Mortgage-Backed Securities (Tables)

3 Months Ended

Mar. 31, 2021

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 as of the dates indicated:

	March 31, 2021
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
MBS designated as AFS:
Par value	$	1,651,864	$	234,091	$	—	$	1,354	$	1,887,309
Unamortized premium (discount)	55,118		2,975		352,655		(370)		410,378
Amortized cost	1,706,982		237,066		352,655		984		2,297,687
Gross unrealized gain	13,646		12,551		14,200		202		40,599
Gross unrealized loss	(24,473)		—		(979)		(43)		(25,495)
Fair value	1,696,155		249,617		365,876		1,143		2,312,791
MBS measured at fair value through net income:
Par value	$	67,692	$	—	$	—	$	—	$	67,692
Unamortized premium (discount)	850		—		—		—		850
Amortized cost	68,542		—		—		—		68,542
Gross unrealized gain	—		—		—		—		—
Gross unrealized loss	(960)		—		—		—		(960)
Fair value	67,582		—		—		—		67,582
Total as of March 31, 2021	$	1,763,737	$	249,617	$	365,876	$	1,143	$	2,380,373

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $11,097,619 and $9,209,025 respectively, as of March 31, 2021.

	December 31, 2020
	Agency RMBS		Agency CMBS		CMBS IO (1)		Non-Agency Other		Total
MBS designated as AFS:
Par value	$	1,839,046	$	235,801	$	—	$	1,499	$	2,076,346
Unamortized premium (discount)	57,997		3,152		378,940		(440)		439,649
Amortized cost	1,897,043		238,953		378,940		1,059		2,515,995
Gross unrealized gain	49,348		19,597		12,081		267		81,293
Gross unrealized loss	—		—		(982)		(51)		(1,033)
Fair value	1,946,391		258,550		390,039		1,275		2,596,255
MBS measured at fair value through net income:
Par value	$	—	$	—	$	—	$	—	$	—
Unamortized premium (discount)	—		—		—		—		—
Amortized cost	—		—		—		—		—
Gross unrealized gain	—		—		—		—		—
Gross unrealized loss	—		—		—		—		—
Fair value	—		—		—		—		—
Total as of December 31, 2020	$	1,946,391	$	258,550	$	390,039	$	1,275	$	2,596,255

(1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020.

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
	March 31,
	2021				2020
	Proceeds Received		Realized Gain		Proceeds Received		Realized Gain
Agency RMBS-designated as AFS	$	74,829	$	4,697	$	1,817,350	$	64,094
Agency CMBS-designated as AFS	—		—		173,684		20,689
	$	74,829	$	4,697	$	1,991,034	$	84,783

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:

	March 31, 2021					December 31, 2020
	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	$	1,446,354	$	(25,019)	32	$	19,266	$	(399)	19
Non-Agency MBS	5,221		(111)		5	33,417		(408)		23
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	846	$	(224)	5	$	749	$	(133)	2
Non-Agency MBS	5,029		(140)		8	2,156		(93)		5