Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated:

	December 31, 2022								December 31, 2021
	Fair Value		Level 1		Level 2		Level 3		Fair Value		Level 1		Level 2		Level 3
Assets carried at fair value:
MBS	$	3,112,705	$	—	$	3,112,553	$	152	$	3,181,839	$	—	$	3,181,041	$	798
Mortgage loans held for investment	2,617		—		—		2,617		4,268		—		—		4,268
Derivative assets:
Options on U.S. Treasury futures	$	5,859	$	5,859	$	—	$	—	$	—	$	—	$	—	$	—
Interest rate swaptions	—		—		—		—		3,202		—		3,202		—
TBA securities-long position	1,243		—		1,243		—		4,767		—		4,767		—
Total assets carried at fair value	$	3,122,424	$	5,859	$	3,113,796	$	2,769	$	3,194,076	$	—	$	3,189,010	$	5,066
Liabilities carried at fair value:
TBA securities-long position	$	22,595	$	—	$	22,595	$	—	$	—	$	—	$	—	$	—
Total liabilities carried at fair value	$	22,595	$	—	$	22,595	$	—	$	—	$	—	$	—	$	—

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The activity of the Company’s Level 3 assets during the year ended December 31, 2022 is presented in the following table:

	Year Ended
	December 31, 2022
	Other Non-Agency MBS		Mortgage Loans
Balance as of beginning of period	$	798	$	4,268
Change in fair value (1)	(78)		13
Principal payments	(757)		(1,646)
Accretion (amortization)	189		(18)
Balance as of end of period	$	152	$	2,617

(1) Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income.”