Chimera Investment (CIM) 10-K 18 Feb 21 2020 FY Annual report Financial data

COVER PAGE

COVER PAGE - USD ($)	12 Months Ended
	Dec. 31, 2020	Jan. 31, 2021	Jun. 30, 2020
Entity Information [Line Items]
Document Type	10-K
Document Annual Report	true
Current Fiscal Year End Date	--12-31
Document Period End Date	Dec. 31, 2020
Document Transition Report	false
Entity File Number	1-33796
Entity Registrant Name	CHIMERA INVESTMENT CORP
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-0630461
Entity Address, Address Line One	520 Madison Avenue, 32nd Floor
Entity Address, City or Town	New York,
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10022
City Area Code	888
Local Phone Number	895-6557
Entity Well-known Seasoned Issuer	Yes
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
ICFR Auditor Attestation Flag	true
Entity Shell Company	false
Entity Public Float			$ 2,192,560,401
Entity Common Stock, Shares Outstanding (in shares)		230,559,010
Documents Incorporated by Reference	Portions of the registrant’s definitive Proxy Statement for the 2020 Annual Meeting of Stockholders, which will be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report, are incorporated by reference into Part III.
Entity Central Index Key	0001409493
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	FY
Amendment Flag	false
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	CIM
Security Exchange Name	NYSE
Series A Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRA
Security Exchange Name	NYSE
Series B Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
Trading Symbol	CIM PRB
Security Exchange Name	NYSE
Series C Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
Trading Symbol	CIM PRC
Security Exchange Name	NYSE
Series D Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
Trading Symbol	CIM PRD
Security Exchange Name	NYSE

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Dec. 31, 2020	Dec. 31, 2019
Cash and cash equivalents		$ 269,090	$ 109,878
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)		2,150,714	2,614,408
Agency RMBS, at fair value		90,738	6,490,293
Agency CMBS, at fair value		1,740,368	2,850,717
Loans held for investment, at fair value		13,112,129	14,292,815
Receivable for investments sold		0	446,225
Accrued interest receivable		81,158	116,423
Other assets		78,822	194,301
Derivatives, at fair value, net		0	3,611
Total assets	[1]	17,523,019	27,118,671
Liabilities:
Secured financing agreements ($6.7 billion and $15.4 billion pledged as collateral, respectively)		4,636,847	13,427,545
Securitized debt, collateralized by Non-Agency RMBS ($505 million and $598 million pledged as collateral, respectively)		113,433	133,557
Securitized debt at fair value, collateralized by loans held for investment ($12.4 billion and $12.1 billion pledged as collateral, respectively)		8,711,677	8,179,608
Long term debt		51,623	0
Payable for investments purchased		106,169	1,256,337
Accrued interest payable		40,950	63,600
Dividends payable		77,213	98,568
Accounts payable and other liabilities		5,721	6,163
Total liabilities	[1]	13,743,633	23,165,378
Commitments and Contingencies (See Note 16)
Stockholders' Equity:
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 232,190,087 and 187,226,081 shares issued and outstanding, respectively		2,306	1,873
Additional paid-in-capital		4,538,029	4,275,963
Accumulated other comprehensive income		558,096	708,336
Cumulative earnings		3,881,894	3,793,040
Cumulative distributions to stockholders		(5,201,311)	(4,826,291)
Total stockholders' equity		3,779,386	3,953,293
Total liabilities and stockholders' equity		17,523,019	27,118,671
Series A Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		58	58
Series B Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		130	130
Series C Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		104	104
Series D Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		$ 80	$ 80
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,165,017 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,063,110 and $8,064,235, respectively. See Note 9 for further discussion.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)		12 Months Ended
		Dec. 31, 2020	Dec. 31, 2019
Allowance for credit losses		$ 180,000	$ 0
Preferred stock, par value (usd per share)		$ 0.01	$ 0.01
Preferred stock, shares authorized (shares)		100,000,000	100,000,000
Common stock, par value (usd per share)		$ 0.01	$ 0.01
Common stock, shares authorized (shares)		500,000,000	500,000,000
Common stock, shares issued (shares)		230,556,760	187,226,081
Common stock, shares outstanding (shares)		230,556,760	187,226,081
Assets	[1]	$ 17,523,019,000	$ 27,118,671,000
Liabilities	[1]	13,743,633,000	23,165,378,000
Variable Interest Entities, Primary Beneficiary
Assets		12,165,017,000	12,544,744,000
Liabilities		8,063,110,000	8,064,235,000
Non-Agency RMBS
Allowance for credit losses		180,000	0
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Allowance for credit losses		117,000
Repurchase Agreements
Securities pledged as collateral		6,696,214,000	15,399,244,000
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral		6,700,000,000	15,400,000,000
Securitized Loans | Non-Agency RMBS
Securities pledged as collateral		505,000,000	598,000,000
Securitized Loans | Loans Held for Investment at Fair Value
Securities pledged as collateral		$ 12,400,000,000	$ 12,100,000,000
Series A Preferred Stock
Preferred stock, dividend rate (percent)		8.00%	8.00%
Preferred stock, shares issued (shares)		5,800,000	5,800,000
Preferred stock, shares outstanding (shares)		5,800,000	5,800,000
Preferred Stock, liquidation preference		$ 145,000	$ 145,000
Series B Preferred Stock
Preferred stock, dividend rate (percent)		8.00%	8.00%
Preferred stock, shares issued (shares)		13,000,000	13,000,000
Preferred stock, shares outstanding (shares)		13,000,000	13,000,000
Preferred Stock, liquidation preference		$ 325,000	$ 325,000
Series C Preferred Stock
Preferred stock, dividend rate (percent)		7.75%	7.75%
Preferred stock, shares issued (shares)		10,400,000	10,400,000
Preferred stock, shares outstanding (shares)		10,400,000	10,400,000
Preferred Stock, liquidation preference		$ 260,000	$ 260,000
Series D Preferred Stock
Preferred stock, dividend rate (percent)		8.00%	8.00%
Preferred stock, shares issued (shares)		8,000,000	8,000,000
Preferred stock, shares outstanding (shares)		8,000,000	8,000,000
Preferred Stock, liquidation preference		$ 200,000	$ 200,000
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,165,017 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,063,110 and $8,064,235, respectively. See Note 9 for further discussion.

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Net interest income:
Interest income	[1]	$ 1,030,250	$ 1,361,110	$ 1,273,316
Interest expense	[2]	516,181	758,814	679,108
Net interest income		514,069	602,296	594,208
Increase/(decrease) in provision for credit losses		180	0	0
Net other-than-temporary credit impairment losses		0	(4,853)	(21,791)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		201,000	(106,209)	(141,162)
Realized gains (losses) on terminations of interest rate swaps		(463,966)	(359,726)	0
Net realized gains (losses) on derivatives		(41,086)	(34,423)	18,369
Net gains (losses) on derivatives		(304,052)	(500,358)	(122,793)
Net unrealized gains (losses) on financial instruments at fair value		(110,664)	409,634	46,632
Net realized gains (losses) on sales of investments		166,946	20,360	(2,743)
Gains (losses) on extinguishment of debt		(54,418)	9,318	26,376
Total other gains (losses)		(302,188)	(61,046)	(52,528)
Other expenses:
Compensation and benefits		44,811	48,880	35,114
General and administrative expenses		25,346	26,555	22,664
Servicing fees		37,464	36,290	40,773
Transaction expenses		15,068	10,928	9,610
Total other expenses		122,689	122,653	108,161
Income (loss) before income taxes		89,012	413,744	411,728
Income taxes		158	193	91
Net income (loss)		88,854	413,551	411,637
Dividends on preferred stock		73,750	72,704	43,197
Net income (loss) available to common shareholders		$ 15,104	$ 340,847	$ 368,440
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 0.07	$ 1.82	$ 1.97
Diluted (usd per share)		$ 0.07	$ 1.81	$ 1.96
Weighted average number of common shares outstanding:
Basic (shares)		212,995,533	187,156,990	187,146,170
Diluted (shares)		226,438,341	188,406,444	187,748,862
[1]	Includes interest income of consolidated VIEs of $683,456, $780,746 and $904,830 for the years ended December 31, 2020, 2019 and 2018, respectively. See Note 9 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $285,142, $337,387 and $395,255 for the years ended December 31, 2020, 2019 and 2018, respectively. See Note 9 to consolidated financial statements for further discussion.

CONSOLIDATED STATEMENTS OF OP_2

CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Interest income, assets of consolidated VIEs	$ 683,456	$ 780,746	$ 904,830
Interest expense, Non-recourse liabilities of VIEs	$ 285,142	$ 337,387	$ 395,255

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Comprehensive income (loss):
Net income (loss)	$ 88,854	$ 413,551	$ 411,637
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(94,136)	70,855	(185,570)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	0	4,853	21,791
Reclassification adjustment for net realized losses (gains) included in net income	(56,104)	5,796	(6,291)
Net current period OCI	(150,240)	81,504	(170,070)
Comprehensive income (loss) before preferred stock dividends	(61,386)	495,055	241,567
Dividends on preferred stock	73,750	72,704	43,197
Comprehensive income (loss) available to common stock shareholders	$ (135,136)	$ 422,351	$ 198,370

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands	Total	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income	Cumulative Earnings	Cumulative Distributions to Stockholders	Series A Preferred Stock Par Value	Series A Preferred Stock Par ValuePreferred Stock	Series B Preferred Stock Par Value	Series B Preferred Stock Par ValuePreferred Stock	Series C Preferred Stock Par Value	Series C Preferred Stock Par ValuePreferred Stock	Series D Preferred Stock Par Value	Series D Preferred Stock Par ValuePreferred Stock
Beginning Balance at Dec. 31, 2017	$ 3,634,977	$ 1,878	$ 3,826,691	$ 796,902	$ 2,967,852	$ (3,958,534)		$ 58		$ 130		$ 0		$ 0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	411,637				411,637
Other comprehensive income (loss)	(170,070)			(170,070)
Repurchase of common stock	(14,834)	(8)	(14,826)
Stock based compensation	8,797	1	8,796
Common dividends declared	(375,017)					(375,017)
Preferred dividends declared	(43,197)					(43,197)
Issuance of preferred stock	251,536		251,432									104
Ending Balance at Dec. 31, 2018	3,703,829	1,871	4,072,093	626,832	3,379,489	(4,376,748)		58		130		104		0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	413,551				413,551
Other comprehensive income (loss)	81,504			81,504
Stock based compensation	10,584	2	10,582
Common dividends declared	(376,839)					(376,839)
Preferred dividends declared	(72,704)					(72,704)	$ (12,000)		$ (26,000)		$ (20,000)		$ (15,000)
Issuance of preferred stock	193,368		193,288											80
Ending Balance at Dec. 31, 2019	3,953,293	1,873	4,275,963	708,336	3,793,040	(4,826,291)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	88,854				88,854
Other comprehensive income (loss)	(150,240)			(150,240)
Repurchase of common stock	(22,066)	(15)	(22,051)
Settlement of Convertible Debt	313,298	494	312,804
Settlement of Capped Call	(33,750)	(47)	(33,703)
Stock based compensation	5,017	1	5,016
Common dividends declared	(301,270)					(301,270)
Preferred dividends declared	(73,750)					(73,750)	$ (12,000)		$ (26,000)		$ (20,000)		$ (16,000)
Ending Balance at Dec. 31, 2020	$ 3,779,386	$ 2,306	$ 4,538,029	$ 558,096	$ 3,881,894	$ (5,201,311)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Cash Flows From Operating Activities:
Net income (loss)	$ 88,854	$ 413,551	$ 411,637
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	102,564	58,902	28,633
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net	(39,647)	(29,423)	(13,124)
Amortization of swaption premium	0	747	1,476
Net unrealized losses (gains) on derivatives	(201,000)	106,209	141,162
Margin (paid) received on derivatives	325,594	7,250	(320,899)
Net unrealized losses (gains) on financial instruments at fair value	110,664	(409,634)	(46,632)
Net realized losses (gains) on sales of investments	(166,946)	(20,360)	2,743
Net increase (decrease) in provision for credit losses	180	0	0
Net other-than-temporary credit impairment losses	0	4,853	21,791
(Gain) loss on extinguishment of debt	54,418	(9,318)	(26,376)
Equity-based compensation expense	5,017	10,584	8,797
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	35,950	6,334	(22,652)
Decrease (increase) in other assets	(32,275)	(20,049)	63,235
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	(322)	(10,306)	(722)
Increase (decrease) in accrued interest payable, net	(25,148)	(44,304)	48,515
Net cash provided by (used in) operating activities	257,903	65,036	297,584
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	8,330,397	1,236,860	(6,026,067)
Cash Flows From Financing Activities:
Proceeds from secured financing agreements	87,550,016	133,892,203	71,279,975
Payments on secured financing agreements	(96,378,688)	(134,495,789)	(64,499,287)
Net proceeds from preferred stock offerings	0	193,368	251,536
Payments on repurchase of common stock	(22,066)	0	(14,834)
Proceeds from securitized debt borrowings, collateralized by loans held for investment	3,043,257	1,487,286	1,769,539
Payments on securitized debt borrowings, collateralized by loans held for investment	(2,535,782)	(1,845,272)	(2,613,038)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(16,839)	(24,340)	(43,898)
Net proceeds from issuance of convertible debt	361,139	0	0
Purchase of capped call	(33,750)	0	0
Common dividends paid	(322,625)	(374,256)	(374,396)
Preferred dividends paid	(73,750)	(72,704)	(43,197)
Net cash provided by (used in) financing activities	(8,429,088)	(1,239,504)	5,712,400
Net increase (decrease) in cash and cash equivalents	159,212	62,392	(16,083)
Cash and cash equivalents at beginning of period	109,878	47,486	63,569
Cash and cash equivalents at end of period	269,090	109,878	47,486
Supplemental disclosure of cash flow information:
Interest received	1,168,080	1,427,030	1,279,297
Interest paid	578,477	835,041	643,717
Non-cash investing activities:
Payable for investments purchased	106,169	1,256,337	1,136,157
Receivable for investments sold	0	446,225	0
Net change in unrealized gain (loss) on available-for sale securities	(150,240)	81,504	(170,070)
Retained beneficial interests	21,943	141,484	39,844
Non-cash financing activities:
Dividends declared, not yet paid	77,213	98,568	95,986
Conversion of convertible debt	309,820	0	0
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(432,822)	(2,929,500)	(7,917,661)
Sales	7,201,313	2,815,394	16,184
Principal payments	715,931	2,237,980	524,989
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(32,859)	(373,697)	(133,247)
Sales	166,786	38,604	19,928
Principal payments	261,737	415,518	521,109
Loans held for investment
Cash Flows From Investing Activities:
Sales	1,042,664	1,681,227	754,806
Principal payments	1,966,590	1,717,745	1,859,155
Purchases	$ (2,558,943)	$ (4,366,411)	$ (1,671,330)

Organization

Organization	12 Months Ended
	Dec. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Chimera Investment Corporation, or the Company, was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code. The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has thirteen wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or CIM Funding TRS, a TRS formed in October 2013, Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera Insurance Company, LLC formed in July 2015; Chimera RR Holding LLC formed in April 2016, Anacostia LLC, a TRS formed in June 2018, NYH Funding LLC, a TRS formed in May 2019, Kali 2020 Holdings LLC formed in May 2020, Varuna Capital Partners LLC formed in September 2020 and Aarna Holdings LLC formed in November 2020.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	12 Months Ended
	Dec. 31, 2020
Accounting Policies [Abstract]
Summary of the Significant Accounting Policies	Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage backed securities (or RMBS), or residential mortgage loans. See Notes 3, 4 and 9 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Retained beneficial interests of the consolidated securitization vehicles are eliminated on consolidation. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 9 for additional information related to the Company’s investments in consolidated securitization vehicles. (c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2020 and December 31, 2019. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company’s investments in MBS includes investments in both Agency MBS and Non-Agency MBS. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company classifies its MBS as available-for-sale sale (AFS) or in accordance with the fair-value option (FVO). MBS classified as AFS are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in Other comprehensive income (OCI). MBS classified as FVO are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in earnings. See Note 5 of these consolidated financial statements for further discussion of MBS carried at FVO and how the Company determines fair value. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and an allowance for credit losses related to its MBS is as follows: Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests give the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC), 325-40, Beneficial Interests in Securitized Financial Assets, (ASC 325-40) as amended by the accounting standards update (ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments (ASU 2016-13). Interest income on the Company’s beneficial interests is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If there is no allowance for credit losses, or if the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition, the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on beneficial interests will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all beneficial interests when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in the Company's estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a monthly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes its investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk). Interest income on Agency Securities for which changes in fair value are recorded in earnings is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate of the projected cash flows. Changes in the amount or timing of cash flows as a result of changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis. (e) Loans Held for Investment The Company's Loans held for investments is primarily comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned Real estate owned, or REO, represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a gain or loss. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. The carrying value of REO assets at December 31, 2020 and 2019 was $14 million and $25 million, respectively, and were recorded in Other Assets on the Company’s Consolidated Statements of Financial Condition. (f) Secured Financing Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with secured financing agreements. The Company has evaluated each agreement and has determined that each of the secured financing agreements be accounted for as secured borrowings, which is recourse to the Company. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Long Term Debt The Company's Long Term Debt currently comprised of Convertible Senior Notes. Convertible notes include unsecured convertible debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. Any debt discounts or premiums are reported as an adjustment to the carrying amount of the debt liability and amortized into interest expense using the effective interest method. If converted by a holder, the holder of the notes would receive shares of our common stock. Deferred debt issuance costs are expenses associated with the issuance of long-term debt. These expenses typically include underwriting, legal, accounting, and other fees. Deferred debt issuance costs are included in the carrying value of the related long-term debt issued and are amortized as an adjustment to interest expense using the effective interest method, based upon the actual and estimated repayment schedules of the related long-term debt issued. When the conversion of debt occurs in accordance with debt terms, the unpaid principal balance of the convertible debt is recorded as additional paid in capital and the outstanding debt is considered repaid. Any unamortized issuance costs and unpaid accrued interest related to the converted notes are also credited to the additional paid in capital. (i) Fair Value The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. All Agency MBS investments owned prior to July 1, 2017 will continue to be carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings was $417 million and $423 million as of December 31, 2020 and 2019, respectively. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $262 million and $289 million as of December 31, 2020 and 2019. Included in Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $91 million and $128 million as of December 31, 2020 and 2019. Included in Agency CMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $26 million and $49 million as of December 31, 2020 and 2019. Interest income reported on all IO MBS securities was $43 million and $27 million for the years ended December 31, 2020 and 2019, respectively. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (j) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 10 Derivative Instruments for further details. (k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. (l) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of December 31, 2020 and 2019. (m) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock and warrants. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion options is in or out of the money) to the denominator for the purposes of calculating diluted EPS. Refer to Note 11 Capital Stoc

