Investments in Debt Securities Investments in Debt Securities (Tables)

12 Months Ended

Dec. 31, 2020

Investments, Debt and Equity Securities [Abstract]

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

The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s MBS by investment type (including securities pending settlement) as of the dates indicated:

	December 31, 2020
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	1,839,046	$	57,997	$	1,897,043	$	49,348	$	—	$	1,946,391
Agency CMBS	235,801		3,152		238,953		19,597		—		258,550
CMBS IO (1)	—		378,940		378,940		12,081		(982)		390,039
Non-Agency other	1,499		(440)		1,059		267		(51)		1,275
Total MBS:	$	2,076,346	$	439,649	$	2,515,995	$	81,293	$	(1,033)	$	2,596,255

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520 respectively, as of December 31, 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 (loss) on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:

	Year Ended
	December 31,
	2020				2019				2018
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)
Agency RMBS	$	2,395,032	$	82,689	$	796,699	$	506	$	217,837	$	(7,785)
Agency CMBS	2,247,273		225,395		213,199		(6,493)		242,029		(9,218)
Agency CMBS IO	—		—		23,168		232		15,700		146
Non-Agency CMBS IO	—		—		—		—		8,695		51
U.S. Treasuries	—		—		—		—		248,803		(6,567)
	$	4,642,305	$	308,084	$	1,033,066	$	(5,755)	$	733,064	$	(23,373)

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, 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	$	19,266	$	(399)	19	$	215,792	$	(1,139)	27
Non-Agency MBS	33,417		(408)		23	13,607		(146)		7
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	749	$	(133)	2	$	75,745	$	(35)	2
Non-Agency MBS	2,156		(93)		5	1,099		(31)		5