Investments in Debt Securities Investments in Debt Securities (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Debt Securities, Available-for-sale [Table Text Block]

The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s MBS by investment type (including securities pending settlement) as of the dates indicated:

	September 30, 2020
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	2,159,813	$	65,064	$	2,224,877	$	56,928	$	—	$	2,281,805
Agency CMBS	271,764		3,445		275,209		23,495		—		298,704
CMBS IO (1)	—		405,736		405,736		9,497		(1,480)		413,753
Non-Agency other	1,630		(517)		1,113		333		(48)		1,398
Total MBS:	$	2,433,207	$	473,728	$	2,906,935	$	90,253	$	(1,528)	$	2,995,660

(1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,344,492 and $9,485,281 respectively, as of September 30, 2020.

	December 31, 2019
	Par		Net Premium (Discount)		Amortized Cost		Gross Unrealized Gain		Gross Unrealized Loss		Fair Value
Agency RMBS	$	2,563,684	$	55,770	$	2,619,454	$	69,082	$	(462)	$	2,688,074
Agency CMBS	1,890,186		15,414		1,905,600		93,763		(6)		1,999,357
CMBS IO (1)	—		488,145		488,145		11,760		(863)		499,042
Non-Agency other	1,938		(780)		1,158		552		(20)		1,690
Total MBS:	$	4,455,808	$	558,549	$	5,014,357	$	175,157	$	(1,351)	$	5,188,163

(1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,404,824 and $9,799,629, respectively, as of December 31, 2019.

Schedule of Realized Gain (Loss) [Table Text Block]

The following table presents information regarding the "gain (loss) on sale of investments, net" on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:

	Three Months Ended								Nine Months Ended
	September 30,								September 30,
	2020				2019				2020				2019
	Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)		Proceeds Received		Realized Gain (Loss)
Agency RMBS (1)	$	—	$	1	$	591,206	$	4,458	$	2,187,956	$	75,824	$	796,699	$	506
Agency CMBS	403,095		20,845		—		—		2,215,098		222,904		213,199		(6,493)
Agency CMBS IO	—		—		9,308		147		—		—		23,168		232
	$	403,095	$	20,846	$	600,514	$	4,605	$	4,403,054	$	298,728	$	1,033,066	$	(5,755)

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:

	September 30, 2020					December 31, 2019
	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	$	36,664	$	(503)	16	$	215,792	$	(1,139)	27
Non-Agency MBS	46,835		(897)		30	13,607		(146)		7
Continuous unrealized loss position for 12 months or longer:
Agency MBS	$	689	$	(107)	3	$	75,745	$	(35)	2
Non-Agency MBS	100		(21)		4	1,099		(31)		5