Mortgage-Backed Securities

Mortgage-Backed Securities	12 Months Ended
	Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed SecuritiesThe Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,560,135 $ 3,934 $ (773,804) $ 790,265 $ (180) $ 1,277,800 $ 487,963 $ (248) $ 487,715 Subordinated 905,674 7,059 (347,056) 565,677 — 610,655 83,007 (38,029) 44,978 Interest-only 5,628,240 249,610 — 249,610 — 262,259 67,868 (55,219) 12,649 Agency RMBS Pass-through — — — — — — — — — Interest-only 1,262,963 118,867 — 118,867 — 90,738 270 (28,399) (28,129) Agency CMBS Project loans 1,527,621 28,559 (861) 1,555,319 — 1,714,483 159,233 (69) 159,164 Interest-only 1,326,665 23,572 — 23,572 — 25,885 2,659 (346) 2,313 Total $ 12,211,298 $ 431,601 $ (1,121,721) $ 3,303,310 $ (180) $ 3,981,820 $ 801,000 $ (122,310) $ 678,690 December 31, 2019 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 2,024,564 $ 2,038 $ (953,916) $ 1,072,686 $ 1,700,911 $ 628,518 $ (293) $ 628,225 Subordinated 876,592 9,915 (332,913) 553,594 624,598 76,272 (5,268) 71,004 Interest-only 7,458,653 301,170 — 301,170 288,899 51,481 (63,752) (12,271) Agency RMBS Pass-through 6,080,547 131,023 — 6,211,570 6,362,626 152,271 (1,215) 151,056 Interest-only 1,539,941 139,536 — 139,536 127,667 220 (12,089) (11,869) Agency CMBS Project loans 2,621,938 52,681 (4,961) 2,669,658 2,801,692 132,700 (666) 132,034 Interest-only 1,817,246 51,140 — 51,140 49,025 586 (2,701) (2,115) Total $ 22,419,481 $ 687,503 $ (1,291,790) $ 10,999,354 $ 11,955,418 $ 1,042,048 $ (85,984) $ 956,064 The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and December 31, 2019. All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses. December 31, 2020 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 11,985 $ (248) 2 $ — $ — — $ 11,985 $ (248) 2 Subordinated 253,822 (8,711) 5 34,697 (29,318) 15 288,519 (38,029) 20 Interest-only 38,604 (8,682) 34 22,761 (46,537) 43 61,365 (55,219) 77 Agency RMBS Pass-through — — — — — — — — — Interest-only 31,059 (4,938) 6 54,153 (23,461) 16 85,212 (28,399) 22 Agency CMBS Project loans — — — 8,581 (69) 1 8,581 (69) 1 Interest-only 4,052 (346) 6 — — — 4,052 (346) 6 Total $ 339,522 $ (22,925) 53 $ 120,192 $ (99,385) 75 $ 459,714 $ (122,310) 128 December 31, 2019 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 31,635 $ (293) 1 $ 31,635 $ (293) 1 Subordinated 69,178 (5,064) 9 1,836 (204) 11 71,014 (5,268) 20 Interest-only 50,376 (22,737) 46 64,129 (41,015) 66 114,505 (63,752) 112 Agency RMBS Pass-through 11,398 (605) 4 67,552 (610) 5 78,950 (1,215) 9 Interest-only 121,228 (12,089) 22 — — — 121,228 (12,089) 22 Agency CMBS Project loans 41,971 (277) 3 44,896 (389) 4 86,867 (666) 7 Interest-only 15,045 (295) 6 9,930 (2,406) 7 24,975 (2,701) 13 Total $ 309,196 $ (41,067) 90 $ 219,978 $ (44,917) 94 $ 529,174 $ (85,984) 184 At December 31, 2020, the Company did not intend to sell any of its Agency and Non-Agency MBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS investments before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of December 31, 2020. Gross unrealized losses on the Company’s Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $69 thousand and $1 million as of December 31, 2020 and December 31, 2019, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2020 and December 31, 2019, unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), net of any allowance for credit losses, was $248 thousand at December 31, 2020. After evaluating the securities and recording the allowance for credit losses, we concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. The Company considered a number of factors in reaching this conclusion, including that we did not intend to sell the securities, it was not considered more likely than not that we would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused us to otherwise conclude that we would not recover the amortized cost. The allowance for credit losses are calculated by comparing the estimated future cash flows of each security discounted at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS. Gross unrealized losses on the Company's Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings), was $348 thousand at December 31, 2019. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are credit related based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the credit loss allowance on available-for-sale securities for the year ended December 31, 2020 is presented below. For the Year Ended December 31, 2020 (dollars in thousands) Beginning allowance for credit losses $ — Transition impact from CECL standard — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 6,594 Allowance on purchased financial assets with credit deterioration — Reductions for the securities sold during the period (321) Increase/(decrease) on securities with an allowance in the prior period (3,765) Write-offs charged against the allowance (2,401) Recoveries of amounts previously written off 73 Ending allowance for credit losses $ 180 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2020. December 31, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 46,500,000 9.2% 3.5% 58.3% The increase in the allowance for credit losses for the year ended December 31, 2020 is primarily due to increased expected losses and delinquencies as compared to the beginning of the year. In addition, certain Non-Agency RMBS positions, which had previously been in an unrealized gain position as of the prior year-end, are now in an unrealized loss position as of the end of the current period due to the decline in fair value. These Non-Agency RMBS positions now in an unrealized loss have resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. The following tables present a summary of unrealized gains and losses at December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 487,963 $ — $ 487,963 $ (248) $ — $ (248) Subordinated 65,043 17,964 83,007 — (38,029) (38,029) Interest-only — 67,868 67,868 — (55,219) (55,219) Agency RMBS Pass-through — — — — — — Interest-only — 270 270 — (28,399) (28,399) Agency CMBS Project loans 5,407 153,826 159,233 (69) — (69) Interest-only — 2,659 2,659 — (346) (346) Total $ 558,413 $ 242,587 $ 801,000 $ (317) $ (121,993) $ (122,310) December 31, 2019 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 628,518 $ — $ 628,518 $ (293) $ — $ (293) Subordinated 57,174 19,098 76,272 (55) (5,213) (5,268) Interest-only — 51,481 51,481 — (63,752) (63,752) Agency RMBS Pass-through — 152,271 152,271 — (1,215) (1,215) Interest-only — 220 220 — (12,089) (12,089) Agency CMBS Project loans 23,643 109,057 132,700 (651) (15) (666) Interest-only — 586 586 — (2,701) (2,701) Total $ 709,335 $ 332,713 $ 1,042,048 $ (999) $ (84,985) $ (85,984) Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s MBS portfolio at December 31, 2020 and December 31, 2019. December 31, 2020 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,560,135 $ 50.65 81.90 4.5 % 16.9 % Subordinated 905,674 62.46 67.43 3.8 % 6.3 % Interest-only 5,628,240 4.43 4.66 1.5 % 16.2 % Agency RMBS Interest-only 1,262,963 9.41 7.18 1.7 % 1.6 % Agency CMBS Project loans 1,527,621 101.81 112.23 4.1 % 3.8 % Interest-only 1,326,665 1.78 1.95 0.6 % 8.4 % (1) Bond Equivalent Yield at period end. December 31, 2019 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,024,564 $ 52.98 $ 84.01 5.0 % 20.8 % Subordinated 876,592 63.15 71.25 3.7 % 6.9 % Interest-only 7,458,653 4.04 3.87 1.1 % 8.4 % Agency RMBS Pass-through 6,080,547 102.15 104.64 4.0 % 3.4 % Interest-only 1,539,941 9.06 8.29 1.6 % 4.0 % Agency CMBS Project loans 2,621,938 101.82 106.86 3.7 % 3.6 % Interest-only 1,817,246 2.81 2.70 0.7 % 4.7 % (1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 AAA 0.2 % 0.4 % AA 0.1 % 0.1 % A 1.2 % 0.9 % BBB 1.9 % 1.6 % BB 4.3 % 3.8 % B 2.0 % 1.6 % Below B 31.9 % 33.2 % Not Rated 58.4 % 58.4 % Total 100.0 % 100.0 % Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. December 31, 2020 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 7,850 $ 366,218 $ 467,336 $ 436,396 $ 1,277,800 Subordinated 5 105,272 102,805 402,573 610,655 Interest-only 5,780 143,631 110,468 2,380 262,259 Agency RMBS Pass-through — — — — — Interest-only — 864 89,874 — 90,738 Agency CMBS Project loans 8,581 — — 1,705,902 1,714,483 Interest-only 620 21,500 3,765 — 25,885 Total fair value $ 22,836 $ 637,485 $ 774,248 $ 2,547,251 $ 3,981,820 Amortized cost Non-Agency RMBS Senior $ 4,691 $ 256,935 $ 257,188 $ 271,451 $ 790,265 Subordinated — 83,188 78,435 404,054 565,677 Interest-only 26,286 138,150 82,368 2,806 249,610 Agency RMBS Pass-through — — — — — Interest-only — 1,898 116,969 — 118,867 Agency CMBS Project loans 8,650 — — 1,546,669 1,555,319 Interest-only 788 19,273 3,511 — 23,572 Total amortized cost $ 40,415 $ 499,444 $ 538,471 $ 2,224,980 $ 3,303,310 December 31, 2019 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 16,343 $ 450,185 $ 676,382 $ 558,001 $ 1,700,911 Subordinated — 43,796 95,973 484,829 624,598 Interest-only — 126,631 159,057 3,211 288,899 Agency RMBS Pass-through — 5,939,408 421,539 1,679 6,362,626 Interest-only — 1,614 126,053 — 127,667 Agency CMBS Project loans 15,065 — 29,385 2,757,242 2,801,692 Interest-only — 20,528 28,497 — 49,025 Total fair value $ 31,408 $ 6,582,162 $ 1,536,886 $ 3,804,962 $ 11,955,418 Amortized cost Non-Agency RMBS Senior $ 15,206 $ 304,850 $ 409,958 $ 342,672 $ 1,072,686 Subordinated — 29,085 86,033 438,476 553,594 Interest-only — 150,221 148,889 2,060 301,170 Agency RMBS Pass-through — 5,796,044 414,482 1,044 6,211,570 Interest-only — 2,260 137,276 — 139,536 Agency CMBS Project loans 15,084 — 28,954 2,625,620 2,669,658 Interest-only — 22,950 28,190 — 51,140 Total amortized cost $ 30,290 $ 6,305,410 $ 1,253,782 $ 3,409,872 $ 10,999,354 The Non-Agency RMBS investments are secured by pools of mortgage loans which are subject to credit risk. The following table summarizes the delinquency, bankruptcy, foreclosure and REO total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at December 31, 2020 and December 31, 2019. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2020 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.1 % 1.4 % 7.2 % 1.3 % 2.9 % 0.4 % 16.3 % December 31, 2019 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.9 % 1.4 % 2.5 % 1.4 % 2.8 % 0.7 % 12.6 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 Weighted average maturity (years) 22.2 23.6 Weighted average amortized loan to value (1) 61.4 % 63.2 % Weighted average FICO (2) 714 719 Weighted average loan balance (in thousands) $ 291 $ 313 Weighted average percentage owner occupied 81.8 % 80.6 % Weighted average percentage single family residence 61.7 % 60.0 % Weighted average current credit enhancement 0.9 % 1.1 % Weighted average geographic concentration of top four states CA 33.8 % CA 32.5 % NY 8.7 % FL 6.6 % FL 7.9 % NY 6.3 % NJ 4.3 % TX 2.0 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2020 and December 31, 2019. Origination Year December 31, 2020 December 31, 2019 2003 and prior 1.7 % 1.3 % 2004 1.4 % 1.5 % 2005 10.3 % 10.7 % 2006 52.1 % 52.9 % 2007 27.2 % 26.6 % 2008 and later 7.3 % 7.0 % Total 100.0 % 100.0 % Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2020, 2019 and 2018 are as follows: For the Year Ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 166,747 38,659 100,791 Agency RMBS 5,710,134 2,915,545 7,064 Agency CMBS 1,060,987 375,489 9,120 Gross realized gains: Non-Agency RMBS 22,021 422 7,424 Agency RMBS 74,264 35,221 — Agency CMBS 88,929 11,328 122 Gross realized losses: Non-Agency RMBS (9,470) (1,445) (7,234) Agency RMBS (5,816) (24,531) (1,919) Agency CMBS (2,982) (2,225) (1,237) Net realized gain (loss) $ 166,946 $ 18,770 $ (2,844) Included in the gross realized gains for the year ended December 31, 2018 in the table above are exchanges of securities with a fair value of $81 million. The Company exchanged its investment in a re-REMIC security for the underlying collateral supporting the group related to the exchanged asset. These exchanges were treated as non-cash sales and purchases and resulted in a net realized gain of $3 million, reflected in earnings for the year ended December 31, 2018. There were no such exchanges during the year ended December 31, 2020 and 2019. During the first quarter of 2020, the Company transferred Non-Agency RMBS investments with a market value of $135 million to a third party. As part of the transfer, the Company purchased an option to re-acquire these assets for a fixed price at a future date. This transfer was accounted for as a secured borrowing within the Secured financing agreements on the Statement of Financial Condition. During the third quarter of 2020, the Company exercised its option and repurchased the transferred investments with an amortized cost of $196 million for $251 million, which extinguished the secured borrowing. This transaction resulted in a loss on extinguishment of debt of $55 million.

Loans Held for Investment

Loans Held for Investment	12 Months Ended
	Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Loans Held for Investment	Loans Held for Investment The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. At December 31, 2020, all Loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of our Loans held for investment was $12.5 billion and $13.7 billion as of December 31, 2020 and December 31, 2019, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at December 31, 2020 and December 31, 2019: For the Year Ended For the Year Ended December 31, 2020 December 31, 2019 (dollars in thousands) Balance, beginning of period $ 14,292,815 $ 12,572,581 Purchases 1,860,998 5,086,491 Principal paydowns (1,966,590) (1,717,745) Sales and settlements (1,053,943) (1,812,760) Net periodic accretion (amortization) (85,794) (77,491) Realized gains (losses) on sales and settlements — 1,590 Change in fair value 64,643 240,149 Balance, end of period $ 13,112,129 $ 14,292,815 The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. During the year ended December 31, 2020, the Company sold $1.1 billion of loans, with the Company retaining $22 million of beneficial interests. During the year ended December 31, 2019, the Company sold $1.8 billion of loans, with the Company retaining $124 million of beneficial interests. During the year ended December 31, 2020 and December 31, 2019, the Company transferred loans with unpaid principal balances of $653 million and $343 million, respectively, to a third party. The Company evaluated the sales under ASC 860 and determined that the sales did not effectively transfer control of the loans from the Company, the transferor, to the third party, the transferee, due to a right by the Company to call the loans at a fixed price at a future date. As such, these transfers have been accounted for by the Company as secured borrowings and no gain or loss was recorded upon the transfer of the loans. The proceeds received, net of any collateral received in the transfer, has been recorded as a Securitized debt at fair value, collateralized by loans held for investment on the Consolidated Statements of Financial Condition. The secured borrowings related to the unpaid principal amount of these loans are non-recourse to the Company and these loans can only be used to satisfy the obligations of the transferee and the obligations of the transferee are non-recourse to the Company. See footnote 7 for more details regarding Securitized debt. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year December 31, 2020 December 31, 2019 (1) 2002 and prior 6.9 % 6.8 % 2003 5.9 % 6.0 % 2004 12.0 % 12.6 % 2005 18.2 % 18.6 % 2006 22.7 % 22.5 % 2007 22.4 % 20.7 % 2008 6.4 % 6.4 % 2009 1.3 % 1.5 % 2010 and later 4.2 % 4.9 % Total 100.0 % 100.0 % (1) The table above excludes approximately $754 million of Loans held for investments for December 31, 2019, which was purchased prior to the reporting date and settled subsequent to the reporting period. The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2020 and December 31, 2019: December 31, 2020 December 31, 2019 (1) Number of loans 132,134 139,194 Weighted average maturity (years) 19.6 19.3 Weighted average loan to value 86.1 % 87.4 % Weighted average FICO 630 627 Weighted average loan balance (in thousands) $ 96 $ 95 Weighted average percentage owner occupied 87.7 % 88.0 % Weighted average percentage single family residence 83.3 % 84.4 % Weighted average geographic concentration of top five states CA 12.4 % CA 11.6 % FL 8.0 % FL 7.4 % NY 7.3 % NY 6.9 % PA 5.0 % OH 5.3 % VA 4.9 % PA 5.3 % (1) The table above excludes approximately $754 million of Loans held for investments for December 31, 2019, which was purchased prior to the reporting date and settled subsequent to the reporting period. The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the years ended December 31, 2020 and 2019, respectively. December 31, 2020 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,347 1.00% to 17.74% 6/1/1983 - 2/1/2059 594,201 49,615 54,702 $250 to $500 425 1.51% to 10.63% 12/1/2027 - 2/1/2057 141,621 14,166 13,453 $500 to $750 80 2.00% to 9.88% 1/1/2034 - 10/1/2056 47,936 3,202 6,943 $750 to $1,000 25 1.97% to 7.88% 7/1/2036 - 2/1/2052 21,516 — 3,511 Over $1,000 15 2.88% to 6.63% 10/1/2034 - 6/1/2049 26,274 2,884 7,134 7,892 831,548 69,867 85,743 Fixed loans: $1 to $250 116,831 0.00% to 21.20% 6/1/1989 - 5/1/2062 8,897,433 713,804 720,323 $250 to $500 6,386 0.00% to 11.59% 12/1/2005 - 3/1/2065 2,115,608 215,357 253,377 $500 to $750 740 1.00% to 10.14% 6/1/2020 - 10/1/2059 433,973 35,765 66,947 $750 to $1,000 146 2.00% to 9.00% 3/1/2013 - 11/1/2058 124,869 7,620 23,804 Over $1,000 139 2.00% to 9.00% 12/1/2019 - 6/1/2059 236,762 18,563 40,235 124,242 11,808,645 991,109 1,104,686 Total 132,134 12,640,193 1,060,976 1,190,429 The foreclosure, bankruptcy, and REO principal balances on our loans were $298 million, $277 million and $30 million, respectively, as of December 31, 2020, which are included in the table above. December 31, 2019 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,776 1.00% to 19.24% 6/1/1983 - 3/13/2057 655,914 75,436 44,117 $250 to $500 497 2.00% to 13.13% 3/1/2023 - 7/1/2057 163,972 18,117 10,950 $500 to $750 96 2.00% to 9.38% 1/1/2034 - 10/1/2056 56,661 2,224 2,747 $750 to $1,000 20 1.97% to 8.13% 10/1/2036 - 11/1/2048 16,947 759 862 Over $1,000 12 2.00% to 6.63% 5/1/2036 - 10/1/2048 19,499 1,222 3,869 8,401 912,993 97,758 62,545 Fixed loans: $1 to $250 123,580 0.00% to 24.00% 6/1/1989 - 5/1/2062 9,482,855 1,021,054 571,242 $250 to $500 6,259 0.00% to 11.69% 12/1/2019 - 3/1/2065 2,059,131 275,574 131,472 $500 to $750 712 2.00% to 10.69% 8/1/2019 - 9/1/2059 418,044 46,972 12,137 $750 to $1,000 137 2.00% to 8.00% 3/1/2013 - 1/1/2058 116,993 6,224 5,312 Over $1,000 105 2.00% to 9.50% 9/1/2019 - 12/1/2057 179,827 10,497 — 130,793 12,256,850 1,360,321 720,163 Total 139,194 13,169,843 1,458,079 782,708 (1) The table above excludes approximately $754 million of Loans held for investments for December 31, 2019, which was purchased prior to the reporting date and settled subsequent to the reporting period. The foreclosure, bankruptcy, and REO principal balances on our loans were $299 million, $322 million and $59 million, respectively, as of December 31, 2019, which are included in the table above. The fair value of residential mortgage loans 90 days or more past due was $910 million and $597 million as of December 31, 2020 and December 31, 2019, respectively.

