XML 43 R32.htm IDEA: XBRL DOCUMENT v3.20.2
Valuation Schedule of Fair Value Measurements (Details) - USD ($)
$ in Thousands
Jun. 30, 2020
Dec. 31, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value $ 3,115 $ 4,180
Financial derivatives–liabilities, at fair value (12,144) (2,047)
Fair Value, Recurring [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 3,115 4,180
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value 1,157,573 1,405,958
Financial derivatives–liabilities, at fair value (12,144) (2,047)
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value (12,144) (4,117)
Fair Value, Recurring [Member] | TBA securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 2,271 122
Financial derivatives–liabilities, at fair value (735) (304)
Fair Value, Recurring [Member] | Interest Rate Swap [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 844 3,624
Financial derivatives–liabilities, at fair value (11,032) (1,647)
Fair Value, Recurring [Member] | Futures [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 434
Financial derivatives–liabilities, at fair value (377) (96)
Fair Value, Recurring [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 69,169 181,231
Fair Value, Recurring [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 1,191 1,385
Fair Value, Recurring [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 900,003 1,058,878
Fair Value, Recurring [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 26,827 33,255
Fair Value, Recurring [Member] | Agency RMBS [Member] | Reverse mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 100,393 99,934
Fair Value, Recurring [Member] | Agency RMBS [Member] | Interest-Only [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 14,477 18,244
Fair Value, Recurring [Member] | Residential Mortgage Backed Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 1,154,047 1,401,778
Fair Value, Recurring [Member] | Other Investments [Member] | Preferred Stock [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 411  
Fair Value, Recurring [Member] | Non-Agency RMBS [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 41,987 8,851
Fair Value, Recurring [Member] | US Treasury Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
U.S. Treasury securities sold short, at fair value 0 (2,070)
Fair Value, Recurring [Member] | Level 1 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 434
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value 411 434
Financial derivatives–liabilities, at fair value (377) (96)
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value (377) (96)
Fair Value, Recurring [Member] | Level 1 [Member] | TBA securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Financial derivatives–liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Interest Rate Swap [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Financial derivatives–liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Futures [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 434
Financial derivatives–liabilities, at fair value (377) (96)
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Reverse mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Agency RMBS [Member] | Interest-Only [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Residential Mortgage Backed Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | Other Investments [Member] | Preferred Stock [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 411  
Fair Value, Recurring [Member] | Level 1 [Member] | Non-Agency RMBS [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 1 [Member] | US Treasury Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
U.S. Treasury securities sold short, at fair value 0 0
Fair Value, Recurring [Member] | Level 2 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 3,115 3,746
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value 1,142,499 1,394,612
Financial derivatives–liabilities, at fair value (11,767) (1,951)
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value (11,767) (4,021)
Fair Value, Recurring [Member] | Level 2 [Member] | TBA securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 2,271 122
Financial derivatives–liabilities, at fair value (735) (304)
Fair Value, Recurring [Member] | Level 2 [Member] | Interest Rate Swap [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 844 3,624
Financial derivatives–liabilities, at fair value (11,032) (1,647)
Fair Value, Recurring [Member] | Level 2 [Member] | Futures [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Financial derivatives–liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 69,169 181,231
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 1,191 1,385
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 900,003 1,058,878
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 26,827 33,255
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Reverse mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 100,393 99,934
Fair Value, Recurring [Member] | Level 2 [Member] | Agency RMBS [Member] | Interest-Only [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 11,957 10,605
Fair Value, Recurring [Member] | Level 2 [Member] | Residential Mortgage Backed Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 1,139,384 1,390,866
Fair Value, Recurring [Member] | Level 2 [Member] | Other Investments [Member] | Preferred Stock [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0  
Fair Value, Recurring [Member] | Level 2 [Member] | Non-Agency RMBS [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 29,844 5,578
Fair Value, Recurring [Member] | Level 2 [Member] | US Treasury Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
U.S. Treasury securities sold short, at fair value 0 (2,070)
Fair Value, Recurring [Member] | Level 3 [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Total mortgage-backed securities, other investments, and financial derivatives–assets, at fair value 14,663 10,912
Financial derivatives–liabilities, at fair value 0 0
Total U.S. Treasury securities and financial derivatives-liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | TBA securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Financial derivatives–liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Interest Rate Swap [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Financial derivatives–liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Futures [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Financial derivatives-assets, at fair value 0 0
Financial derivatives–liabilities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 15-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 20-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | 30-year fixed rate mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Adjustable Rate Mortgages    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Reverse mortgages [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0 0
Fair Value, Recurring [Member] | Level 3 [Member] | Agency RMBS [Member] | Interest-Only [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 2,520 7,639
Fair Value, Recurring [Member] | Level 3 [Member] | Residential Mortgage Backed Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 14,663 10,912
Fair Value, Recurring [Member] | Level 3 [Member] | Other Investments [Member] | Preferred Stock [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 0  
Fair Value, Recurring [Member] | Level 3 [Member] | Non-Agency RMBS [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Mortgage-backed securities, at fair value 12,143 3,273
Fair Value, Recurring [Member] | Level 3 [Member] | US Treasury Securities [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
U.S. Treasury securities sold short, at fair value $ 0 $ 0