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Securities, at Fair Value - Interest Income (Details) - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2021
Dec. 31, 2020
Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]      
Interest income $ 56,690 $ 90,094 $ 327,201
Agency MBS      
Debt Securities, Available-for-sale [Line Items]      
Coupon interest 0 14,038 82,446
Effective yield adjustment 0 (5,186) (26,545)
Interest income 0 8,852 55,901
Legacy Non-Agency MBS      
Debt Securities, Available-for-sale [Line Items]      
Coupon interest 14 18,263 87,024
Effective yield adjustment 670 10,565 59,622
Interest income 684 28,828 146,646
Accretion income 670   14,500
RPL/NPL MBS      
Debt Securities, Available-for-sale [Line Items]      
Coupon interest 373 8,376 53,086
Effective yield adjustment 8,136 560 338
Interest income 8,509 8,936 53,424
Accretion income 8,100   329
CRT securities      
Debt Securities, Available-for-sale [Line Items]      
Coupon interest 3,690 7,010 20,532
Effective yield adjustment 4,459 511 (1,949)
Interest income 8,149 7,521 18,583
MSR related assets      
Debt Securities, Available-for-sale [Line Items]      
Coupon interest 7,462 25,970 52,644
Effective yield adjustment 31,886 9,987 3
Interest income 39,348 $ 35,957 $ 52,647
Accretion income $ 20,500