Fair Value Measurements

Fair Value Measurements	12 Months Ended
	Dec. 31, 2020
Fair Value Disclosures [Abstract]
Fair Value Measurements	Fair Value Measurements The Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by the Company to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, the Company believes its valuation methods are appropriate and consistent with other market participants. Using different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company determines the fair values of its investments using internally developed processes and validates them using a third-party pricing service. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. If third-party pricing service is unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by an independent third-party pricing service. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced, or TBA, securities. Each quarter the Company develops thresholds generally using market factors or other assumptions as appropriate. If internally developed model prices differ from the independent prices provided by greater than a market derived predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third-party pricing service. The Company obtains the inputs used by the third-party pricing service and compares them to the Company’s inputs. The Company updates its own inputs if the Company determines the third-party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. After the review for the period ended December 31, 2020, 23 investment holdings with an internally developed fair value of $389 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $3 million lower than the third-party prices provided of $392 million. After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at December 31, 2020 in excess of the derived predetermined threshold for the period. At December 31, 2019 six investment holdings with an internally developed fair value of $22 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $3 million higher than the third-party prices provided of $19 million. After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at December 31, 2019 in excess of the derived predetermined threshold for the period. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process. This subjective estimation process renders the majority of the Non-Agency RMBS fair value estimates as Level 3 in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as level 2 in the fair value hierarchy. Loans Held for Investment Loans consisting of seasoned reperforming residential mortgage loans: The Company estimates the fair value of its Loans held for investment consisting of seasoned reperforming residential mortgage loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include loan coupon as compared to coupon currently available in the market, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan interest rate as compared to interest rates currently available in the market and delinquency history. The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned subprime pool of mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the marketplace to develop a comprehensive direct range of values. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by an independent third-party pricing service for the loan portfolio. Each quarter the Company develops thresholds generally using market factors or other assumptions as appropriate. If the internally developed fair values of the loan pools differ from the independent prices provided by greater than a predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third-party pricing service. The Company obtains certain inputs used by the third-party pricing service and evaluates them for reasonableness. The Company updates its own model if the Company determines the third-party pricing inputs more accurately reflect the current market environment or observed information from the third-party vendor. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third-party pricing service review market factors that may not have been considered by the third-party pricing service. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. After the review for the period ended December 31, 2020, 3 investment holdings with an internally developed fair value of $503 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $55 million higher than the third-party prices provided of $448 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2020 in excess of the derived predetermined threshold for the period. At December 31, 2019, the internally developed fair value of one loan pool of $147 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed price was $20 million higher than the third-party price provided of $127 million. After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. The Company’s estimates of fair value of Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Loans collateralized by jumbo, prime residential mortgages : The loans collateralized by jumbo, prime residential mortgages are carried at fair value. The loans are held as part of a consolidated Collateralized Financing Entity, or a CFE. A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity and the beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allow the Company to elect to measure the CFE’s financial assets using the fair value of the CFE’s financial liabilities as the fair values of the financial liabilities of the CFE are more observable. Therefore, the fair value of the loans collateralized by jumbo, prime residential mortgages is based on the fair value of the financial liabilities. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable financial liabilities are considered level 3 in the fair value hierarchy, the Loans collateralized by jumbo, prime residential mortgages are also level 3 in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. For disclosure purposes, the Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and the Company's expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The process for determining the fair value of securitized debt, collateralized by loans held for investment is based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, expected losses, expected default severity, credit enhancement, and other pertinent factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. After the review for the period ended December 31, 2020, 2 investment holdings with an internally developed fair value of $209 million had a difference between the model generated prices and third-party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $17 million higher than the third-party prices provided of $192 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2020 in excess of the derived predetermined threshold for the period. At December 31, 2019, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and third party prices. The Company’s estimates of fair value of securitized debt, collateralized by loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Fair value option The table below shows the unpaid principal and fair value of the financial instruments carried with fair value option as of December 31, 2020 and December 31, 2019, respectively: December 31, 2020 December 31, 2019 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-agency RMBS Subordinated 632,335 416,745 580,761 422,826 Interest-only 5,628,240 262,259 7,458,653 288,899 Agency RMBS Pass-through — — 6,080,549 6,362,628 Interest-only 1,262,963 90,738 1,539,941 127,667 Agency CMBS Project loans 1,413,719 1,592,473 1,753,755 1,889,923 Interest-only 1,326,665 25,885 1,817,246 49,025 Loans held for investment, at fair value 12,640,195 13,112,129 13,924,291 14,292,815 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,705,200 8,711,677 8,184,369 8,179,608 The table below shows the impact of change in fair value on each of the financial instruments carried with fair value option in statement of operations as of December 31, 2020 and December 31, 2019, respectively: For the Year Ended December 31, 2020 December 31, 2019 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Senior — — Subordinated (33,950) 10,513 Interest-only 24,919 18,064 Agency RMBS Pass-through (151,056) 124,685 Interest-only (16,260) (13,359) Agency CMBS Project loans 44,783 146,441 Interest-only 4,429 2,054 Loans held for investment, at fair value 64,643 240,148 Liabilities: Securitized debt at fair value, collateralized by loans held for investment (48,172) (118,911) Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps and swaptions as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Secured Financing Agreements Secured financing agreements are collateralized financing transactions utilized by the Company to acquire investment securities. For short term secured financing agreements and longer term floating rate secured financing agreements, the Company estimates fair value using the contractual obligation plus accrued interest payable. The fair value of longer term fixed rate secured financing agreements is determined using present value of discounted cash flows based on the imputed market rates. The Company has classified the characteristics used to determine the fair value of Secured Financing Agreements as Level 2 inputs in the fair value hierarchy. Long Term Debt Convertible Senior Notes Convertible notes include unsecured convertible senior notes that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. The fair value of the convertible notes is determined using quoted prices in generally active markets and classified as Level 2. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, dividends payable, payable for investments purchased, receivable for investments sold and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2020 and December 31, 2019 are presented below. December 31, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,150,714 $ — $ 2,150,714 Agency RMBS, at fair value — 90,738 — — 90,738 Agency CMBS, at fair value — 1,740,368 — — 1,740,368 Loans held for investment, at fair value — — 13,112,129 — 13,112,129 Derivatives — — — — — Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,711,677 — 8,711,677 Derivatives — — — — — December 31, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,614,408 $ — $ 2,614,408 Agency RMBS, at fair value — 6,490,293 — — 6,490,293 Agency CMBS, at fair value — 2,850,717 — — 2,850,717 Loans held for investment, at fair value — — 14,292,815 — 14,292,815 Derivatives 3,611 1,092 — (1,092) 3,611 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,179,608 — 8,179,608 Derivatives — 205,703 — (205,703) — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at December 31, 2020 and December 31, 2019. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2020 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 Transfers into Level 3 135,118 — — Transfers out of Level 3 (135,118) — — Purchases of assets/ issuance of debt 54,811 1,860,998 3,043,252 Principal payments (261,738) (1,966,590) (1,751,903) Sales and Settlements (166,786) (1,053,943) (783,880) Net accretion (amortization) 39,246 (85,794) (22,546) Gains (losses) included in net income (Increase) decrease in provision for credit losses (180) — — Realized gains (losses) on sales and settlements 12,571 — (1,031) Net unrealized gains (losses) included in income (9,030) 64,643 48,177 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (132,588) — — Ending balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2019 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 Transfers into Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 497,848 5,086,491 1,487,286 Principal payments (415,518) (1,717,745) (1,530,818) Sales and Settlements (38,605) (1,812,760) (314,454) Net accretion (amortization) 95,562 (77,491) (26,758) Gains (losses) included in net income Other than temporary credit impairment losses (4,853) — — Realized gains (losses) on sales and settlements (1,088) 1,590 (9,925) Net unrealized gains (losses) included in income 28,577 240,149 118,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (33,645) — — Ending balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 During the first quarter of 2020 there were transfers out of Level 3 of $135 million, as prices were based on unadjusted quoted prices on these assets. These investments were transferred into Level 3 during the second quarter of 2020 as unadjusted quoted prices were unavailable and the Company used internal pricing model to value them. There were no transfers in or out from Level 3 during the year ended December 31, 2019. The Company determines when transfers have occurred between levels of the fair value hierarchy based on the date of the event or change in circumstances that caused the transfer. The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, prepayment rate, constant default rate, and the loss severity. Discount Rate The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the values of the discounted cash flows are reduced. The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. Prepayment Rate The prepayment rate specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment rate is based on factors such as interest rates, loan-to-value ratio, debt-to-income ratio, and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. Constant Default Rate Constant default rate represents an annualized rate of default on a group of mortgages. The constant default rate, or CDR, represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. Loss Severity Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases, a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Collateral characteristics such as loan size, loan-to-value, seasoning or loan age and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment Prepayment rates vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment rates increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment rates result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment rates increase, the amount of income the Company earns increases from the acceleration of the accretion of the discount into interest income. Conversely, decreases in prepayment rates result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. For securitized debt carried at fair value issued at a premium, as prepayment rates increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment rates result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment rates increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment rates result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of December 31, 2020 and December 31, 2019 follows. The weighted average discount rates were based on fair value. Previously issued financial statement filings were based on amortized cost. We believe fair value provides an improved presentation of weighted average discount rates. December 31, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 2%-10% 3.3% 1%-25% 9.5% 1%-10% 2.0% 26%-82% 41.5% Subordinated 2%-10% 6.1% 2%-42% 13.6% 0%-6% 1.3% 10%-77% 39.8% Interest-only 0%-100% 10.2% 6%-47% 26.3% 0%-8% 1.4% 0%-79% 33.6% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 3.8% 6% -20% 9.4% 0% -9% 1.8% 26% -82% 42.0% Subordinated 0% -13% 5.3% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 11.4% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of December 31, 2020 and December 31, 2019 follows: December 31, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0%-10% 2.5% 4%-40% 10.5% 0%-7% 1.3% 30%-75% 57.6% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 3.3% 6% - 20% 9.1% 0% - 3% 1.4% 30% - 75% 59.9% All of the significant inputs listed have some degree of market observability based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security. Sensitivity of Significant Inputs – Loans held for investment The Loans held for investment are comprised primarily of loans collateralized by seasoned reperforming residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The significant unobservable inputs used to estimate the fair value of the Loans held for investment collateralized by seasoned reperforming residential mortga

Secured Financing Agreements

Secured Financing Agreements	12 Months Ended
	Dec. 31, 2020
Disclosure of Repurchase Agreements [Abstract]
Secured Financing Agreements	Secured Financing Agreements Secured financing agreements include short term repurchase agreements with original maturity dates of less than one-year, long-term financing agreements with original maturity dates of more than one year and loan warehouse credit facilities collateralized by loans acquired by the Company. The repurchase agreements are collateralized by Agency and non-agency mortgage backed securities with interest rates generally indexed to the one-month and three-month LIBOR rates and re-price accordingly. The maturity dates on the repurchase agreements are all less than one year and generally are less than 180 days. The collateral pledged as security on the repurchase agreements may include the Company’s investments in consolidated VIEs, which are eliminated in consolidation. The long-term financing agreements include long-term repurchase agreements and secured financing arrangements with an original term of one year or greater which are secured by non-agency RMBS pledged as collateral. Maturity dates on these long-term financing agreements range from April 2021 through April 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in consolidated VIEs, which are eliminated in consolidation. $400 million of the long-term financing agreements has a fixed interest rate of 7% and include an attached equity warrant. See Note 11 for details of the equity warrants issued. The interest rates on the remaining long-term financing agreements are generally indexed to one-month and three-month LIBOR rates. During the year ended December 31, 2020, the Company has significantly increased its long-term financing agreements. The warehouse credit facilities collateralized by loans are repurchase agreements intended to hold loans acquired by the Company. These loans are generally held in the warehouse credit facilities until they can be sold into a longer-term securitization structure. The maturity dates on the warehouse credit facilities range from 30 days to one year with interest rates indexed to the one-month and three-month LIBOR rates. The Secured financing agreements require the Company to post collateral at a specific rate in excess of the unpaid principal balance of the Agreement. For certain Secured financing agreements, this may require the Company to post additional margin if the fair value of the assets were to drop. To mitigate this risk, during the first half of 2020, the Company has negotiated several long-term financing agreements which are not subject to additional margin requirements upon a drop in the fair value of the collateral pledged. At December 31, 2020, the Company has $1.2 billion of Secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. Repurchase agreements may allow the credit counterparty to avoid the automatic stay provisions of the Bankruptcy Code, in the event of a bankruptcy of the Company, and take possession of, and liquidate, the collateral under such repurchase agreements without delay. $796 million of the long-term financing agreements are secured borrowing arrangements which are subject to the automatic stay provisions of the Bankruptcy Code. The Secured financing agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of December 31, 2020 and December 31, 2019 were: December 31, 2020 December 31, 2019 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 69,180 $ 6,247,275 Agency CMBS (in thousands) 1,333,799 2,013,515 Non-agency RMBS and Loans held for investment (in thousands) (1) 3,233,868 5,166,755 Total: $ 4,636,847 $ 13,427,545 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 86,160 $ 6,602,039 Agency CMBS (in thousands) 1,382,783 2,102,520 Non-agency RMBS and Loans held for investment (in thousands) 5,227,271 6,694,685 Total: $ 6,696,214 $ 15,399,244 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 1,407,713 $ 8,062,881 Agency CMBS (in thousands) 1,818,721 1,993,372 Non-agency RMBS and Loans held for investment (in thousands) 4,089,911 4,436,133 Total: $ 7,316,345 $ 14,492,386 Average borrowing rate of Secured financing agreements secured by: Agency RMBS (in thousands) 0.90 % 2.10 % Agency CMBS (in thousands) 0.21 % 2.10 % Non-agency RMBS and Loans held for investment (in thousands) 4.78 % 3.19 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 12 days 14 days Agency CMBS (in thousands) 11 days 13 days Non-agency RMBS and Loans held for investment (in thousands) 458 days 255 days Average original maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 14 days 38 days Agency CMBS (in thousands) 30 days 34 days Non-agency RMBS and Loans held for investment (in thousands) 492 days 279 days (1) The December 31, 2020 values for secured financing agreements in the table above is net of $8 million of deferred financing cost. At December 31, 2020 and December 31, 2019, we pledged $42 million and $20 million, respectively, of margin cash collateral to our secured financing agreement counterparties. At December 31, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. December 31, 2020 December 31, 2019 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA NA $ — NA NA 1 to 29 days 1,521,134 0.38% 0.20% - 2.72% 9,709,387 2.26% 1.90% - 3.62% 30 to 59 days 481,257 4.35% 2.42% - 6.61% 800,648 2.96% 2.15% - 3.52% 60 to 89 days 352,684 2.78% 1.34% - 6.30% 608,520 3.00% 2.59% - 3.35% 90 to 119 days 301,994 7.97% 7.97% - 7.97% — NA NA 120 to 180 days 595,900 5.29% 2.40% - 6.26% 809,077 3.38% 3.06% - 3.46% 180 days to 1 year 345,204 3.60% 3.25% - 4.50% 580,886 3.42% 3.26% - 3.51% 1 to 2 years — NA NA 427,981 3.28% 3.19% - 3.30% 2 to 3 years 642,696 4.91% 1.65% - 7.00% — NA NA Greater than 3 years 395,978 5.56% 5.56% - 5.56% 491,046 3.20% 3.19% - 3.20% Total $ 4,636,847 3.41% $ 13,427,545 2.52% (1) The December 31, 2020 values for secured financing agreements in the table above is net of $8 million of deferred financing cost. Certain of the long-term financing agreements and warehouse credit facilities are subject to certain coven ants. These covenants include that the Company maintain its REIT status as well as maintain a net asset value or GAAP equity greater than a certain level. If the Company fails to comply with these covenants at any time, the financing may become immediately due in full. Additionally, certain financing agreements become immediately due if the total stockholders' equity of the Company drops by 50% from the most recent year end. Currently, the Company is in compliance with all covenants and does not expect to fail to comply with any of these covenants within the next twelve months . The Company has a total of $1.1 billion unused uncommitted warehouse credit facilities as of December 31, 2020.

Securitized Debt

Securitized Debt	12 Months Ended
	Dec. 31, 2020
Debt Disclosure [Abstract]
Securitized Debt	Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as Loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At December 31, 2020 and December 31, 2019, the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $135 million and $152 million, respectively. At December 31, 2020 and December 31, 2019, the debt carried a weighted average coupon of 6.5%. As of December 31, 2020, the maturities of the debt range between the years 2035 and 2037. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. During the year ended December 31, 2020, the Company did not acquire any securitized debt collateralized by Non-Agency RMBS. During the year ended December 31, 2019, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $2.9 million for $3.5 million. This transaction resulted in net loss on extinguishment of debt of $608 thousand. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 13,552 $ 18,826 One to Three Years 11,229 18,332 Three to Five Years 1,589 4,453 Greater Than Five Years 305 665 Total $ 26,675 $ 42,276 Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying collateral. The estimate of their repayment is based on scheduled principal payments on the underlying collateral. This estimate will differ from actual amounts to the extent prepayments or losses are experienced. See Note 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At December 31, 2020 and December 31, 2019, the Company’s securitized debt collateralized by loans held for investment had a principal balance of $8.7 billion and $8.2 billion, respectively. At December 31, 2020 and December 31, 2019, the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 3.4% and 4.2%, respectively. As of December 31, 2020, the maturities of the debt range between the years 2023 and 2067. During the year ended December 31, 2020, the Company acquired securitized debt collateralized by loans held for investment with an amortized cost balance of $785 million for $784 million. This transaction resulted in net gain on extinguishment of debt of $1 million. The Company did not acquire any securitized debt collateralized by loans held for investments during the year ended December 31, 2019. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 1,837,055 $ 1,582,646 One to Three Years 2,819,646 2,563,699 Three to Five Years 1,774,273 1,791,756 Greater Than Five Years 2,170,253 2,129,460 Total $ 8,601,227 $ 8,067,561 Maturities of the Company’s securitized debt collateralized by loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by loans held for investment contain call provisions at the option of the Company. The following table presents the par value of the callable debt by year at December 31, 2020. December 31, 2020 (dollars in thousands) Year Principal Currently callable 2,496,899 2021 2,379,338 2022 1,382,714 2023 1,254,064 Total $ 7,513,015

Long Term Debt

Long Term Debt	12 Months Ended
	Dec. 31, 2020
Debt Disclosure [Abstract]
Long Term Debt	Long Term Debt Convertible Senior Notes In April 2020, the Company completed its registered underwritten public offering of $374 million (including exercise of the underwriters' overallotment option) aggregate principal amount of 7.0% convertible senior notes due 2023 (the “Notes” or “Note Offering”). These Notes require semi-annual interest payments at a fixed coupon rate of 7.0% until maturity or conversion, which will be no later than April 1, 2023. After deducting the underwriting discount and offering costs, the Company received $362 million. At completion of the offering, these notes were convertible at the option of the holder at a conversion rate of 153.8461 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $6.50 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. As of December 31, 2020, approximately $321 million of senior notes were converted into approximately 49 million common stock of the Company. At December 31, 2020, the outstanding principal amount of these notes was $53 million and the accrued interest payable on the debt was $1 million. At December 31, 2020, the unamortized deferred debt issuance cost was $1 million and the net interest expense was $7 million. The unamortized deferred debt issuance costs will be amortized until maturity or conversion, which will be no later than April 1, 2023. In April 2020, concurrently with the pricing of the Notes, the Company entered into call option transactions with respect to the Common Stock (the “Capped Call Transactions”) with affiliates of Credit Suisse Securities (USA) LLC (the “Counterparty”). The Capped Call Transactions have an initial strike price of approximately $6.50 per share and cover approximately $250 million of the offering. The Capped Call Transactions will expire upon the maturity of the Notes, if not earlier exercised or terminated. The Capped Call Transactions are expected generally to reduce the potential dilution to the Company’s common stock upon any conversion of the Notes and/or offset any cash payments the Company is required to make in excess of the principal amount of converted Notes, as the case may be, with such reduction and/or offset subject to a cap initially equal to approximately $8.45 (which represents a premium of approximately 30% over the last reported sale price of the common stock on April 7, 2020). The Capped Call Transactions are separate transactions, entered into by the Company with the Counterparty, and are not part of the terms of the Notes. The Company used approximately $33.75 million of the net proceeds from the offering of the Notes to pay the cost of the Capped Call Transactions which is recorded within additional paid in capital on the Consolidated Statements of Changes in Stockholders' Equity. The Company exercised its capped call options during the fourth quarter of 2020 and received a settlement of 4.7 million shares, which were retired and removed from issued and outstanding shares.

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	12 Months Ended
	Dec. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Consolidated Securitization Vehicles and Other Variable Interest Entities	Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of December 31, 2020, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.2 billion and liabilities with a carrying value of $8.1 billion. As of December 31, 2019, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.5 billion and liabilities with a carrying value of $8.1 billion. During the year ended December 31, 2020, the Company securitized and consolidated approximately $2.5 billion unpaid principal balance of seasoned residential subprime mortgage loans. During the year ended December 31, 2019, the Company securitized and consolidated approximately $1.5 billion unpaid principal balance of seasoned residential subprime mortgage loans. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 505,479 $ 598,080 Loans held for investment, at fair value 11,591,598 11,853,659 Accrued interest receivable 53,804 63,218 Other assets 14,136 29,787 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 113,433 $ 133,557 Securitized debt at fair value, collateralized by loans held for investment 7,923,523 7,899,259 Accrued interest payable 23,677 28,775 Other liabilities 2,477 2,644 (1) December 31, 2020 balance includes allowance for credit losses of $117 thousand.. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Year ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 683,456 $ 780,746 $ 904,830 Interest expense, Non-recourse liabilities of VIEs 285,142 337,387 395,255 Net interest income $ 398,314 $ 443,359 $ 509,575 (Increase) decrease in provision for credit losses $ (117) $ — $ — Net other-than-temporary credit impairment losses $ — $ (4,255) $ (18,845) Servicing fees $ 32,479 $ 33,920 $ 39,313 VIEs for Which the Company is Not the Primary Beneficiary

Derivative Instruments

Derivative Instruments	12 Months Ended
	Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments In connection with the Company’s interest rate risk strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and Treasury futures. The Company’s swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The Company typically agrees to pay a fixed rate of interest, or pay rate, in exchange for the right to receive a floating rate of interest, or receive rate, over a specified period of time. Treasury futures are derivatives which track the prices of generic benchmark Treasury securities with identical maturity and are traded on an active exchange. It is generally the Company’s policy to close out any Treasury futures positions prior to delivering the underlying security. The Company uses Treasury futures to lock in a fixed rate related to a portion of its current and anticipated payments on its secured financing agreements. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2020 and December 31, 2019. The Company did not have any derivative instruments as of December 31, 2020. December 31, 2020 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — December 31, 2019 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,111,300 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 204,611 $ (122,272) $ (125,595) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (470,352) (356,713) (1,488) Treasury Futures Net unrealized gains (losses) on derivatives (3,611) 16,986 (16,928) Treasury Futures Net realized gains (losses) on derivatives (34,700) (37,032) 21,333 Swaptions Net unrealized gains (losses) on derivatives — (923) 1,361 Swaptions Net realized gains (losses) on derivatives — (404) (1,476) Total $ (304,052) $ (500,358) $ (122,793) (1) Includes loss on termination of interest rate swaps of $464 million and $360 million during the years ended December 31, 2020 and 2019, respectively. There were no swap terminations during the year ended December 31, 2018. The Company paid $464 million to terminate interest rate swaps with a notional value of $4.1 billion during the year ended December 31, 2020. The terminated swaps had original maturities from 2023 to 2048. The company paid $360 million to terminate interest rate swaps with a notional value of $6.4 billion during the year ended December 31, 2019. The Company did not have any interest rate swaps as of December 31, 2020. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2019 was 2.62% and the weighted average receive rate was 1.94%. The weighted average maturity on the Company’s interest rate swaps at December 31, 2019 was 6 years. When the Company enters into derivative contracts, they are typically subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange, or NYSE. Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. Certain of the Company’s interest rate swaps are cleared through a registered commodities exchange. Each of the Company’s International Swaps and Derivative Association, or ISDA, and clearing exchange agreements contains provisions under which the Company is required to fully collateralize its obligations under the interest rate swap agreements if at any point the fair value of the swap represents a liability greater than the minimum transfer amount contained within the agreements. The Company is also required to post initial collateral upon execution of certain of its swap transactions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value. The Company uses clearing exchange market prices to determine the fair value of its interest rate swaps.

