Investments in Debt Securities Investments in Debt Securities (Tables)

6 Months Ended

Jun. 30, 2020

Investments, Debt and Equity Securities [Abstract]

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

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

	June 30, 2020
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	2,248,752	$	67,589	$	2,316,341	$	40,465	$	—	$	2,356,806
Agency CMBS	655,935		6,518		662,453		39,507		(1)		701,959
CMBS IO (1)	—		435,271		435,271		5,731		(4,332)		436,670
Non-Agency other	1,732		(600)		1,132		403		(45)		1,490
Total MBS:	$	2,906,419	$	508,778	$	3,415,197	$	86,106	$	(4,378)	$	3,496,925

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $13,007,113 and $9,577,721 respectively, as of June 30, 2020.

	December 31, 2019
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	2,563,684	$	55,770	$	2,619,454	$	69,082	$	(462)	$	2,688,074
Agency CMBS	1,890,186		15,414		1,905,600		93,763		(6)		1,999,357
CMBS IO (1)	—		488,145		488,145		11,760		(863)		499,042
Non-Agency other	1,938		(780)		1,158		552		(20)		1,690
Total MBS:	$	4,455,808	$	558,549	$	5,014,357	$	175,157	$	(1,351)	$	5,188,163

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

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

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

	Three Months Ended								Six Months Ended
	June 30,								June 30,
	2020				2019				2020				2019
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)
Agency RMBS	$	371,106	$	11,729	$	205,493	$	(3,953)	$	2,188,456	$	75,823	$	205,493	$	(3,953)
Agency CMBS	2,020,228		181,370		213,198		(6,493)		2,193,912		202,059		213,198		(6,493)
Agency CMBS IO	—		—		13,861		86		—		—		13,861		86
	$	2,391,334	$	193,099	$	432,552	$	(10,360)	$	4,382,368	$	277,882	$	432,552	$	(10,360)

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:

	June 30, 2020					December 31, 2019
	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	$	87,603	$	(2,304)	26	$	215,792	$	(1,139)	27
Non-Agency MBS	98,246		(1,926)		47	13,607		(146)		7
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	1,225	$	(128)	3	$	75,745	$	(35)	2
Non-Agency MBS	107		(20)		4	1,099		(31)		5