Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

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:

	March 31, 2023								December 31, 2022
	Fair Value		Level 1		Level 2		Level 3		Fair Value		Level 1		Level 2		Level 3
Assets carried at fair value:
MBS	$	3,296,784	$	—	$	3,296,648	$	136	$	3,112,705	$	—	$	3,112,553	$	152
Derivative assets:
Options on U.S. Treasury futures	1,680		1,680		—		—		5,859		5,859		—		—
TBA securities-long position	35,499		—		35,499		—		1,243		—		1,243		—
Total assets carried at fair value	$	3,333,963	$	1,680	$	3,332,147	$	136	$	3,119,807	$	5,859	$	3,113,796	$	152
Liabilities carried at fair value:
TBA securities-long position	$	—	$	—	$	—	$	—	$	22,595	$	—	$	22,595	$	—
Total liabilities carried at fair value	$	—	$	—	$	—	$	—	$	22,595	$	—	$	22,595	$	—