Capital Stock

Capital Stock	12 Months Ended
	Dec. 31, 2020
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $12 million, or $2.00 per preferred share during the years ended December 31, 2020 and 2019, respectively. The Company declared dividends to Series B preferred stockholders of $26 million, or $2.00 per preferred share during the years ended December 31, 2020 and 2019, respectively. The Company declared dividends to Series C preferred stockholders of $20 million, or $1.94 per preferred share during the years ended December 31, 2020 and 2019, respectively. The Company declared dividends to Series D preferred stockholders of $16 million, or $2.00 per preferred share during the years ended December 31, 2020, respectively. The Company declared dividends to Series D preferred stockholders of $15 million, or $1.87, respectively, per preferred share during the year ended December 31, 2019. Common Stock In March 2020, our Board of Directors reauthorized $150 million under our share repurchase program, or the Repurchase Program. Such authorization does not have an expiration date, and at present, there is no intention to modify or otherwise rescind such authorization. Shares of our common stock may be purchased in the open market, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended, or the Exchange Act. The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, the Company intends to only consider repurchasing shares of our common stock when the purchase price is less than the last publicly reported book value per common share. In addition, the Company does not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate the Company to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. The Company repurchased approximately 1.4 million shares of its common stock at an average price of $15.34 per share for a total of $22 million during the year ended December 31, 2020. The Company did not repurchase any of its common stock during the year ended December 31, 2019. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $128 million as of December 31, 2020. The Company declared dividends to common shareholders of $301 million, or $1.40, per share and $377 million, or $2.00, per share during the years ended December 31, 2020 and December 31, 2019, respectively. Warrants On June 8, 2020, the Company and certain lenders entered into a $400 million senior secured, non-mark-to-market Credit Agreement. In connection with the Credit Agreement, on June 8, 2020, the Company issued non-detachable Warrants to affiliates of each of the Lenders, which provides the Lenders the right to purchase up to an aggregate of 20,300,000 shares (the “Warrant Shares”) of the Company’s common stock, at a price of $0.01 per share, which represented approximately 7.7% of the Company’s common stock after giving effect to the issuance of the Warrant Shares. The number of Warrant Shares may be proportionally adjusted for stock distributions, stock splits, cash distributions above specified threshold amounts, mergers, reorganizations, spin-offs and other customary events, as well as issuances by the Company of common stock below specified levels (subject to certain exceptions). The Warrants have an exercise price of $0.01 per share and are exercisable generally on the earlier of (i) June 8, 2023; (ii) the date on which the amounts financed under the Credit Agreement are discharged in full, and (iii) an event of default is declared under the Credit Agreement and all amounts are then due, and are exercisable for one year. The Company is permitted to settle any exercise of the Warrants in cash at a price of 90% of the fair market value of the Company’s common stock at the time of exercise. Earnings per share for the years ended December 31, 2020, 2019 and 2018 respectively, are computed as follows: For the Year Ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 15,104 $ 340,847 $ 368,440 Effect of dilutive securities: Interest expense attributable to convertible notes — — $ — Net income (loss) available to common shareholders - Diluted $ 15,104 $ 340,847 $ 368,440 Denominator: Weighted average basic shares 212,995,533 187,156,990 187,146,170 Effect of dilutive securities 13,442,808 1,249,454 602,692 Weighted average dilutive shares 226,438,341 188,406,444 187,748,862 Net income (loss) per average share attributable to common stockholders - Basic $ 0.07 $ 1.82 $ 1.97 Net income (loss) per average share attributable to common stockholders - Diluted $ 0.07 $ 1.81 $ 1.96

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	12 Months Ended
	Dec. 31, 2020
Equity [Abstract]
Accumulated Other Comprehensive Income	Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the years ended December 31, 2020 and 2019: December 31, 2020 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2019 $ 708,336 $ 708,336 OCI before reclassifications (94,136) (94,136) Amounts reclassified from AOCI (56,104) (56,104) Net current period OCI (150,240) (150,240) Balance as of December 31, 2020 $ 558,096 $ 558,096 December 31, 2019 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2018 $ 626,832 $ 626,832 OCI before reclassifications 70,855 70,855 Amounts reclassified from AOCI 10,649 10,649 Net current period OCI 81,504 81,504 Balance as of December 31, 2019 $ 708,336 $ 708,336 The following table presents the details of the reclassifications from AOCI for the years ended December 31, 2020 and 2019: December 31, 2020 December 31, 2019 Details about Accumulated OCI Components Amounts Reclassified Amounts Reclassified Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 56,104 $ (5,796) Net realized gains (losses) on sales of investments — (4,853) Net other-than-temporary credit impairment losses $ 56,104 $ (10,649) Income before income taxes — — Income taxes $ 56,104 $ (10,649) Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	12 Months Ended
	Dec. 31, 2020
Compensation Related Costs [Abstract]
Equity Compensation, Employment Agreements and other Benefit Plans	Equity Compensation, Employment Agreements and other Benefit Plans In accordance with the terms of the Company’s 2007 Equity Incentive Plan (as amended and restated on December 10, 2015), or the Incentive Plan, directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a vesting period lasting three years. During the vesting period, these shares may not be sold. There were approximately 3 million shares available for future grants under the Incentive Plan as of December 31, 2020. The Compensation Committee of the Board of Directors of the Company has approved a Stock Award Deferral Program, or the Deferral Program. Under the Deferral Program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the Equity Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant who is separating. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. Grants of Restricted Stock Units or, RSUs During years ended December 31, 2020 and 2019, the Company granted RSU awards to senior management. These RSU awards are designed to reward senior management of the Company for services provided to the Company. Generally, the RSU awards vest equally over a three-year period beginning from the grant date and will fully vest after three years. For employees whose years of service to the Company plus age is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of the Company’s common stock on the grant date and generally the employees must be employed by the Company on the vesting dates to receive the RSU awards. The Company granted 414 thousand RSU awards during the year ended December 31, 2020, with a grant date fair value of $5 million for the 2020 performance year. The Company granted 487 thousand RSU awards during the year ended December 31, 2019 with a grant date fair value of $9 million, for the 2018 and 2019 performance years. Grants of Performance Share Units or, PSUs PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the year of 2020 and 2019 include a three-year performance period ending on December 31, 2022 and December 31, 2021, respectively. The final number of shares awarded will be between 0% and 200% of the PSUs granted based on the Company Economic Return compared to a peer group. The Company’s three-year Company Economic Return is equal to the Company’s change in book value per common share plus common stock dividends. Compensation expense will be recognized on a straight-line basis over the three-year vesting period based on an estimate of the Company Economic Return in relation to the entities in the peer group and will be adjusted each period based on the Company’s best estimate of the actual number of shares which will vest. During the year ended December 31, 2020, the Company granted 173 thousand PSU awards to senior management with a grant date fair value of $3 million. During the year ended December 31, 2019, the Company granted 318 thousand PSU awards to senior management with a grant date fair value of $5 million. The following table presents information with respect to the Company's stock awards during the years ended December 31, 2020 and 2019. For the Year Ended December 31, 2020 December 31, 2019 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 1,900,371 $ 17.30 1,256,069 $ 16.66 Granted 587,233 $ 15.10 862,261 $ 17.95 Vested (213,887) $ 18.59 (207,827) $ 16.11 Forfeited (129,849) $ 18.16 (10,132) $ 18.63 Unvested shares outstanding - end of period 2,143,868 $ 16.51 1,900,371 $ 17.30 The Company recognized stock based compensation expenses of $9 million and $13 million, respectively, for the years ended December 31, 2020 and 2019. The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. For the year ended December 31, 2020, employees may contribute, through payroll deductions, up to $19,500 if under the age of 50 years and an additional $6,500 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expenses related to the Company’s qualified plan for the years ended December 31, 2020 and 2019, were $446 thousand and $434 thousand, respectively.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2020
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the years ended December 31, 2020 and 2019, the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to U.S. federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions in which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and therefore the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRSs are subject to U.S. federal, state and local taxes. There were no significant income tax expenses for the years ended December 31, 2020 and 2019. The Company recorded a gross deferred tax asset of $30 million and $5 million for the years ended December 31, 2020 and 2019, respectively, relating to the activities of its TRSs. Of these amounts, the amount related to cumulative net operating losses was $25 million and $22 thousand as of December 31, 2020 and 2019, respectively, and the amount related to losses which were disallowed under Code Section 267(a) was $4 million as of December 31, 2020 and 2019. The amount related to interest disallowed under Code Section 163(j) was $1 million as of December 31, 2020 and 2019. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $30 million and $5 million for the years ended December 31, 2020 and 2019. The Company’s effective tax rate differs from its combined U.S. federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). The Company’s U.S. federal, state and local tax returns for the tax years ending on or after December 31, 2017 remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	12 Months Ended
	Dec. 31, 2020
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under secured financing agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing. The Company attempts to minimize credit risk through due diligence, asset selection and portfolio monitoring. The Company has established a whole loan target market including qualified mortgages, non-qualified mortgages and reperforming loans, compliance with regulatory requirements, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and secured financing agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a secured financing agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty. Our secured financing agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. The Company presents its assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition. As of December 31, 2020, the Company is not a party to any derivative instrument and not subject to this risk. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (4,636,847) $ — $ (4,636,847) $ 6,696,214 $ 41,871 $ 2,101,238 Total $ (4,636,847) $ — $ (4,636,847) $ 6,696,214 $ 41,871 $ 2,101,238 (1) Included in other assets December 31, 2019 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (13,427,545) $ — $ (13,427,545) $ 15,399,244 $ 20,211 $ 1,991,910 Interest Rate Swaps - Gross Assets 1,092 (1,092) — — 119,469 119,469 Interest Rate Swaps - Gross Liabilities (205,703) 205,703 — — — — Treasury Futures - Gross Assets 3,611 — 3,611 — 1,514 5,125 Treasury Futures - Gross Liabilities — — — — — — Total $ (13,628,545) $ 204,611 $ (13,423,934) $ 15,399,244 $ 141,194 $ 2,116,504 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	12 Months Ended
	Dec. 31, 2020
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain securitization transactions engaged in by the Company, it has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. The Company has made a $150 million capital commitment to Hains Point, LLC (Hains Point), a fund which is consolidated by the Company as the sole investor in the fund. As of December 31, 2020, the Company has funded $124 million towards that commitment. Capital calls for investments made in Hains Point are subject to our consent and approval. The Company issued Warrants to purchase 20.3 million shares of the Company’s common stock. See Note 11 for further discussion. At exercise, the Company will deliver 20.3 million common shares or cash at a price per share equal to 90% of the fair market value of the Company’s common stock at the time of exercise. This commitment is not reflected in the Company’s issued and outstanding shares.

Subsequent Events

Subsequent Events	12 Months Ended
	Dec. 31, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent EventsNone.

Summarized Quarterly Results (U

Summarized Quarterly Results (Unaudited)	12 Months Ended
	Dec. 31, 2020
Quarterly Financial Information Disclosure [Abstract]
Summarized Quarterly Results (Unaudited)	Summarized Quarterly Results (Unaudited)The following is a presentation of the results of operations for the quarters ended December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020. For the Quarter Ended December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 236,156 $ 247,905 $ 245,922 $ 300,266 Interest expense 120,285 124,557 129,256 142,083 Net interest income 115,871 123,348 116,666 158,183 Increase/(decrease) in provision for credit losses (13) 1,650 4,497 (6,314) Net gains (losses) on derivatives — — — (304,052) Net unrealized gains (losses) on financial instruments at fair value 61,379 260,766 (171,921) (260,887) Net realized gains (losses) on sales of investments (329) 65,041 26,380 75,854 Gain (loss) on Extinguishment of Debt 919 (55,794) 459 — Total other expenses 30,566 27,620 31,000 33,507 Net income (loss) $ 147,234 $ 367,329 $ (54,955) $ (370,755) Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ 128,796 $ 348,891 $ (73,393) $ (389,193) Net income per common share-basic $ 0.55 $ 1.50 $ (0.37) $ (2.08) The following is a presentation of the results of operations for the quarters ended December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019. For the Quarter Ended December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 340,662 $ 330,144 $ 339,914 $ 350,389 Interest expense 169,203 188,551 198,110 202,950 Net interest income 171,459 141,593 141,804 147,439 Net other-than-temporary credit impairment losses — — — (4,853) Net gains (losses) on derivatives 78,030 (136,671) (237,079) (204,638) Net unrealized gains (losses) on financial instruments at fair value (112,751) 130,825 190,748 200,812 Net realized gains (losses) on sales of investments 17,687 1,596 (7,526) 8,603 Gain (loss) on Extinguishment of Debt 9,926 — (608) — Total other expenses 33,998 31,015 28,424 29,216 Net income (loss) $ 130,318 $ 106,326 $ 58,760 $ 118,147 Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 17,392 Net income (loss) available to common shareholders $ 111,880 $ 87,888 $ 40,322 $ 100,755 Net income per common share-basic $ 0.60 $ 0.47 $ 0.22 $ 0.54

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2020
Accounting Policies [Abstract]
Basis of Presentation and Consolidation and Statements of Financial Condition Presentation	Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States, or GAAP. In the opinion of the Company, all normal and recurring adjustments considered necessary for a fair presentation of its financial position, results of operations and cash flows have been included. Investment securities transactions are recorded on the trade date. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities, or VIEs, in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained as well as certain risks associated with being the sponsor and depositor of and the seller, directly or indirectly to, the securitizations entities. Determining the primary beneficiary of a VIE requires judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance, or power, such as rights to replace the servicer without cause or the Company was determined to have power in connection with its involvement with the structure and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Consolidated Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied using proceeds from each securitization vehicle’s respective asset pool.
Cash and Cash Equivalents	Cash and Cash EquivalentsCash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2020 and December 31, 2019.
Agency and Non-Agency Mortgage-Backed Securities	Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company’s investments in MBS includes investments in both Agency MBS and Non-Agency MBS. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company classifies its MBS as available-for-sale sale (AFS) or in accordance with the fair-value option (FVO). MBS classified as AFS are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in Other comprehensive income (OCI). MBS classified as FVO are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in earnings. See Note 5 of these consolidated financial statements for further discussion of MBS carried at FVO and how the Company determines fair value. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and an allowance for credit losses related to its MBS is as follows: Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests give the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC), 325-40, Beneficial Interests in Securitized Financial Assets, (ASC 325-40) as amended by the accounting standards update (ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments (ASU 2016-13). Interest income on the Company’s beneficial interests is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If there is no allowance for credit losses, or if the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition, the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on beneficial interests will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all beneficial interests when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in the Company's estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a monthly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes its investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk).
Loans Held for Investment	Loans Held for Investment The Company's Loans held for investments is primarily comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned
Secured Financing Agreements	Secured Financing AgreementsThe Company finances the acquisition of a significant portion of its mortgage-backed securities with secured financing agreements. The Company has evaluated each agreement and has determined that each of the secured financing agreements be accounted for as secured borrowings, which is recourse to the Company.
Securitized Debt and Long Term Debt	Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Long Term Debt The Company's Long Term Debt currently comprised of Convertible Senior Notes. Convertible notes include unsecured convertible debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. Any debt discounts or premiums are reported as an adjustment to the carrying amount of the debt liability and amortized into interest expense using the effective interest method. If converted by a holder, the holder of the notes would receive shares of our common stock. Deferred debt issuance costs are expenses associated with the issuance of long-term debt. These expenses typically include underwriting, legal, accounting, and other fees. Deferred debt issuance costs are included in the carrying value of the related long-term debt issued and are amortized as an adjustment to interest expense using the effective interest method, based upon the actual and estimated repayment schedules of the related long-term debt issued.
Fair Value	Fair Value The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. All Agency MBS investments owned prior to July 1, 2017 will continue to be carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings was $417 million and $423 million as of December 31, 2020 and 2019, respectively. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $262 million and $289 million as of December 31, 2020 and 2019. Included in Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $91 million and $128 million as of December 31, 2020 and 2019. Included in Agency CMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $26 million and $49 million as of December 31, 2020 and 2019. Interest income reported on all IO MBS securities was $43 million and $27 million for the years ended December 31, 2020 and 2019, respectively. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.
Derivatives Financial Instruments	Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 10 Derivative Instruments for further details.
Sales, Securitizations, and Re-Securitzations	Sales, Securitizations, and Re-SecuritizationsThe Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield.
Income Taxes	Income TaxesThe Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure.
Net Income per Share	Net Income per ShareThe Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock and warrants. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion options is in or out of the money) to the denominator for the purposes of calculating diluted EPS. Refer to Note 11 Capital Stock for further information.
Stock-Based Compensation	Stock-Based CompensationCompensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company recognizes forfeitures when they occur and does not adjust the fair value of the grants for estimated forfeitures. For awards subject to vesting on a straight line basis, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For certain awards based on the performance of the Company, it engages an independent appraisal company to determine the value of the award at the date of grant and for other awards it estimates the value of the grant based on its expected performance relative to an established peer group. The Company considers the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures.
Use of Estimates	Use of EstimatesThe preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. The Company has made significant estimates including in accounting for income recognition on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates.
Recent Accounting Pronouncements	Recent Accounting Pronouncements Financial Instruments - Credit Losses - (Topic 326) On January 1, 2020 the Company adopted accounting standards update (or ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaced the previous model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (or CECL) model for financial instruments measured at amortized cost and required the Company to record an allowance for credit losses on available-for-sale (or AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company did under the OTTI model. This update also revised the accounting model for purchased credit-impaired debt securities. The changes in the allowance for credit losses created in accordance with this update have been recorded in earnings. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update. The update did not have any impact on financial instruments which were carried at fair value with changes in fair value recorded in earnings. As all Loans held for investment are carried at fair value, with changes in fair value recorded in earnings, the update had no impact on the carrying value or revenue recognition of Loans held for investment. On January 1, 2020, the effective date of the update, the Company was required to record a cumulative-effect adjustment related to financial instruments under the scope of this update to the statement of financial position. As all financial instruments impacted by the update, including all purchased credit impaired debt securities, were in an unrealized gain position as of the effective date, there was no impact on the financial statements at the transition date and no cumulative-effect adjustment was required. In addition, the update superseded subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality . As of January 1, 2020, the Company accounted all investments previously classified as AFS and under subtopic 310-30, using the subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets . Reference Rate Reform (Topic 848) In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for all entities as of March 12, 2020 through December 31, 2022. An entity may elect to apply the amendments for contract modifications by Topic or Industry Subtopic as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements. Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40) In August 2020, the FASB issued ASU No. 2020-6, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity. The FASB issued this update to simplify the current guidance for convertible instruments and the derivatives scope exception for contracts in an entity’s own equity. Additionally, the amendments affect the diluted EPS calculation for instruments that may be settled in cash or shares and for convertible instruments. The update also provides for expanded disclosure requirements to increase transparency. The amendments in this update are effective for fiscal years beginning after December 15, 2021 including interim periods within those fiscal years. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	12 Months Ended
	Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Schedule of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments	The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,560,135 $ 3,934 $ (773,804) $ 790,265 $ (180) $ 1,277,800 $ 487,963 $ (248) $ 487,715 Subordinated 905,674 7,059 (347,056) 565,677 — 610,655 83,007 (38,029) 44,978 Interest-only 5,628,240 249,610 — 249,610 — 262,259 67,868 (55,219) 12,649 Agency RMBS Pass-through — — — — — — — — — Interest-only 1,262,963 118,867 — 118,867 — 90,738 270 (28,399) (28,129) Agency CMBS Project loans 1,527,621 28,559 (861) 1,555,319 — 1,714,483 159,233 (69) 159,164 Interest-only 1,326,665 23,572 — 23,572 — 25,885 2,659 (346) 2,313 Total $ 12,211,298 $ 431,601 $ (1,121,721) $ 3,303,310 $ (180) $ 3,981,820 $ 801,000 $ (122,310) $ 678,690 December 31, 2019 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 2,024,564 $ 2,038 $ (953,916) $ 1,072,686 $ 1,700,911 $ 628,518 $ (293) $ 628,225 Subordinated 876,592 9,915 (332,913) 553,594 624,598 76,272 (5,268) 71,004 Interest-only 7,458,653 301,170 — 301,170 288,899 51,481 (63,752) (12,271) Agency RMBS Pass-through 6,080,547 131,023 — 6,211,570 6,362,626 152,271 (1,215) 151,056 Interest-only 1,539,941 139,536 — 139,536 127,667 220 (12,089) (11,869) Agency CMBS Project loans 2,621,938 52,681 (4,961) 2,669,658 2,801,692 132,700 (666) 132,034 Interest-only 1,817,246 51,140 — 51,140 49,025 586 (2,701) (2,115) Total $ 22,419,481 $ 687,503 $ (1,291,790) $ 10,999,354 $ 11,955,418 $ 1,042,048 $ (85,984) $ 956,064
Schedule of Temporary Impairment Losses, Investments	The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and December 31, 2019. All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses. December 31, 2020 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ 11,985 $ (248) 2 $ — $ — — $ 11,985 $ (248) 2 Subordinated 253,822 (8,711) 5 34,697 (29,318) 15 288,519 (38,029) 20 Interest-only 38,604 (8,682) 34 22,761 (46,537) 43 61,365 (55,219) 77 Agency RMBS Pass-through — — — — — — — — — Interest-only 31,059 (4,938) 6 54,153 (23,461) 16 85,212 (28,399) 22 Agency CMBS Project loans — — — 8,581 (69) 1 8,581 (69) 1 Interest-only 4,052 (346) 6 — — — 4,052 (346) 6 Total $ 339,522 $ (22,925) 53 $ 120,192 $ (99,385) 75 $ 459,714 $ (122,310) 128 December 31, 2019 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 31,635 $ (293) 1 $ 31,635 $ (293) 1 Subordinated 69,178 (5,064) 9 1,836 (204) 11 71,014 (5,268) 20 Interest-only 50,376 (22,737) 46 64,129 (41,015) 66 114,505 (63,752) 112 Agency RMBS Pass-through 11,398 (605) 4 67,552 (610) 5 78,950 (1,215) 9 Interest-only 121,228 (12,089) 22 — — — 121,228 (12,089) 22 Agency CMBS Project loans 41,971 (277) 3 44,896 (389) 4 86,867 (666) 7 Interest-only 15,045 (295) 6 9,930 (2,406) 7 24,975 (2,701) 13 Total $ 309,196 $ (41,067) 90 $ 219,978 $ (44,917) 94 $ 529,174 $ (85,984) 184
Schedule of Summary of Credit Loss Allowance	A summary of the credit loss allowance on available-for-sale securities for the year ended December 31, 2020 is presented below. For the Year Ended December 31, 2020 (dollars in thousands) Beginning allowance for credit losses $ — Transition impact from CECL standard — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 6,594 Allowance on purchased financial assets with credit deterioration — Reductions for the securities sold during the period (321) Increase/(decrease) on securities with an allowance in the prior period (3,765) Write-offs charged against the allowance (2,401) Recoveries of amounts previously written off 73 Ending allowance for credit losses $ 180
Schedule of Significant Credit Quality Indicators	The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2020. December 31, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 46,500,000 9.2% 3.5% 58.3%
Summary of Unrealized Gains and Losses on MBS	The following tables present a summary of unrealized gains and losses at December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 487,963 $ — $ 487,963 $ (248) $ — $ (248) Subordinated 65,043 17,964 83,007 — (38,029) (38,029) Interest-only — 67,868 67,868 — (55,219) (55,219) Agency RMBS Pass-through — — — — — — Interest-only — 270 270 — (28,399) (28,399) Agency CMBS Project loans 5,407 153,826 159,233 (69) — (69) Interest-only — 2,659 2,659 — (346) (346) Total $ 558,413 $ 242,587 $ 801,000 $ (317) $ (121,993) $ (122,310) December 31, 2019 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 628,518 $ — $ 628,518 $ (293) $ — $ (293) Subordinated 57,174 19,098 76,272 (55) (5,213) (5,268) Interest-only — 51,481 51,481 — (63,752) (63,752) Agency RMBS Pass-through — 152,271 152,271 — (1,215) (1,215) Interest-only — 220 220 — (12,089) (12,089) Agency CMBS Project loans 23,643 109,057 132,700 (651) (15) (666) Interest-only — 586 586 — (2,701) (2,701) Total $ 709,335 $ 332,713 $ 1,042,048 $ (999) $ (84,985) $ (85,984)
Residential Mortgage Backed Securities Collateral Characteristics	The following tables provide a summary of the Company’s MBS portfolio at December 31, 2020 and December 31, 2019. December 31, 2020 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,560,135 $ 50.65 81.90 4.5 % 16.9 % Subordinated 905,674 62.46 67.43 3.8 % 6.3 % Interest-only 5,628,240 4.43 4.66 1.5 % 16.2 % Agency RMBS Interest-only 1,262,963 9.41 7.18 1.7 % 1.6 % Agency CMBS Project loans 1,527,621 101.81 112.23 4.1 % 3.8 % Interest-only 1,326,665 1.78 1.95 0.6 % 8.4 % (1) Bond Equivalent Yield at period end. December 31, 2019 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,024,564 $ 52.98 $ 84.01 5.0 % 20.8 % Subordinated 876,592 63.15 71.25 3.7 % 6.9 % Interest-only 7,458,653 4.04 3.87 1.1 % 8.4 % Agency RMBS Pass-through 6,080,547 102.15 104.64 4.0 % 3.4 % Interest-only 1,539,941 9.06 8.29 1.6 % 4.0 % Agency CMBS Project loans 2,621,938 101.82 106.86 3.7 % 3.6 % Interest-only 1,817,246 2.81 2.70 0.7 % 4.7 % (1) Bond Equivalent Yield at period end.
Credit Ratings of Residential MBS	The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 AAA 0.2 % 0.4 % AA 0.1 % 0.1 % A 1.2 % 0.9 % BBB 1.9 % 1.6 % BB 4.3 % 3.8 % B 2.0 % 1.6 % Below B 31.9 % 33.2 % Not Rated 58.4 % 58.4 % Total 100.0 % 100.0 %
Schedule of MBS by Estimated Weighted Average Life Classification	The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using the Company's prepayment assumptions for the Agency MBS and Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. December 31, 2020 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 7,850 $ 366,218 $ 467,336 $ 436,396 $ 1,277,800 Subordinated 5 105,272 102,805 402,573 610,655 Interest-only 5,780 143,631 110,468 2,380 262,259 Agency RMBS Pass-through — — — — — Interest-only — 864 89,874 — 90,738 Agency CMBS Project loans 8,581 — — 1,705,902 1,714,483 Interest-only 620 21,500 3,765 — 25,885 Total fair value $ 22,836 $ 637,485 $ 774,248 $ 2,547,251 $ 3,981,820 Amortized cost Non-Agency RMBS Senior $ 4,691 $ 256,935 $ 257,188 $ 271,451 $ 790,265 Subordinated — 83,188 78,435 404,054 565,677 Interest-only 26,286 138,150 82,368 2,806 249,610 Agency RMBS Pass-through — — — — — Interest-only — 1,898 116,969 — 118,867 Agency CMBS Project loans 8,650 — — 1,546,669 1,555,319 Interest-only 788 19,273 3,511 — 23,572 Total amortized cost $ 40,415 $ 499,444 $ 538,471 $ 2,224,980 $ 3,303,310 December 31, 2019 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less Greater than five years and less Greater than ten years Total Fair value Non-Agency RMBS Senior $ 16,343 $ 450,185 $ 676,382 $ 558,001 $ 1,700,911 Subordinated — 43,796 95,973 484,829 624,598 Interest-only — 126,631 159,057 3,211 288,899 Agency RMBS Pass-through — 5,939,408 421,539 1,679 6,362,626 Interest-only — 1,614 126,053 — 127,667 Agency CMBS Project loans 15,065 — 29,385 2,757,242 2,801,692 Interest-only — 20,528 28,497 — 49,025 Total fair value $ 31,408 $ 6,582,162 $ 1,536,886 $ 3,804,962 $ 11,955,418 Amortized cost Non-Agency RMBS Senior $ 15,206 $ 304,850 $ 409,958 $ 342,672 $ 1,072,686 Subordinated — 29,085 86,033 438,476 553,594 Interest-only — 150,221 148,889 2,060 301,170 Agency RMBS Pass-through — 5,796,044 414,482 1,044 6,211,570 Interest-only — 2,260 137,276 — 139,536 Agency CMBS Project loans 15,084 — 28,954 2,625,620 2,669,658 Interest-only — 22,950 28,190 — 51,140 Total amortized cost $ 30,290 $ 6,305,410 $ 1,253,782 $ 3,409,872 $ 10,999,354
Schedule of Various Characteristics of Residential Loan Portfolio	December 31, 2020 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.1 % 1.4 % 7.2 % 1.3 % 2.9 % 0.4 % 16.3 % December 31, 2019 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.9 % 1.4 % 2.5 % 1.4 % 2.8 % 0.7 % 12.6 % The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the years ended December 31, 2020 and 2019, respectively. December 31, 2020 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,347 1.00% to 17.74% 6/1/1983 - 2/1/2059 594,201 49,615 54,702 $250 to $500 425 1.51% to 10.63% 12/1/2027 - 2/1/2057 141,621 14,166 13,453 $500 to $750 80 2.00% to 9.88% 1/1/2034 - 10/1/2056 47,936 3,202 6,943 $750 to $1,000 25 1.97% to 7.88% 7/1/2036 - 2/1/2052 21,516 — 3,511 Over $1,000 15 2.88% to 6.63% 10/1/2034 - 6/1/2049 26,274 2,884 7,134 7,892 831,548 69,867 85,743 Fixed loans: $1 to $250 116,831 0.00% to 21.20% 6/1/1989 - 5/1/2062 8,897,433 713,804 720,323 $250 to $500 6,386 0.00% to 11.59% 12/1/2005 - 3/1/2065 2,115,608 215,357 253,377 $500 to $750 740 1.00% to 10.14% 6/1/2020 - 10/1/2059 433,973 35,765 66,947 $750 to $1,000 146 2.00% to 9.00% 3/1/2013 - 11/1/2058 124,869 7,620 23,804 Over $1,000 139 2.00% to 9.00% 12/1/2019 - 6/1/2059 236,762 18,563 40,235 124,242 11,808,645 991,109 1,104,686 Total 132,134 12,640,193 1,060,976 1,190,429 The foreclosure, bankruptcy, and REO principal balances on our loans were $298 million, $277 million and $30 million, respectively, as of December 31, 2020, which are included in the table above. December 31, 2019 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,776 1.00% to 19.24% 6/1/1983 - 3/13/2057 655,914 75,436 44,117 $250 to $500 497 2.00% to 13.13% 3/1/2023 - 7/1/2057 163,972 18,117 10,950 $500 to $750 96 2.00% to 9.38% 1/1/2034 - 10/1/2056 56,661 2,224 2,747 $750 to $1,000 20 1.97% to 8.13% 10/1/2036 - 11/1/2048 16,947 759 862 Over $1,000 12 2.00% to 6.63% 5/1/2036 - 10/1/2048 19,499 1,222 3,869 8,401 912,993 97,758 62,545 Fixed loans: $1 to $250 123,580 0.00% to 24.00% 6/1/1989 - 5/1/2062 9,482,855 1,021,054 571,242 $250 to $500 6,259 0.00% to 11.69% 12/1/2019 - 3/1/2065 2,059,131 275,574 131,472 $500 to $750 712 2.00% to 10.69% 8/1/2019 - 9/1/2059 418,044 46,972 12,137 $750 to $1,000 137 2.00% to 8.00% 3/1/2013 - 1/1/2058 116,993 6,224 5,312 Over $1,000 105 2.00% to 9.50% 9/1/2019 - 12/1/2057 179,827 10,497 — 130,793 12,256,850 1,360,321 720,163 Total 139,194 13,169,843 1,458,079 782,708 (1) The table above excludes approximately $754 million of Loans held for investments for December 31, 2019, which was purchased prior to the reporting date and settled subsequent to the reporting period. The foreclosure, bankruptcy, and REO principal balances on our loans were $299 million, $322 million and $59 million, respectively, as of December 31, 2019, which are included in the table above. The fair value of residential mortgage loans 90 days or more past due was $910 million and $597 million as of December 31, 2020 and December 31, 2019, respectively.
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio	The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 Weighted average maturity (years) 22.2 23.6 Weighted average amortized loan to value (1) 61.4 % 63.2 % Weighted average FICO (2) 714 719 Weighted average loan balance (in thousands) $ 291 $ 313 Weighted average percentage owner occupied 81.8 % 80.6 % Weighted average percentage single family residence 61.7 % 60.0 % Weighted average current credit enhancement 0.9 % 1.1 % Weighted average geographic concentration of top four states CA 33.8 % CA 32.5 % NY 8.7 % FL 6.6 % FL 7.9 % NY 6.3 % NJ 4.3 % TX 2.0 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
Schedule of Percentage of Non-Agency RMBS by Year Originated	The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2020 and December 31, 2019. Origination Year December 31, 2020 December 31, 2019 2003 and prior 1.7 % 1.3 % 2004 1.4 % 1.5 % 2005 10.3 % 10.7 % 2006 52.1 % 52.9 % 2007 27.2 % 26.6 % 2008 and later 7.3 % 7.0 % Total 100.0 % 100.0 %
Schedule of Gains and Losses from Sales of Investments	The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2020, 2019 and 2018 are as follows: For the Year Ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 166,747 38,659 100,791 Agency RMBS 5,710,134 2,915,545 7,064 Agency CMBS 1,060,987 375,489 9,120 Gross realized gains: Non-Agency RMBS 22,021 422 7,424 Agency RMBS 74,264 35,221 — Agency CMBS 88,929 11,328 122 Gross realized losses: Non-Agency RMBS (9,470) (1,445) (7,234) Agency RMBS (5,816) (24,531) (1,919) Agency CMBS (2,982) (2,225) (1,237) Net realized gain (loss) $ 166,946 $ 18,770 $ (2,844)

