$	1,033,066	$	(5,755)	$	733,064	$	(23,373)	$	1,073,093	$	(11,530)

Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block]

The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:

	December 31, 2019					December 31, 2018
	Fair Value		Gross Unrealized Losses		# of Securities	Fair Value		Gross Unrealized Losses		# of Securities
Continuous unrealized loss position for less than 12 months:
Agency MBS	$	215,792	$	(1,139)	27	$	581,440	$	(1,793)	28
Non-Agency MBS	13,607		(146)		7	70,876		(581)		22
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	75,745	$	(35)	2	$	1,543,892	$	(54,260)	88
Non-Agency MBS	1,099		(31)		5	46,154		(747)		19