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	12 Months Ended
	Dec. 31, 2020
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Summary of Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value	The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at December 31, 2020 and December 31, 2019: For the Year Ended For the Year Ended December 31, 2020 December 31, 2019 (dollars in thousands) Balance, beginning of period $ 14,292,815 $ 12,572,581 Purchases 1,860,998 5,086,491 Principal paydowns (1,966,590) (1,717,745) Sales and settlements (1,053,943) (1,812,760) Net periodic accretion (amortization) (85,794) (77,491) Realized gains (losses) on sales and settlements — 1,590 Change in fair value 64,643 240,149 Balance, end of period $ 13,112,129 $ 14,292,815
Schedule of Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated	The loan portfolio for all residential mortgages were originated during the following periods: Origination Year December 31, 2020 December 31, 2019 (1) 2002 and prior 6.9 % 6.8 % 2003 5.9 % 6.0 % 2004 12.0 % 12.6 % 2005 18.2 % 18.6 % 2006 22.7 % 22.5 % 2007 22.4 % 20.7 % 2008 6.4 % 6.4 % 2009 1.3 % 1.5 % 2010 and later 4.2 % 4.9 % Total 100.0 % 100.0 % (1) The table above excludes approximately $754 million of Loans held for investments for December 31, 2019, which was purchased prior to the reporting date and settled subsequent to the reporting period.
Schedule of Various Characteristics of Residential Loan Portfolio	December 31, 2020 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.1 % 1.4 % 7.2 % 1.3 % 2.9 % 0.4 % 16.3 % December 31, 2019 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.9 % 1.4 % 2.5 % 1.4 % 2.8 % 0.7 % 12.6 % The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the years ended December 31, 2020 and 2019, respectively. December 31, 2020 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,347 1.00% to 17.74% 6/1/1983 - 2/1/2059 594,201 49,615 54,702 $250 to $500 425 1.51% to 10.63% 12/1/2027 - 2/1/2057 141,621 14,166 13,453 $500 to $750 80 2.00% to 9.88% 1/1/2034 - 10/1/2056 47,936 3,202 6,943 $750 to $1,000 25 1.97% to 7.88% 7/1/2036 - 2/1/2052 21,516 — 3,511 Over $1,000 15 2.88% to 6.63% 10/1/2034 - 6/1/2049 26,274 2,884 7,134 7,892 831,548 69,867 85,743 Fixed loans: $1 to $250 116,831 0.00% to 21.20% 6/1/1989 - 5/1/2062 8,897,433 713,804 720,323 $250 to $500 6,386 0.00% to 11.59% 12/1/2005 - 3/1/2065 2,115,608 215,357 253,377 $500 to $750 740 1.00% to 10.14% 6/1/2020 - 10/1/2059 433,973 35,765 66,947 $750 to $1,000 146 2.00% to 9.00% 3/1/2013 - 11/1/2058 124,869 7,620 23,804 Over $1,000 139 2.00% to 9.00% 12/1/2019 - 6/1/2059 236,762 18,563 40,235 124,242 11,808,645 991,109 1,104,686 Total 132,134 12,640,193 1,060,976 1,190,429 The foreclosure, bankruptcy, and REO principal balances on our loans were $298 million, $277 million and $30 million, respectively, as of December 31, 2020, which are included in the table above. December 31, 2019 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,776 1.00% to 19.24% 6/1/1983 - 3/13/2057 655,914 75,436 44,117 $250 to $500 497 2.00% to 13.13% 3/1/2023 - 7/1/2057 163,972 18,117 10,950 $500 to $750 96 2.00% to 9.38% 1/1/2034 - 10/1/2056 56,661 2,224 2,747 $750 to $1,000 20 1.97% to 8.13% 10/1/2036 - 11/1/2048 16,947 759 862 Over $1,000 12 2.00% to 6.63% 5/1/2036 - 10/1/2048 19,499 1,222 3,869 8,401 912,993 97,758 62,545 Fixed loans: $1 to $250 123,580 0.00% to 24.00% 6/1/1989 - 5/1/2062 9,482,855 1,021,054 571,242 $250 to $500 6,259 0.00% to 11.69% 12/1/2019 - 3/1/2065 2,059,131 275,574 131,472 $500 to $750 712 2.00% to 10.69% 8/1/2019 - 9/1/2059 418,044 46,972 12,137 $750 to $1,000 137 2.00% to 8.00% 3/1/2013 - 1/1/2058 116,993 6,224 5,312 Over $1,000 105 2.00% to 9.50% 9/1/2019 - 12/1/2057 179,827 10,497 — 130,793 12,256,850 1,360,321 720,163 Total 139,194 13,169,843 1,458,079 782,708 (1) The table above excludes approximately $754 million of Loans held for investments for December 31, 2019, which was purchased prior to the reporting date and settled subsequent to the reporting period. The foreclosure, bankruptcy, and REO principal balances on our loans were $299 million, $322 million and $59 million, respectively, as of December 31, 2019, which are included in the table above. The fair value of residential mortgage loans 90 days or more past due was $910 million and $597 million as of December 31, 2020 and December 31, 2019, respectively.
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Schedule of Key Characteristics of Residential Loan Portfolio	The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2020 and December 31, 2019: December 31, 2020 December 31, 2019 (1) Number of loans 132,134 139,194 Weighted average maturity (years) 19.6 19.3 Weighted average loan to value 86.1 % 87.4 % Weighted average FICO 630 627 Weighted average loan balance (in thousands) $ 96 $ 95 Weighted average percentage owner occupied 87.7 % 88.0 % Weighted average percentage single family residence 83.3 % 84.4 % Weighted average geographic concentration of top five states CA 12.4 % CA 11.6 % FL 8.0 % FL 7.4 % NY 7.3 % NY 6.9 % PA 5.0 % OH 5.3 % VA 4.9 % PA 5.3 %

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	12 Months Ended
	Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments	The table below shows the unpaid principal and fair value of the financial instruments carried with fair value option as of December 31, 2020 and December 31, 2019, respectively: December 31, 2020 December 31, 2019 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-agency RMBS Subordinated 632,335 416,745 580,761 422,826 Interest-only 5,628,240 262,259 7,458,653 288,899 Agency RMBS Pass-through — — 6,080,549 6,362,628 Interest-only 1,262,963 90,738 1,539,941 127,667 Agency CMBS Project loans 1,413,719 1,592,473 1,753,755 1,889,923 Interest-only 1,326,665 25,885 1,817,246 49,025 Loans held for investment, at fair value 12,640,195 13,112,129 13,924,291 14,292,815 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,705,200 8,711,677 8,184,369 8,179,608 The table below shows the impact of change in fair value on each of the financial instruments carried with fair value option in statement of operations as of December 31, 2020 and December 31, 2019, respectively: For the Year Ended December 31, 2020 December 31, 2019 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Senior — — Subordinated (33,950) 10,513 Interest-only 24,919 18,064 Agency RMBS Pass-through (151,056) 124,685 Interest-only (16,260) (13,359) Agency CMBS Project loans 44,783 146,441 Interest-only 4,429 2,054 Loans held for investment, at fair value 64,643 240,148 Liabilities: Securitized debt at fair value, collateralized by loans held for investment (48,172) (118,911)
Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2020 and December 31, 2019 are presented below. December 31, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,150,714 $ — $ 2,150,714 Agency RMBS, at fair value — 90,738 — — 90,738 Agency CMBS, at fair value — 1,740,368 — — 1,740,368 Loans held for investment, at fair value — — 13,112,129 — 13,112,129 Derivatives — — — — — Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,711,677 — 8,711,677 Derivatives — — — — — December 31, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,614,408 $ — $ 2,614,408 Agency RMBS, at fair value — 6,490,293 — — 6,490,293 Agency CMBS, at fair value — 2,850,717 — — 2,850,717 Loans held for investment, at fair value — — 14,292,815 — 14,292,815 Derivatives 3,611 1,092 — (1,092) 3,611 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,179,608 — 8,179,608 Derivatives — 205,703 — (205,703) —
Summary of the Changes in the Fair Value of Securities Classified as Level 3	The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at December 31, 2020 and December 31, 2019. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2020 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 Transfers into Level 3 135,118 — — Transfers out of Level 3 (135,118) — — Purchases of assets/ issuance of debt 54,811 1,860,998 3,043,252 Principal payments (261,738) (1,966,590) (1,751,903) Sales and Settlements (166,786) (1,053,943) (783,880) Net accretion (amortization) 39,246 (85,794) (22,546) Gains (losses) included in net income (Increase) decrease in provision for credit losses (180) — — Realized gains (losses) on sales and settlements 12,571 — (1,031) Net unrealized gains (losses) included in income (9,030) 64,643 48,177 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (132,588) — — Ending balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2019 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 Transfers into Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 497,848 5,086,491 1,487,286 Principal payments (415,518) (1,717,745) (1,530,818) Sales and Settlements (38,605) (1,812,760) (314,454) Net accretion (amortization) 95,562 (77,491) (26,758) Gains (losses) included in net income Other than temporary credit impairment losses (4,853) — — Realized gains (losses) on sales and settlements (1,088) 1,590 (9,925) Net unrealized gains (losses) included in income 28,577 240,149 118,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (33,645) — — Ending balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608
Summary of Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment	A summary of the significant inputs used to estimate the fair value of Level 3 Non-Agency RMBS held for investment at fair value as of December 31, 2020 and December 31, 2019 follows. The weighted average discount rates were based on fair value. Previously issued financial statement filings were based on amortized cost. We believe fair value provides an improved presentation of weighted average discount rates. December 31, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 2%-10% 3.3% 1%-25% 9.5% 1%-10% 2.0% 26%-82% 41.5% Subordinated 2%-10% 6.1% 2%-42% 13.6% 0%-6% 1.3% 10%-77% 39.8% Interest-only 0%-100% 10.2% 6%-47% 26.3% 0%-8% 1.4% 0%-79% 33.6% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 3.8% 6% -20% 9.4% 0% -9% 1.8% 26% -82% 42.0% Subordinated 0% -13% 5.3% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 11.4% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of December 31, 2020 and December 31, 2019 follows: December 31, 2020 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0%-10% 2.5% 4%-40% 10.5% 0%-7% 1.3% 30%-75% 57.6% December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 3.3% 6% - 20% 9.1% 0% - 3% 1.4% 30% - 75% 59.9%
Schedule of Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis	The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements (1) 2 4,636,847 4,803,256 Securitized debt, collateralized by Non-Agency RMBS 3 113,433 97,097 Long Term Debt 2 51,623 80,750 (1) The fair value of secured financing agreements includes one secured financing agreement with a non-detachable Warrant. December 31, 2019 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 13,427,545 13,450,193 Securitized debt, collateralized by Non-Agency RMBS 3 133,557 117,552
Loans Held for Investment at Fair Value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Summary of Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment	A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized primarily by seasoned reperforming mortgages at fair value as of December 31, 2020 and December 31, 2019 follows: December 31, 2020 December 31, 2019 Factor: Coupon Base Rate 3.4% 4.3% Actual 6.3% 6.6% FICO Base Rate 640 636 Actual 627 624 Loan-to-value (LTV) Base Rate 85% 86% Actual 86% 88% Loan Characteristics: Occupancy Owner Occupied 89% 89% Investor 2% 2% Secondary 9% 9% Property Type Single family 84% 85% Manufactured housing 4% 4% Multi-family/mixed use/other 12% 11%

Secured Financing Agreements (T

Secured Financing Agreements (Tables)	12 Months Ended
	Dec. 31, 2020
Disclosure of Repurchase Agreements [Abstract]
Schedule of Secured Financing Agreements and Maturities	The Secured financing agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of December 31, 2020 and December 31, 2019 were: December 31, 2020 December 31, 2019 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 69,180 $ 6,247,275 Agency CMBS (in thousands) 1,333,799 2,013,515 Non-agency RMBS and Loans held for investment (in thousands) (1) 3,233,868 5,166,755 Total: $ 4,636,847 $ 13,427,545 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 86,160 $ 6,602,039 Agency CMBS (in thousands) 1,382,783 2,102,520 Non-agency RMBS and Loans held for investment (in thousands) 5,227,271 6,694,685 Total: $ 6,696,214 $ 15,399,244 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 1,407,713 $ 8,062,881 Agency CMBS (in thousands) 1,818,721 1,993,372 Non-agency RMBS and Loans held for investment (in thousands) 4,089,911 4,436,133 Total: $ 7,316,345 $ 14,492,386 Average borrowing rate of Secured financing agreements secured by: Agency RMBS (in thousands) 0.90 % 2.10 % Agency CMBS (in thousands) 0.21 % 2.10 % Non-agency RMBS and Loans held for investment (in thousands) 4.78 % 3.19 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 12 days 14 days Agency CMBS (in thousands) 11 days 13 days Non-agency RMBS and Loans held for investment (in thousands) 458 days 255 days Average original maturity of Secured financing agreements secured by: Agency RMBS (in thousands) 14 days 38 days Agency CMBS (in thousands) 30 days 34 days Non-agency RMBS and Loans held for investment (in thousands) 492 days 279 days (1) The December 31, 2020 values for secured financing agreements in the table above is net of $8 million of deferred financing cost. At December 31, 2020 and December 31, 2019, we pledged $42 million and $20 million, respectively, of margin cash collateral to our secured financing agreement counterparties. At December 31, 2020 and December 31, 2019, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. December 31, 2020 December 31, 2019 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA NA $ — NA NA 1 to 29 days 1,521,134 0.38% 0.20% - 2.72% 9,709,387 2.26% 1.90% - 3.62% 30 to 59 days 481,257 4.35% 2.42% - 6.61% 800,648 2.96% 2.15% - 3.52% 60 to 89 days 352,684 2.78% 1.34% - 6.30% 608,520 3.00% 2.59% - 3.35% 90 to 119 days 301,994 7.97% 7.97% - 7.97% — NA NA 120 to 180 days 595,900 5.29% 2.40% - 6.26% 809,077 3.38% 3.06% - 3.46% 180 days to 1 year 345,204 3.60% 3.25% - 4.50% 580,886 3.42% 3.26% - 3.51% 1 to 2 years — NA NA 427,981 3.28% 3.19% - 3.30% 2 to 3 years 642,696 4.91% 1.65% - 7.00% — NA NA Greater than 3 years 395,978 5.56% 5.56% - 5.56% 491,046 3.20% 3.19% - 3.20% Total $ 4,636,847 3.41% $ 13,427,545 2.52% (1) The December 31, 2020 values for secured financing agreements in the table above is net of $8 million of deferred financing cost.

Securitized Debt (Tables)

Securitized Debt (Tables)	12 Months Ended
	Dec. 31, 2020
Debt Instrument [Line Items]
Schedule of Callable Debt	The following table presents the par value of the callable debt by year at December 31, 2020. December 31, 2020 (dollars in thousands) Year Principal Currently callable 2,496,899 2021 2,379,338 2022 1,382,714 2023 1,254,064 Total $ 7,513,015
Non-Agency RMBS
Debt Instrument [Line Items]
Schedule of Maturities of Long-Term Debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 13,552 $ 18,826 One to Three Years 11,229 18,332 Three to Five Years 1,589 4,453 Greater Than Five Years 305 665 Total $ 26,675 $ 42,276
Loans held for investment
Debt Instrument [Line Items]
Schedule of Maturities of Long-Term Debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2020 and December 31, 2019, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 1,837,055 $ 1,582,646 One to Three Years 2,819,646 2,563,699 Three to Five Years 1,774,273 1,791,756 Greater Than Five Years 2,170,253 2,129,460 Total $ 8,601,227 $ 8,067,561

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Schedule of Assets and Liabilities Related to the Consolidated VIEs	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2020 and December 31, 2019. December 31, 2020 December 31, 2019 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 505,479 $ 598,080 Loans held for investment, at fair value 11,591,598 11,853,659 Accrued interest receivable 53,804 63,218 Other assets 14,136 29,787 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 113,433 $ 133,557 Securitized debt at fair value, collateralized by loans held for investment 7,923,523 7,899,259 Accrued interest payable 23,677 28,775 Other liabilities 2,477 2,644 (1) December 31, 2020 balance includes allowance for credit losses of $117 thousand..
Schedule of Income, OTTI and Expense Amounts Related to Consolidated VIEs	Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Year ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 683,456 $ 780,746 $ 904,830 Interest expense, Non-recourse liabilities of VIEs 285,142 337,387 395,255 Net interest income $ 398,314 $ 443,359 $ 509,575 (Increase) decrease in provision for credit losses $ (117) $ — $ — Net other-than-temporary credit impairment losses $ — $ (4,255) $ (18,845) Servicing fees $ 32,479 $ 33,920 $ 39,313

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Location and Fair Value of the Derivatives	The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2020 and December 31, 2019. The Company did not have any derivative instruments as of December 31, 2020. December 31, 2020 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — December 31, 2019 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,111,300 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ —
Schedule of Derivative Instruments Effects on Operating Results	The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 204,611 $ (122,272) $ (125,595) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (470,352) (356,713) (1,488) Treasury Futures Net unrealized gains (losses) on derivatives (3,611) 16,986 (16,928) Treasury Futures Net realized gains (losses) on derivatives (34,700) (37,032) 21,333 Swaptions Net unrealized gains (losses) on derivatives — (923) 1,361 Swaptions Net realized gains (losses) on derivatives — (404) (1,476) Total $ (304,052) $ (500,358) $ (122,793) (1) Includes loss on termination of interest rate swaps of $464 million and $360 million during the years ended December 31, 2020 and 2019, respectively. There were no swap terminations during the year ended December 31, 2018.

Capital Stock (Tables)

Capital Stock (Tables)	12 Months Ended
	Dec. 31, 2020
Equity [Abstract]
Schedule of Earnings Per Share	Earnings per share for the years ended December 31, 2020, 2019 and 2018 respectively, are computed as follows: For the Year Ended December 31, 2020 December 31, 2019 December 31, 2018 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 15,104 $ 340,847 $ 368,440 Effect of dilutive securities: Interest expense attributable to convertible notes — — $ — Net income (loss) available to common shareholders - Diluted $ 15,104 $ 340,847 $ 368,440 Denominator: Weighted average basic shares 212,995,533 187,156,990 187,146,170 Effect of dilutive securities 13,442,808 1,249,454 602,692 Weighted average dilutive shares 226,438,341 188,406,444 187,748,862 Net income (loss) per average share attributable to common stockholders - Basic $ 0.07 $ 1.82 $ 1.97 Net income (loss) per average share attributable to common stockholders - Diluted $ 0.07 $ 1.81 $ 1.96

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	12 Months Ended
	Dec. 31, 2020
Equity [Abstract]
Schedule of Components of AOCI	The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the years ended December 31, 2020 and 2019: December 31, 2020 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2019 $ 708,336 $ 708,336 OCI before reclassifications (94,136) (94,136) Amounts reclassified from AOCI (56,104) (56,104) Net current period OCI (150,240) (150,240) Balance as of December 31, 2020 $ 558,096 $ 558,096 December 31, 2019 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2018 $ 626,832 $ 626,832 OCI before reclassifications 70,855 70,855 Amounts reclassified from AOCI 10,649 10,649 Net current period OCI 81,504 81,504 Balance as of December 31, 2019 $ 708,336 $ 708,336
Schedule of Reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the years ended December 31, 2020 and 2019: December 31, 2020 December 31, 2019 Details about Accumulated OCI Components Amounts Reclassified Amounts Reclassified Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 56,104 $ (5,796) Net realized gains (losses) on sales of investments — (4,853) Net other-than-temporary credit impairment losses $ 56,104 $ (10,649) Income before income taxes — — Income taxes $ 56,104 $ (10,649) Net of tax

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans (Tables)	12 Months Ended
	Dec. 31, 2020
Compensation Related Costs [Abstract]
Schedule of Stock Awards	The following table presents information with respect to the Company's stock awards during the years ended December 31, 2020 and 2019. For the Year Ended December 31, 2020 December 31, 2019 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 1,900,371 $ 17.30 1,256,069 $ 16.66 Granted 587,233 $ 15.10 862,261 $ 17.95 Vested (213,887) $ 18.59 (207,827) $ 16.11 Forfeited (129,849) $ 18.16 (10,132) $ 18.63 Unvested shares outstanding - end of period 2,143,868 $ 16.51 1,900,371 $ 17.30

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	12 Months Ended
	Dec. 31, 2020
Offsetting [Abstract]
Schedule of Offsetting Assets and Liabilities	The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2020 and December 31, 2019. December 31, 2020 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (4,636,847) $ — $ (4,636,847) $ 6,696,214 $ 41,871 $ 2,101,238 Total $ (4,636,847) $ — $ (4,636,847) $ 6,696,214 $ 41,871 $ 2,101,238 (1) Included in other assets December 31, 2019 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured Financing Agreements $ (13,427,545) $ — $ (13,427,545) $ 15,399,244 $ 20,211 $ 1,991,910 Interest Rate Swaps - Gross Assets 1,092 (1,092) — — 119,469 119,469 Interest Rate Swaps - Gross Liabilities (205,703) 205,703 — — — — Treasury Futures - Gross Assets 3,611 — 3,611 — 1,514 5,125 Treasury Futures - Gross Liabilities — — — — — — Total $ (13,628,545) $ 204,611 $ (13,423,934) $ 15,399,244 $ 141,194 $ 2,116,504 (1) Included in other assets

Summarized Quarterly Results _2

Summarized Quarterly Results (Unaudited) (Tables)	12 Months Ended
	Dec. 31, 2020
Quarterly Financial Information Disclosure [Abstract]
Quarterly Financial Information	The following is a presentation of the results of operations for the quarters ended December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020. For the Quarter Ended December 31, 2020 September 30, 2020 June 30, 2020 March 31, 2020 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 236,156 $ 247,905 $ 245,922 $ 300,266 Interest expense 120,285 124,557 129,256 142,083 Net interest income 115,871 123,348 116,666 158,183 Increase/(decrease) in provision for credit losses (13) 1,650 4,497 (6,314) Net gains (losses) on derivatives — — — (304,052) Net unrealized gains (losses) on financial instruments at fair value 61,379 260,766 (171,921) (260,887) Net realized gains (losses) on sales of investments (329) 65,041 26,380 75,854 Gain (loss) on Extinguishment of Debt 919 (55,794) 459 — Total other expenses 30,566 27,620 31,000 33,507 Net income (loss) $ 147,234 $ 367,329 $ (54,955) $ (370,755) Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ 128,796 $ 348,891 $ (73,393) $ (389,193) Net income per common share-basic $ 0.55 $ 1.50 $ (0.37) $ (2.08) The following is a presentation of the results of operations for the quarters ended December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019. For the Quarter Ended December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 340,662 $ 330,144 $ 339,914 $ 350,389 Interest expense 169,203 188,551 198,110 202,950 Net interest income 171,459 141,593 141,804 147,439 Net other-than-temporary credit impairment losses — — — (4,853) Net gains (losses) on derivatives 78,030 (136,671) (237,079) (204,638) Net unrealized gains (losses) on financial instruments at fair value (112,751) 130,825 190,748 200,812 Net realized gains (losses) on sales of investments 17,687 1,596 (7,526) 8,603 Gain (loss) on Extinguishment of Debt 9,926 — (608) — Total other expenses 33,998 31,015 28,424 29,216 Net income (loss) $ 130,318 $ 106,326 $ 58,760 $ 118,147 Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 17,392 Net income (loss) available to common shareholders $ 111,880 $ 87,888 $ 40,322 $ 100,755 Net income per common share-basic $ 0.60 $ 0.47 $ 0.22 $ 0.54

Organization (Details)

Organization (Details)	12 Months Ended
	Dec. 31, 2020subsidiary
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of wholly owned direct subsidiaries	13

Summary of the Significant Ac_3

Summary of the Significant Accounting Policies - Narrative (Details) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020		Dec. 31, 2019		Dec. 31, 2018	[1]
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Non-Agency RMBS, at fair value	$ 2,150,714,000				$ 2,614,408,000				$ 2,150,714,000		$ 2,614,408,000
Agency RMBS, at fair value	90,738,000				6,490,293,000				90,738,000		6,490,293,000
Agency CMBS, at fair value	1,740,368,000				2,850,717,000				1,740,368,000		2,850,717,000
Interest income	236,156,000	$ 247,905,000	$ 245,922,000	$ 300,266,000	340,662,000	$ 330,144,000	$ 339,914,000	$ 350,389,000	1,030,250,000	[1]	1,361,110,000	[1]	$ 1,273,316,000
Accruals for penalties and interest	0				0				0		0
Non Agency Residential Mortgage Backed Securities Fair Value Option
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Non-Agency RMBS, at fair value	417,000,000				423,000,000				417,000,000		423,000,000
Interest-only | Residential Mortgage Backed Securities
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Interest income									43,000,000		27,000,000
Interest-only | Non Agency Senior And Subordinated Mortgage Backed Securities Interest Only Available For Sale | Residential Mortgage Backed Securities
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Non-Agency RMBS, at fair value	262,000,000				289,000,000				262,000,000		289,000,000
Interest-only | Agency Senior And Subordinated Mortgage Backed Securities Interest Only Available For Sale | Residential Mortgage Backed Securities
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Agency RMBS, at fair value	91,000,000				128,000,000				91,000,000		128,000,000
Interest-only | Agency CMBS | Commercial Mortgage Backed Securities
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Agency CMBS, at fair value	26,000,000				49,000,000				26,000,000		49,000,000
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Real estate acquired through foreclosure	$ 14,000,000				$ 25,000,000				$ 14,000,000		$ 25,000,000
[1]	Includes interest income of consolidated VIEs of $683,456, $780,746 and $904,830 for the years ended December 31, 2020, 2019 and 2018, respectively. See Note 9 to consolidated financial statements for further discussion.

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary of Present Amortized Cost, Fair Value and Unrealized Gain/Losses of Company's MBS Investments (Details) - USD ($)	Dec. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Principal or Notional Value	$ 12,211,298,000	$ 22,419,481,000
Total Premium	431,601,000	687,503,000
Total Discount	(1,121,721,000)	(1,291,790,000)
Amortized Cost	3,303,310,000	10,999,354,000
Allowance for credit losses	(180,000)	0
Fair Value	3,981,820,000	11,955,418,000
Gross Unrealized Gains	801,000,000	1,042,048,000
Gross Unrealized Losses	(122,310,000)	(85,984,000)
Net Unrealized Gain/(Loss)	678,690,000	956,064,000
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	46,500,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	1,560,135,000	2,024,564,000
Total Premium	3,934,000	2,038,000
Total Discount	(773,804,000)	(953,916,000)
Amortized Cost	790,265,000	1,072,686,000
Allowance for credit losses	(180,000)
Fair Value	1,277,800,000	1,700,911,000
Gross Unrealized Gains	487,963,000	628,518,000
Gross Unrealized Losses	(248,000)	(293,000)
Net Unrealized Gain/(Loss)	487,715,000	628,225,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	905,674,000	876,592,000
Total Premium	7,059,000	9,915,000
Total Discount	(347,056,000)	(332,913,000)
Amortized Cost	565,677,000	553,594,000
Allowance for credit losses	0
Fair Value	610,655,000	624,598,000
Gross Unrealized Gains	83,007,000	76,272,000
Gross Unrealized Losses	(38,029,000)	(5,268,000)
Net Unrealized Gain/(Loss)	44,978,000	71,004,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	5,628,240,000	7,458,653,000
Total Premium	249,610,000	301,170,000
Total Discount	0	0
Amortized Cost	249,610,000	301,170,000
Allowance for credit losses	0
Fair Value	262,259,000	288,899,000
Gross Unrealized Gains	67,868,000	51,481,000
Gross Unrealized Losses	(55,219,000)	(63,752,000)
Net Unrealized Gain/(Loss)	12,649,000	(12,271,000)
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	0	6,080,547,000
Total Premium	0	131,023,000
Total Discount	0	0
Amortized Cost	0	6,211,570,000
Allowance for credit losses	0
Fair Value	0	6,362,626,000
Gross Unrealized Gains	0	152,271,000
Gross Unrealized Losses	0	(1,215,000)
Net Unrealized Gain/(Loss)	0	151,056,000
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,262,963,000	1,539,941,000
Total Premium	118,867,000	139,536,000
Total Discount	0	0
Amortized Cost	118,867,000	139,536,000
Allowance for credit losses	0
Fair Value	90,738,000	127,667,000
Gross Unrealized Gains	270,000	220,000
Gross Unrealized Losses	(28,399,000)	(12,089,000)
Net Unrealized Gain/(Loss)	(28,129,000)	(11,869,000)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	1,527,621,000	2,621,938,000
Total Premium	28,559,000	52,681,000
Total Discount	(861,000)	(4,961,000)
Amortized Cost	1,555,319,000	2,669,658,000
Allowance for credit losses	0
Fair Value	1,714,483,000	2,801,692,000
Gross Unrealized Gains	159,233,000	132,700,000
Gross Unrealized Losses	(69,000)	(666,000)
Net Unrealized Gain/(Loss)	159,164,000	132,034,000
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,326,665,000	1,817,246,000
Total Premium	23,572,000	51,140,000
Total Discount	0	0
Amortized Cost	23,572,000	51,140,000
Allowance for credit losses	0
Fair Value	25,885,000	49,025,000
Gross Unrealized Gains	2,659,000	586,000
Gross Unrealized Losses	(346,000)	(2,701,000)
Net Unrealized Gain/(Loss)	$ 2,313,000	$ (2,115,000)

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands	Dec. 31, 2020USD ($)security	Dec. 31, 2019USD ($)security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 339,522	$ 309,196
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (22,925)	$ (41,067)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	53	90
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 120,192	$ 219,978
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (99,385)	$ (44,917)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	75	94
Total, Estimated Fair Value	$ 459,714	$ 529,174
Total, Unrealized Losses	$ (122,310)	$ (85,984)
Total, Number of Positions | security	128	184
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 11,985	$ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (248)	$ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	2	0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 31,635
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (293)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	1
Total, Estimated Fair Value	$ 11,985	$ 31,635
Total, Unrealized Losses	$ (248)	$ (293)
Total, Number of Positions | security	2	1
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 253,822	$ 69,178
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (8,711)	$ (5,064)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	5	9
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 34,697	$ 1,836
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (29,318)	$ (204)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	15	11
Total, Estimated Fair Value	$ 288,519	$ 71,014
Total, Unrealized Losses	$ (38,029)	$ (5,268)
Total, Number of Positions | security	20	20
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 38,604	$ 50,376
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (8,682)	$ (22,737)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	34	46
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 22,761	$ 64,129
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (46,537)	$ (41,015)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	43	66
Total, Estimated Fair Value	$ 61,365	$ 114,505
Total, Unrealized Losses	$ (55,219)	$ (63,752)
Total, Number of Positions | security	77	112
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 11,398
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ (605)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	4
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 67,552
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (610)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	5
Total, Estimated Fair Value	$ 0	$ 78,950
Total, Unrealized Losses	$ 0	$ (1,215)
Total, Number of Positions | security	0	9
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 31,059	$ 121,228
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (4,938)	$ (12,089)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	6	22
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 54,153	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (23,461)	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	16	0
Total, Estimated Fair Value	$ 85,212	$ 121,228
Total, Unrealized Losses	$ (28,399)	$ (12,089)
Total, Number of Positions | security	22	22
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 41,971
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ (277)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	3
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 8,581	$ 44,896
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (69)	$ (389)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	1	4
Total, Estimated Fair Value	$ 8,581	$ 86,867
Total, Unrealized Losses	$ (69)	$ (666)
Total, Number of Positions | security	1	7
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 4,052	$ 15,045
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (346)	$ (295)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	6	6
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 9,930
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (2,406)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	7
Total, Estimated Fair Value	$ 4,052	$ 24,975
Total, Unrealized Losses	$ (346)	$ (2,701)
Total, Number of Positions | security	6	13

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Gross unrealized loss	$ 122,310				$ 85,984				$ 122,310	$ 85,984
Gains (losses) on extinguishment of debt	919	$ (55,794)	$ 459	$ 0	9,926	$ 0	$ (608)	$ 0	(54,418)	9,318	$ 26,376
Agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	69				1,000				69	1,000
Non-Agency RMBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 248				$ 348				$ 248	$ 348
Re Remic Security
Investment Holdings [Line Items]
Fair value of securities exchanged during period											81,000
Gain (loss) on sale of investments											$ 3,000
Non-Agency RMBS
Investment Holdings [Line Items]
Market value of investments transferred				$ 135,000
Servicing asset at amortized cost		196,000
Repurchase of transferred investments		251,000
Gains (losses) on extinguishment of debt		$ (55,000)

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2020USD ($)
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 0
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	6,594
Allowance on purchased financial assets with credit deterioration	0
Reductions for the securities sold during the period	(321)
Increase/(decrease) on securities with an allowance in the prior period	(3,765)
Write-offs charged against the allowance	(2,401)
Recoveries of amounts previously written off	73
Ending allowance for credit losses	180
Cumulative Effect, Period of Adoption, Adjustment
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 0

Mortgage-Backed Securities - Si

Mortgage-Backed Securities - Significant Credit Quality Indicators (Details)	Dec. 31, 2020USD ($)	Dec. 31, 2019USD ($)
Investment Holdings [Line Items]
Amortized Cost	$ 3,303,310,000	$ 10,999,354,000
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	$ 46,500,000
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.092
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.035
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.583

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 558,413	$ 709,335
Gross Unrealized Gain Included in Cumulative Earnings	242,587	332,713
Total Gross Unrealized Gain	801,000	1,042,048
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(317)	(999)
Gross Unrealized Loss Included in Cumulative Earnings	(121,993)	(84,985)
Total Gross Unrealized Loss	(122,310)	(85,984)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	487,963	628,518
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	487,963	628,518
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(248)	(293)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	(248)	(293)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	65,043	57,174
Gross Unrealized Gain Included in Cumulative Earnings	17,964	19,098
Total Gross Unrealized Gain	83,007	76,272
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	(55)
Gross Unrealized Loss Included in Cumulative Earnings	(38,029)	(5,213)
Total Gross Unrealized Loss	(38,029)	(5,268)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	67,868	51,481
Total Gross Unrealized Gain	67,868	51,481
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(55,219)	(63,752)
Total Gross Unrealized Loss	(55,219)	(63,752)
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	0	152,271
Total Gross Unrealized Gain	0	152,271
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	0	(1,215)
Total Gross Unrealized Loss	0	(1,215)
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	270	220
Total Gross Unrealized Gain	270	220
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(28,399)	(12,089)
Total Gross Unrealized Loss	(28,399)	(12,089)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	5,407	23,643
Gross Unrealized Gain Included in Cumulative Earnings	153,826	109,057
Total Gross Unrealized Gain	159,233	132,700
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(69)	(651)
Gross Unrealized Loss Included in Cumulative Earnings	0	(15)
Total Gross Unrealized Loss	(69)	(666)
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	2,659	586
Total Gross Unrealized Gain	2,659	586
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(346)	(2,701)
Total Gross Unrealized Loss	$ (346)	$ (2,701)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 12,211,298	$ 22,419,481
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,560,135	$ 2,024,564
Weighted Average Amortized Cost Basis (in dollars per share)	$ 50.65	$ 52.98
Weighted Average Fair Value (in dollars per share)	$ 81.90	$ 84.01
Weighted Average Coupon	4.50%	5.00%
Weighted Average Yield at Period-End	16.90%	20.80%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 905,674	$ 876,592
Weighted Average Amortized Cost Basis (in dollars per share)	$ 62.46	$ 63.15
Weighted Average Fair Value (in dollars per share)	$ 67.43	$ 71.25
Weighted Average Coupon	3.80%	3.70%
Weighted Average Yield at Period-End	6.30%	6.90%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 5,628,240	$ 7,458,653
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.43	$ 4.04
Weighted Average Fair Value (in dollars per share)	$ 4.66	$ 3.87
Weighted Average Coupon	1.50%	1.10%
Weighted Average Yield at Period-End	16.20%	8.40%
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 0	$ 6,080,547
Weighted Average Amortized Cost Basis (in dollars per share)		$ 102.15
Weighted Average Fair Value (in dollars per share)		$ 104.64
Weighted Average Coupon		4.00%
Weighted Average Yield at Period-End		3.40%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,262,963	$ 1,539,941
Weighted Average Amortized Cost Basis (in dollars per share)	$ 9.41	$ 9.06
Weighted Average Fair Value (in dollars per share)	$ 7.18	$ 8.29
Weighted Average Coupon	1.70%	1.60%
Weighted Average Yield at Period-End	1.60%	4.00%
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,527,621	$ 2,621,938
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.81	$ 101.82
Weighted Average Fair Value (in dollars per share)	$ 112.23	$ 106.86
Weighted Average Coupon	4.10%	3.70%
Weighted Average Yield at Period-End	3.80%	3.60%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,326,665	$ 1,817,246
Weighted Average Amortized Cost Basis (in dollars per share)	$ 1.78	$ 2.81
Weighted Average Fair Value (in dollars per share)	$ 1.95	$ 2.70
Weighted Average Coupon	0.60%	0.70%
Weighted Average Yield at Period-End	8.40%	4.70%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Details) - Non-Agency RMBS	Dec. 31, 2020	Dec. 31, 2019
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	100.00%	100.00%
AAA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.20%	0.40%
AA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.10%	0.10%
A
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.20%	0.90%
BBB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.90%	1.60%
BB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	4.30%	3.80%
B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	2.00%	1.60%
Below B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	31.90%	33.20%
Not Rated
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	58.40%	58.40%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($)	Dec. 31, 2020	Dec. 31, 2019
Fair value
Less than one year, at fair value	$ 22,836,000	$ 31,408,000
Greater than one year and less than five years, at fair value	637,485,000	6,582,162,000
Greater than five years and less than ten years, at fair value	774,248,000	1,536,886,000
Greater than ten years, at fair value	2,547,251,000	3,804,962,000
Total maturities, at fair value	3,981,820,000	11,955,418,000
Amortized cost
Less than one year, at amortized cost	40,415,000	30,290,000
Greater than one year and less than five years, at amortized cost	499,444,000	6,305,410,000
Greater than five years and less than ten years, at amortized cost	538,471,000	1,253,782,000
Greater than ten years, at amortized cost	2,224,980,000	3,409,872,000
Amortized Cost	3,303,310,000	10,999,354,000
Non-Agency RMBS - Senior
Amortized cost
Amortized Cost	46,500,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	7,850,000	16,343,000
Greater than one year and less than five years, at fair value	366,218,000	450,185,000
Greater than five years and less than ten years, at fair value	467,336,000	676,382,000
Greater than ten years, at fair value	436,396,000	558,001,000
Total maturities, at fair value	1,277,800,000	1,700,911,000
Amortized cost
Less than one year, at amortized cost	4,691,000	15,206,000
Greater than one year and less than five years, at amortized cost	256,935,000	304,850,000
Greater than five years and less than ten years, at amortized cost	257,188,000	409,958,000
Greater than ten years, at amortized cost	271,451,000	342,672,000
Amortized Cost	790,265,000	1,072,686,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	5,000	0
Greater than one year and less than five years, at fair value	105,272,000	43,796,000
Greater than five years and less than ten years, at fair value	102,805,000	95,973,000
Greater than ten years, at fair value	402,573,000	484,829,000
Total maturities, at fair value	610,655,000	624,598,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	83,188,000	29,085,000
Greater than five years and less than ten years, at amortized cost	78,435,000	86,033,000
Greater than ten years, at amortized cost	404,054,000	438,476,000
Amortized Cost	565,677,000	553,594,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	5,780,000	0
Greater than one year and less than five years, at fair value	143,631,000	126,631,000
Greater than five years and less than ten years, at fair value	110,468,000	159,057,000
Greater than ten years, at fair value	2,380,000	3,211,000
Total maturities, at fair value	262,259,000	288,899,000
Amortized cost
Less than one year, at amortized cost	26,286,000	0
Greater than one year and less than five years, at amortized cost	138,150,000	150,221,000
Greater than five years and less than ten years, at amortized cost	82,368,000	148,889,000
Greater than ten years, at amortized cost	2,806,000	2,060,000
Amortized Cost	249,610,000	301,170,000
Residential Mortgage-Backed Securities | Agency MBS - Residential
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	0	5,939,408,000
Greater than five years and less than ten years, at fair value	0	421,539,000
Greater than ten years, at fair value	0	1,679,000
Total maturities, at fair value	0	6,362,626,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	0	5,796,044,000
Greater than five years and less than ten years, at amortized cost	0	414,482,000
Greater than ten years, at amortized cost	0	1,044,000
Amortized Cost	0	6,211,570,000
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	864,000	1,614,000
Greater than five years and less than ten years, at fair value	89,874,000	126,053,000
Greater than ten years, at fair value	0	0
Total maturities, at fair value	90,738,000	127,667,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	1,898,000	2,260,000
Greater than five years and less than ten years, at amortized cost	116,969,000	137,276,000
Greater than ten years, at amortized cost	0	0
Amortized Cost	118,867,000	139,536,000
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Fair value
Less than one year, at fair value	8,581,000	15,065,000
Greater than one year and less than five years, at fair value	0	0
Greater than five years and less than ten years, at fair value	0	29,385,000
Greater than ten years, at fair value	1,705,902,000	2,757,242,000
Total maturities, at fair value	1,714,483,000	2,801,692,000
Amortized cost
Less than one year, at amortized cost	8,650,000	15,084,000
Greater than one year and less than five years, at amortized cost	0	0
Greater than five years and less than ten years, at amortized cost	0	28,954,000
Greater than ten years, at amortized cost	1,546,669,000	2,625,620,000
Amortized Cost	1,555,319,000	2,669,658,000
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	620,000	0
Greater than one year and less than five years, at fair value	21,500,000	20,528,000
Greater than five years and less than ten years, at fair value	3,765,000	28,497,000
Greater than ten years, at fair value	0	0
Total maturities, at fair value	25,885,000	49,025,000
Amortized cost
Less than one year, at amortized cost	788,000	0
Greater than one year and less than five years, at amortized cost	19,273,000	22,950,000
Greater than five years and less than ten years, at amortized cost	3,511,000	28,190,000
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 23,572,000	$ 51,140,000

Mortgage-Backed Securities - Lo

Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Residential Portfolio Segment	Dec. 31, 2020	Dec. 31, 2019
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	16.30%	12.60%
Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.30%	1.40%
Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	2.90%	2.80%
REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	0.40%	0.70%
30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.10%	3.90%
60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.40%	1.40%
90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	7.20%	2.50%

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Weighted average maturity (years)	22 years 2 months 12 days	23 years 7 months 6 days
Weighted average amortized loan to value	61.40%	63.20%
Weighted average FICO	714	719
Weighted average loan balance (in thousands)	$ 291	$ 313
Weighted average percentage owner occupied	81.80%	80.60%
Weighted average percentage single family residence	61.70%	60.00%
Weighted average current credit enhancement	0.90%	1.10%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	33.80%	32.50%
FL
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	7.90%	6.60%
NY
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	8.70%	6.30%
NJ
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	4.30%
TX
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states		2.00%

Mortgage-Backed Securities - Pe

Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS	Dec. 31, 2020	Dec. 31, 2019
Origination Year as a Percentage of Outstanding Principal Balance:
2003 (and prior)	1.70%	1.30%
2004	1.40%	1.50%
2005	10.30%	10.70%
2006	52.10%	52.90%
2007	27.20%	26.60%
2008 and later	7.30%	7.00%
Total	100.00%	100.00%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Net realized gain (loss)	$ 166,946	$ 18,770	$ (2,844)
Non-Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	166,747	38,659	100,791
Gross realized gains:	22,021	422	7,424
Gross realized losses:	(9,470)	(1,445)	(7,234)
Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	5,710,134	2,915,545	7,064
Gross realized gains:	74,264	35,221	0
Gross realized losses:	(5,816)	(24,531)	(1,919)
Agency CMBS
Investment Holdings [Line Items]
Proceeds from sales:	1,060,987	375,489	9,120
Gross realized gains:	88,929	11,328	122
Gross realized losses:	$ (2,982)	$ (2,225)	$ (1,237)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 12,500,000	$ 13,700,000
90+ Days Delinquent	1,190,429	782,708
Seasoned Subprime Residential Mortgage Loans | Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90+ Days Delinquent	910,000	597,000
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Purchases	1,100,000	1,800,000
Retained balance	22,000	124,000
Market value of investments transferred	653,000	343,000
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loans in foreclosure proceedings	298,000	299,000
Loans subject to bankruptcy protection	277,000	322,000
Real estate acquired, loan value	$ 30,000	59,000
Underlying mortgages excluded from portfolio		$ 754,000

Loans Held for Investment - Cha

Loans Held for Investment - Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value (Details) - Loans Held for Investment at Fair Value - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 14,292,815	$ 12,572,581
Purchases	1,860,998	5,086,491
Principal paydowns	(1,966,590)	(1,717,745)
Sales and settlements	(1,053,943)	(1,812,760)
Net periodic accretion (amortization)	(85,794)	(77,491)
Realized gains (losses) on sales and settlements	0	1,590
Change in fair value	64,643	240,149
Balance, end of period	$ 13,112,129	$ 14,292,815

Loans Held for Investment - Per

Loans Held for Investment - Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans - USD ($) $ in Millions	Dec. 31, 2020	Dec. 31, 2019
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	6.90%	6.80%
2003	5.90%	6.00%
2004	12.00%	12.60%
2005	18.20%	18.60%
2006	22.70%	22.50%
2007	22.40%	20.70%
2008	6.40%	6.40%
2009	1.30%	1.50%
2010 and later	4.20%	4.90%
Total	100.00%	100.00%
Underlying mortgages excluded from portfolio		$ 754

Loans Held for Investment - Key

Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) $ in Thousands	Dec. 31, 2020USD ($)loan	Dec. 31, 2019USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	132,134	139,194
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	132,134	139,194
Weighted average maturity (years)	19 years 7 months 6 days	19 years 3 months 18 days
Weighted average loan to value	86.10%	87.40%
Weighted average FICO	630	627
Weighted average loan balance (in thousands) | $	$ 96	$ 95
Weighted average percentage owner occupied	87.70%	88.00%
Weighted average percentage single family residence	83.30%	84.40%
Loans Held for Investment at Fair Value | CA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	12.40%	11.60%
Loans Held for Investment at Fair Value | FL | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.00%	7.40%
Loans Held for Investment at Fair Value | NY | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	7.30%	6.90%
Loans Held for Investment at Fair Value | PA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.00%	5.30%
Loans Held for Investment at Fair Value | OH | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states		5.30%
Loans Held for Investment at Fair Value | VA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.90%

Loans Held for Investment - Var

Loans Held for Investment - Various Characteristics of Residential Loan Portfolio (Details) $ in Thousands	Dec. 31, 2020USD ($)loan	Dec. 31, 2019USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	132,134	139,194
Total Principal	$ 12,640,193	$ 13,169,843
30-89 Days Delinquent	1,060,976	1,458,079
90+ Days Delinquent	$ 1,190,429	$ 782,708
Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	7,892	8,401
Total Principal	$ 831,548	$ 912,993
30-89 Days Delinquent	69,867	97,758
90+ Days Delinquent	$ 85,743	$ 62,545
Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	124,242	130,793
Total Principal	$ 11,808,645	$ 12,256,850
30-89 Days Delinquent	991,109	1,360,321
90+ Days Delinquent	$ 1,104,686	$ 720,163
$1 to $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	7,347	7,776
Total Principal	$ 594,201	$ 655,914
30-89 Days Delinquent	49,615	75,436
90+ Days Delinquent	$ 54,702	$ 44,117
$1 to $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	116,831	123,580
Total Principal	$ 8,897,433	$ 9,482,855
30-89 Days Delinquent	713,804	1,021,054
90+ Days Delinquent	$ 720,323	$ 571,242
$250 to $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	425	497
Total Principal	$ 141,621	$ 163,972
30-89 Days Delinquent	14,166	18,117
90+ Days Delinquent	$ 13,453	$ 10,950
$250 to $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	6,386	6,259
Total Principal	$ 2,115,608	$ 2,059,131
30-89 Days Delinquent	215,357	275,574
90+ Days Delinquent	$ 253,377	$ 131,472
$500 to $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	80	96
Total Principal	$ 47,936	$ 56,661
30-89 Days Delinquent	3,202	2,224
90+ Days Delinquent	$ 6,943	$ 2,747
$500 to $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	740	712
Total Principal	$ 433,973	$ 418,044
30-89 Days Delinquent	35,765	46,972
90+ Days Delinquent	$ 66,947	$ 12,137
$750 to $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	25	20
Total Principal	$ 21,516	$ 16,947
30-89 Days Delinquent	0	759
90+ Days Delinquent	$ 3,511	$ 862
$750 to $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	146	137
Total Principal	$ 124,869	$ 116,993
30-89 Days Delinquent	7,620	6,224
90+ Days Delinquent	23,804	5,312
Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 1,000
Number of Loans | loan	15	12
Total Principal	$ 26,274	$ 19,499
30-89 Days Delinquent	2,884	1,222
90+ Days Delinquent	7,134	3,869
Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 1,000
Number of Loans | loan	139	105
Total Principal	$ 236,762	$ 179,827
30-89 Days Delinquent	18,563	10,497
90+ Days Delinquent	40,235	0
Minimum | $1 to $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1	$ 1
Long-term financing agreements, interest rate (as a percent)	1.00%	1.00%
Minimum | $1 to $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1	$ 1
Long-term financing agreements, interest rate (as a percent)	0.00%	0.00%
Minimum | $250 to $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250	$ 250
Long-term financing agreements, interest rate (as a percent)	1.51%	2.00%
Minimum | $250 to $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250	$ 250
Long-term financing agreements, interest rate (as a percent)	0.00%	0.00%
Minimum | $500 to $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500	$ 500
Long-term financing agreements, interest rate (as a percent)	2.00%	2.00%
Minimum | $500 to $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500	$ 500
Long-term financing agreements, interest rate (as a percent)	1.00%	2.00%
Minimum | $750 to $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750	$ 750
Long-term financing agreements, interest rate (as a percent)	1.97%	1.97%
Minimum | $750 to $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750	$ 750
Long-term financing agreements, interest rate (as a percent)	2.00%	2.00%
Minimum | Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Long-term financing agreements, interest rate (as a percent)	2.88%	2.00%
Minimum | Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Long-term financing agreements, interest rate (as a percent)	2.00%	2.00%
Maximum | $1 to $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250	$ 250
Long-term financing agreements, interest rate (as a percent)	17.74%	19.24%
Maximum | $1 to $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250	$ 250
Long-term financing agreements, interest rate (as a percent)	21.20%	24.00%
Maximum | $250 to $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500	$ 500
Long-term financing agreements, interest rate (as a percent)	10.63%	13.13%
Maximum | $250 to $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500	$ 500
Long-term financing agreements, interest rate (as a percent)	11.59%	11.69%
Maximum | $500 to $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750	$ 750
Long-term financing agreements, interest rate (as a percent)	9.88%	9.38%
Maximum | $500 to $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750	$ 750
Long-term financing agreements, interest rate (as a percent)	10.14%	10.69%
Maximum | $750 to $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 1,000
Long-term financing agreements, interest rate (as a percent)	7.88%	8.13%
Maximum | $750 to $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 1,000
Long-term financing agreements, interest rate (as a percent)	9.00%	8.00%
Maximum | Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Long-term financing agreements, interest rate (as a percent)	6.63%	6.63%
Maximum | Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Long-term financing agreements, interest rate (as a percent)	9.00%	9.50%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020USD ($)	Dec. 31, 2020USD ($)loan	Dec. 31, 2019USD ($)loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Number of loans | loan		132,134	139,194
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan		23	6
Excess (deficit) of third party prices over internally developed price, assets		$ (3,000)	$ 3,000
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price, assets		55,000	20,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure		$ 389,000	22,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan		3
Assets, fair value disclosure		$ 503,000	$ 147,000
Number of loans | loan			1
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure		392,000	$ 19,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price, assets		448,000	127,000
Non-Agency RMBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3	$ 135,000	$ 135,118	$ 0
Securitized debt | Internal Assessment | Investments with Difference Between Model Price and Third-Party Price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan		2
Liabilities, fair value disclosure		$ 209,000
Excess (deficit) of third party prices over internally developed price, liabilities		17,000
Securitized debt | Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liabilities, fair value disclosure		$ 192,000

Fair Value Measurements - Unpai

Fair Value Measurements - Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
Assets:
Unpaid Principal/ Notional	$ 12,211,298	$ 22,419,481
Loans held for investment, fair value	13,112,129	14,292,815
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Fair value	8,711,677	8,179,608
Non-Agency RMBS | Senior
Liabilities:
Change in fair value of financial instruments	0	0
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	632,335	580,761
Fair Value	416,745	422,826
Liabilities:
Change in fair value of financial instruments	(33,950)	10,513
Non-Agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	5,628,240	7,458,653
Fair Value	262,259	288,899
Liabilities:
Change in fair value of financial instruments	24,919	18,064
Agency RMBS | Pass-through
Assets:
Unpaid Principal/ Notional	0	6,080,549
Fair Value	0	6,362,628
Liabilities:
Change in fair value of financial instruments	(151,056)	124,685
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,262,963	1,539,941
Fair Value	90,738	127,667
Liabilities:
Change in fair value of financial instruments	(16,260)	(13,359)
Agency CMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,326,665	1,817,246
Fair Value	25,885	49,025
Liabilities:
Change in fair value of financial instruments	4,429	2,054
Agency CMBS | Project loans
Assets:
Unpaid Principal/ Notional	1,413,719	1,753,755
Fair Value	1,592,473	1,889,923
Liabilities:
Change in fair value of financial instruments	44,783	146,441
Loans held for investment
Assets:
Loans held for investment, Unpaid Principal/Notional	12,640,195	13,924,291
Loans held for investment, fair value	13,112,129	14,292,815
Liabilities:
Change in fair value of financial instruments	64,643	240,148
Securitized debt
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	8,705,200	8,184,369
Securitized debt at fair value, collateralized by loans held for investment, Fair value	8,711,677	8,179,608
Change in fair value of financial instruments	$ (48,172)	$ (118,911)

Fair Value Measurements - Finan

Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)	$ 2,150,714	$ 2,614,408
Agency RMBS, at fair value	90,738	6,490,293
Agency CMBS, at fair value	1,740,368	2,850,717
Loans held for investment, at fair value	13,112,129	14,292,815
Derivatives, at fair value, net	0	3,611
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	8,711,677	8,179,608
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)	2,150,714	2,614,408
Agency RMBS, at fair value	90,738	6,490,293
Agency CMBS, at fair value	1,740,368
Loans held for investment, at fair value	13,112,129	14,292,815
Counterparty and Cash Collateral, netting	0	(1,092)
Derivatives, at fair value, net	0	3,611
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	8,711,677	8,179,608
Counterparty and Cash Collateral, netting	0	(205,703)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Fair Value, Measurements, Recurring | Level 1
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)	0	0
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	0	0
Derivatives	0	3,611
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	0	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)	0	0
Agency RMBS, at fair value	90,738	6,490,293
Agency CMBS, at fair value	1,740,368	2,850,717
Loans held for investment, at fair value	0	0
Derivatives	0	1,092
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	0	205,703
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $180 thousand and $0 thousand, respectively)	2,150,714	2,614,408
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	13,112,129	14,292,815
Derivatives	0	0
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	8,711,677	8,179,608
Derivatives	$ 0	$ 0

Fair Value Measurements - Chang

Fair Value Measurements - Changes in the Fair Value of Securities Classified as Level 3 (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2020	Dec. 31, 2019
Securitized Debt | Variable Interest Entities, Primary Beneficiary
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3	$ 8,179,608	$ 8,179,608	$ 8,455,376
Securitized Debt, Transfers in to Level 3 assets		0	0
Securitized Debt, Transfers out of Level 3 assets		0	0
Securitized Debt, Purchases of assets/ issuance of debt		3,043,252	1,487,286
Securitized Debt, Principal payments		(1,751,903)	(1,530,818)
Securitized Debt, Sales and Settlements		(783,880)	(314,454)
Securitized Debt, Net accretion (amortization)		(22,546)	(26,758)
Securitized Debt, Other than temporary credit impairment losses		0	0
Securitized Debt, Realized gains (losses) on sales and settlements		(1,031)	(9,925)
Securitized Debt, Net unrealized gains (losses) included in income		48,177	118,901
Securitized Debt, Gains (losses) included in other comprehensive income		0	0
Securitized Debt, Ending balance, Level 3		8,711,677	8,179,608
Non-Agency RMBS
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	2,614,408	2,614,408	2,486,130
Transfers into Level 3		135,118	0
Transfers out of Level 3	(135,000)	(135,118)	0
Purchases of assets/ issuance of debt		54,811	497,848
Principal payments		(261,738)	(415,518)
Sales and settlements		(166,786)	(38,605)
Net accretion (amortization)		39,246	95,562
Gains (losses) included in net income
(Increase) decrease in provision for credit losses		(180)	(4,853)
Realized gains (losses) on sales and settlements		12,571	(1,088)
Net unrealized gains (losses) included in income		(9,030)	28,577
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period		(132,588)	(33,645)
Ending balance Level 3		2,150,714	2,614,408
Loans held for investment | Variable Interest Entities, Primary Beneficiary
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	$ 14,292,815	14,292,815	12,572,581
Transfers into Level 3		0	0
Transfers out of Level 3		0	0
Purchases of assets/ issuance of debt		1,860,998	5,086,491
Principal payments		(1,966,590)	(1,717,745)
Sales and settlements		(1,053,943)	(1,812,760)
Net accretion (amortization)		(85,794)	(77,491)
Gains (losses) included in net income
(Increase) decrease in provision for credit losses		0	0
Realized gains (losses) on sales and settlements		0	1,590
Net unrealized gains (losses) included in income		64,643	240,149
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period		0	0
Ending balance Level 3		$ 13,112,129	$ 14,292,815

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3	Dec. 31, 2020	Dec. 31, 2019
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.02	0.03
Discount Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.02	0
Discount Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Discount Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.08
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.13
Discount Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	1	1
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.033	0.038
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.061	0.053
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.102	0.114
Prepay Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0.06
Prepay Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.02	0.06
Prepay Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
Prepay Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.25	0.20
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.42	0.35
Prepay Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.47	0.43
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.095	0.094
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.136	0.096
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.263	0.185
CDR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0
CDR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.09
CDR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
CDR | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.08	0.06
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.020	0.018
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.013	0.013
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.014	0.010
Loss Severity | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.26	0.26
Loss Severity | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.27
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.26
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.82	0.82
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.77	0.55
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.79	0.83
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.415	0.420
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.398	0.367
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.336	0.353

Fair Value Measurements - Uno_2

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Details) - Loans held for investment - Level 3 - Variable Interest Entities, Primary Beneficiary	Dec. 31, 2020	Dec. 31, 2019
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.10
Discount Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.025	0.033
Prepay Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.04	0.06
Prepay Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.40	0.20
Prepay Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.105	0.091
CDR | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.07	0.03
CDR | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.013	0.014
Loss Severity | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.30
Loss Severity | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.75	0.75
Loss Severity | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.576	0.599

Fair Value Measurements - Uno_3

Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Details) - Loans Held for Investment at Fair Value - Level 3	Dec. 31, 2020	Dec. 31, 2019
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.30%	6.60%
FICO	627	624
Loan-to-value (LTV)	86.00%	88.00%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	84.00%	85.00%
Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	4.00%	4.00%
Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	12.00%	11.00%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	89.00%	89.00%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	2.00%	2.00%
Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	9.00%	9.00%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	3.40%	4.30%
FICO	640	636
Loan-to-value (LTV)	85.00%	86.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying Value and Fair Value of Financial Instruments Not Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 113,433	$ 133,557
Long term debt	51,623	0
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	4,636,847	13,427,545
Long term debt	51,623
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	113,433	133,557
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	4,803,256	13,450,193
Long term debt	80,750
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 97,097	$ 117,552

Secured Financing Agreements -

Secured Financing Agreements - Narrative (Details) - USD ($)	12 Months Ended
	Dec. 31, 2020	Jun. 08, 2020	Dec. 31, 2019
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 4,636,847,000		$ 13,427,545,000
Debt issuance costs, net	8,000,000
Margin cash collateral pledged to repurchase agreement counterparties	$ 41,871,000		$ 20,211,000
Decrease in share price (as a percent)	50.00%
Goldman Sachs
Repurchase Agreement Counterparty [Line Items]
Amount at risk	$ 649,000,000
Nomura
Repurchase Agreement Counterparty [Line Items]
Amount at risk	421,000,000
Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Unused warehouse credit facilities	$ 1,100,000,000
Repurchase Agreements | Stockholders' Equity, Total | Goldman Sachs | Credit Concentration Risk | Asset Pledged as Collateral
Repurchase Agreement Counterparty [Line Items]
Concentration risk (as a percent)	17.00%
Weighted average maturity	938 days
Repurchase Agreements | Stockholders' Equity, Total | Nomura | Credit Concentration Risk | Asset Pledged as Collateral
Repurchase Agreement Counterparty [Line Items]
Concentration risk (as a percent)	11.00%
Weighted average maturity	106 days
Securitized debt | Credit Agreement
Repurchase Agreement Counterparty [Line Items]
Principal balance	$ 400,000,000	$ 400,000,000
Long-term financing agreements, interest rate (as a percent)	7.00%
Secured Debt Subject to Automatic Stay Provisions
Repurchase Agreement Counterparty [Line Items]
Principal balance	$ 796,000,000
Minimum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	30 days
Maximum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	1 year
Not Subject to Additional Margin Requirements
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 1,200,000,000

Secured Financing Agreements _2

Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	$ 4,636,847	$ 13,427,545
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	4,636,847	13,427,545
MBS pledged as collateral at fair value on Repurchase agreements:	6,696,214	15,399,244
Average balance of Secured financing agreements secured by:	7,316,345	14,492,386
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	69,180	6,247,275
MBS pledged as collateral at fair value on Repurchase agreements:	86,160	6,602,039
Average balance of Secured financing agreements secured by:	$ 1,407,713	$ 8,062,881
Average borrowing rate of Secured financing agreements secured by:	0.90%	2.10%
Average remaining maturity of Secured financing agreements secured by:	12 days	14 days
Average original maturity of Secured financing agreements secured by:	14 days	38 days
Repurchase Agreements | Agency CMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	$ 1,333,799	$ 2,013,515
MBS pledged as collateral at fair value on Repurchase agreements:	1,382,783	2,102,520
Average balance of Secured financing agreements secured by:	$ 1,818,721	$ 1,993,372
Average borrowing rate of Secured financing agreements secured by:	0.21%	2.10%
Average remaining maturity of Secured financing agreements secured by:	11 days	13 days
Average original maturity of Secured financing agreements secured by:	30 days	34 days
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	$ 3,233,868	$ 5,166,755
MBS pledged as collateral at fair value on Repurchase agreements:	5,227,271	6,694,685
Average balance of Secured financing agreements secured by:	$ 4,089,911	$ 4,436,133
Average borrowing rate of Secured financing agreements secured by:	4.78%	3.19%
Average remaining maturity of Secured financing agreements secured by:	458 days	255 days
Average original maturity of Secured financing agreements secured by:	492 days	279 days

Secured Financing Agreements _3

Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 4,636,847	$ 13,427,545
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	4,636,847	13,427,545
Repurchase Agreements | Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	0
Repurchase Agreements | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	1,521,134	9,709,387
Repurchase Agreements | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	481,257	800,648
Repurchase Agreements | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	352,684	608,520
Repurchase Agreements | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	301,994	0
Repurchase Agreements | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	595,900	809,077
Repurchase Agreements | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	345,204	580,886
Repurchase Agreements | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	427,981
Repurchase Agreements | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	642,696	0
Repurchase Agreements | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 395,978	$ 491,046
Repurchase Agreements | Weighted Average Borrowing Rates
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.41%	2.52%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.38%	2.26%
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.35%	2.96%
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.78%	3.00%
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.97%
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.29%	3.38%
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.60%	3.42%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		3.28%
Repurchase Agreements | Weighted Average Borrowing Rates | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.91%
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.56%	3.20%
Repurchase Agreements | Minimum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.20%	1.90%
Repurchase Agreements | Minimum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.42%	2.15%
Repurchase Agreements | Minimum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.34%	2.59%
Repurchase Agreements | Minimum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.97%
Repurchase Agreements | Minimum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.40%	3.06%
Repurchase Agreements | Minimum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.25%	3.26%
Repurchase Agreements | Minimum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		3.19%
Repurchase Agreements | Minimum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.65%
Repurchase Agreements | Minimum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.56%	3.19%
Repurchase Agreements | Maximum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.72%	3.62%
Repurchase Agreements | Maximum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.61%	3.52%
Repurchase Agreements | Maximum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.30%	3.35%
Repurchase Agreements | Maximum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.97%
Repurchase Agreements | Maximum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.26%	3.46%
Repurchase Agreements | Maximum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.50%	3.51%
Repurchase Agreements | Maximum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		3.30%
Repurchase Agreements | Maximum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.00%
Repurchase Agreements | Maximum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.56%	3.20%

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Details) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 919,000	$ (55,794,000)	$ 459,000	$ 0	$ 9,926,000	$ 0	$ (608,000)	$ 0	$ (54,418,000)	$ 9,318,000	$ 26,376,000
Non-Agency RMBS
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt		$ (55,000,000)
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Principal balance					2,900,000					2,900,000
Acquired securitized debt collateral outstanding principal balance									0	0
Repurchase of non retained secured debt										3,500,000
Gains (losses) on extinguishment of debt										608,000
Securitized Loans | Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Debt Instrument [Line Items]
Principal balance	$ 135,000,000				152,000,000				$ 135,000,000	152,000,000
Weighted average cost of financing	6.50%								6.50%
Acquired securitized debt collateral outstanding principal balance									$ 785,000,000
Repurchase of non retained secured debt									784,000,000
Gains (losses) on extinguishment of debt									1,000,000
Securitized Loans | Securitized debt | Variable Interest Entities, Primary Beneficiary
Debt Instrument [Line Items]
Principal balance	$ 8,700,000,000				$ 8,200,000,000				$ 8,700,000,000	$ 8,200,000,000
Weighted average cost of financing	3.40%				4.20%				3.40%	4.20%

Securitized Debt - Maturities o

Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,837,055	$ 1,582,646
One to Three Years	2,819,646	2,563,699
Three to Five Years	1,774,273	1,791,756
Greater Than Five Years	2,170,253	2,129,460
Total	8,601,227	8,067,561
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	13,552	18,826
One to Three Years	11,229	18,332
Three to Five Years	1,589	4,453
Greater Than Five Years	305	665
Total	$ 26,675	$ 42,276

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands	Dec. 31, 2020USD ($)
Debt Instrument, Redemption [Line Items]
Currently callable	$ 2,496,899
2021	2,379,338
2022	1,382,714
2023	1,254,064
Total	$ 7,513,015

Long Term Debt - Narrative (Det

Long Term Debt - Narrative (Details) $ / shares in Units, $ in Thousands, shares in Millions	1 Months Ended	3 Months Ended	12 Months Ended
	Apr. 30, 2020USD ($)$ / shares	Dec. 31, 2020USD ($)shares	Dec. 31, 2020USD ($)shares	Dec. 31, 2019USD ($)	Dec. 31, 2018USD ($)
Debt Instrument [Line Items]
Settlement of convertible debt			$ 309,820	$ 0	$ 0
Accrued interest payable		$ 40,950	40,950	$ 63,600
Convertible Debt | Convertible Senior Notes due 2023
Debt Instrument [Line Items]
Principal balance	$ 374,000
Stated interest rate (as a percent)	7.00%
Proceeds from issuance of debt	$ 362,000
Conversion rate ratio	0.1538461
Conversion price (in dollars per share) | $ / shares	$ 6.50
Settlement of convertible debt			321,000
Outstanding amount of debt		53,000	53,000
Accrued interest payable		1,000	1,000
Unamortized debt issuance cost		$ 1,000	1,000
Interest expense			$ 7,000
Debt instrument, amount covered by offering	$ 250,000
Common Stock
Debt Instrument [Line Items]
Debt conversion, shares converted into (in shares) | shares			49
Debt instrument, initial strike price (in dollars per share) | $ / shares	$ 6.50
Debt instrument, strike price cap (in dollars per share) | $ / shares	$ 8.45
Premium above sale price of common stock (as a percent)	30.00%
Payments for cost of Capped Call Transactions	$ 33,750
Shares received on settlement | shares		4.7

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2020	Dec. 31, 2019
Variable Interest Entity [Line Items]
Assets	[1]	$ 17,523,019	$ 27,118,671
Liabilities	[1]	13,743,633	23,165,378
Allowance for credit losses		180	0
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Assets		12,165,017	12,544,744
Liabilities		8,063,110	8,064,235
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount		1,300,000	1,600,000
Non-Agency RMBS
Variable Interest Entity [Line Items]
Allowance for credit losses		180	0
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Allowance for credit losses		117
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Assets			2,000,000
Unconsolidated VIEs, individual investments (Less than $1 million)		1,600,000
Non-Agency RMBS | Minimum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)		1,000	1,000
Non-Agency RMBS | Maximum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)		190,000	191,000
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases		$ 2,500,000	$ 1,500,000
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of December 31, 2020, and December 31, 2019, total assets of consolidated VIEs were $12,165,017 and $12,544,744, respectively, and total liabilities of consolidated VIEs were $8,063,110 and $8,064,235, respectively. See Note 9 for further discussion.

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Assets:
Non-Agency RMBS, at fair value	$ 2,150,714	$ 2,614,408
Loans held for investment, at fair value	13,112,129	14,292,815
Accrued interest receivable	81,158	116,423
Other Assets	78,822	194,301
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	113,433	133,557
Securitized debt at fair value, collateralized by loans held for investment	8,711,677	8,179,608
Accrued interest payable	40,950	63,600
Other liabilities	5,721	6,163
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value	505,479	598,080
Loans held for investment, at fair value	11,591,598	11,853,659
Accrued interest receivable	53,804	63,218
Other Assets	14,136	29,787
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	113,433	133,557
Securitized debt at fair value, collateralized by loans held for investment	7,923,523	7,899,259
Accrued interest payable	23,677	28,775
Other liabilities	$ 2,477	$ 2,644

Consolidated Securitization V_5

Consolidated Securitization Vehicles and Other Variable Interest Entities - Income, OTTI and Expense Amounts Related to Consolidated VIEs (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Variable Interest Entity [Line Items]
Net interest income	$ 115,871	$ 123,348	$ 116,666	$ 158,183	$ 171,459	$ 141,593	$ 141,804	$ 147,439	$ 514,069	$ 602,296	$ 594,208
(Increase) decrease in provision for credit losses									(180)	0	0
Net other-than-temporary credit impairment losses					$ 0	$ 0	$ 0	$ (4,853)	0	(4,853)	(21,791)
Servicing fees									37,464	36,290	40,773
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
(Increase) decrease in provision for credit losses									(117)	0	0
Net other-than-temporary credit impairment losses									0	(4,255)	(18,845)
Servicing fees									32,479	33,920	39,313
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs									683,456	780,746	904,830
Interest expense, Non-recourse liabilities of VIEs									285,142	337,387	395,255
Net interest income									$ 398,314	$ 443,359	$ 509,575

Derivative Instruments - Locati

Derivative Instruments - Location and Fair Value of the Derivatives (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 0	$ 4,731,000
Derivatives, at fair value, net	0	3,611
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	0	4,111,300
Derivatives, at fair value, net	0	0
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Treasury Futures
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	0	619,700
Derivatives, at fair value, net	0	3,611
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	$ 0	$ 0

Derivative Instruments - Deriva

Derivative Instruments - Derivative Instruments Effects on Operating Results (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									$ 201,000	$ (106,209)	$ (141,162)
Net gains (losses) on derivatives	$ 0	$ 0	$ 0	$ (304,052)	$ 78,030	$ (136,671)	$ (237,079)	$ (204,638)	(304,052)	(500,358)	(122,793)
Realized gains (losses) on terminations of interest rate swaps									463,966	359,726	0
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									204,611	(122,272)	(125,595)
Net realized gains (losses) on derivatives									(470,352)	(356,713)	(1,488)
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									(3,611)	16,986	(16,928)
Net realized gains (losses) on derivatives									(34,700)	(37,032)	21,333
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									0	(923)	1,361
Net realized gains (losses) on derivatives									$ 0	$ (404)	$ (1,476)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Realized gains (losses) on terminations of interest rate swaps	$ 463,966	$ 359,726	$ 0
The weighted average pay rate on the Company's interest rate swaps		2.62%
The weighted average receive rate on the Company's interest rate swaps		1.94%
The weighted average maturity on the Company's interest rate swaps		6 years
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, notional amount of derivative terminated	$ 4,100,000	$ 6,400,000

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,438	$ 18,438	$ 18,438	$ 18,438	$ 18,438	$ 18,438	$ 18,438	$ 17,392	$ 73,750	$ 72,704	$ 43,197
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 12,000	$ 12,000
Preferred stock dividends declared (in USD per share)									$ 2	$ 2
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 26,000	$ 26,000
Preferred stock dividends declared (in USD per share)									$ 2	$ 2
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 20,000	$ 20,000
Preferred stock dividends declared (in USD per share)									$ 1.94	$ 1.94
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 16,000	$ 15,000
Preferred stock dividends declared (in USD per share)									$ 2	$ 1.87

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Details) - USD ($) $ / shares in Units, shares in Millions	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018	Mar. 31, 2020
Class of Stock [Line Items]
Stock repurchase program, authorized amount				$ 150,000,000
Stock repurchased during period (in shares)	1.4
Stock repurchased during period, average price (in dollars per share)	$ 15.34
Stock repurchased during period	$ 22,066,000	$ 0	$ 14,834,000
Remaining authorized repurchase amount	128,000,000
Common dividends declared	$ 301,270,000	$ 376,839,000	$ 375,017,000
Dividends declared per share of common stock (usd per share)	$ 1.40	$ 2
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 301,000,000	$ 377,000,000

Capital Stock - Warrants (Detai

Capital Stock - Warrants (Details) - USD ($)

3 Months Ended

12 Months Ended

Dec. 31, 2020

Sep. 30, 2020

Jun. 30, 2020

Mar. 31, 2020

Dec. 31, 2019

Sep. 30, 2019

Jun. 30, 2019

Mar. 31, 2019

Dec. 31, 2020

Dec. 31, 2019

Dec. 31, 2018

[1]

Jun. 08, 2020

Apr. 30, 2020

Class of Warrant or Right [Line Items]

Common stock, par value (usd per share)

$ 0.01

$ 0.01

$ 0.01

$ 0.01

Exercise percent of common stock (as a percent)

90.00%

Interest expense

$ 120,285,000

$ 124,557,000

$ 129,256,000

$ 142,083,000

$ 169,203,000

$ 188,551,000

$ 198,110,000

$ 202,950,000

$ 516,181,000

[1]

$ 758,814,000

[1]

$ 679,108,000

Warrant Shares

Class of Warrant or Right [Line Items]

Percentage of common stock (as a percent)

7.70%

Securitized debt | Credit Agreement

Class of Warrant or Right [Line Items]

Debt instrument, face amount

$ 400,000,000

$ 400,000,000

$ 400,000,000

Convertible Debt | Convertible Senior Notes due 2023

Class of Warrant or Right [Line Items]

Debt instrument, face amount

$ 374,000,000

Interest expense

$ 7,000,000

Common Stock

Class of Warrant or Right [Line Items]

Exercise price of warrants or rights (in dollars per share)

$ 0.01

Common Stock | Warrant Shares

Class of Warrant or Right [Line Items]

Class of warrant or right, outstanding (in shares)

20,300,000

[1]

Includes interest expense of consolidated VIEs of $285,142, $337,387 and $395,255 for the years ended December 31, 2020, 2019 and 2018, respectively. See Note 9 to consolidated financial statements for further discussion.

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Numerator:
Net income (loss) available to common shareholders - Basic	$ 128,796	$ 348,891	$ (73,393)	$ (389,193)	$ 111,880	$ 87,888	$ 40,322	$ 100,755	$ 15,104	$ 340,847	$ 368,440
Effect of dilutive securities:									0	0	0
Net income (loss) available to common shareholders - Diluted									$ 15,104	$ 340,847	$ 368,440
Denominator:
Weighted average basic shares (shares)									212,995,533	187,156,990	187,146,170
Effect of dilutive securities (shares)									13,442,808	1,249,454	602,692
Weighted average dilutive shares (shares)									226,438,341	188,406,444	187,748,862
Net income (loss) per average share attributable to common stockholders - Basic (usd per share)	$ 0.55	$ 1.50	$ (0.37)	$ (2.08)	$ 0.60	$ 0.47	$ 0.22	$ 0.54	$ 0.07	$ 1.82	$ 1.97
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share)									$ 0.07	$ 1.81	$ 1.96
Securities excluded from computation of EPS (in shares)									14,000,000

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
AOCI [Roll Forward]
Beginning Balance	$ 3,953,293	$ 3,703,829	$ 3,634,977
OCI before reclassifications	(94,136)	70,855
Amounts reclassified from AOCI	(56,104)	10,649
Net current period OCI	(150,240)	81,504	(170,070)
Ending Balance	3,779,386	3,953,293	3,703,829
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	708,336	626,832
OCI before reclassifications	(94,136)	70,855
Amounts reclassified from AOCI	(56,104)	10,649
Net current period OCI	(150,240)	81,504
Ending Balance	558,096	708,336	626,832
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	708,336	626,832	796,902
Net current period OCI	(150,240)	81,504	(170,070)
Ending Balance	$ 558,096	$ 708,336	$ 626,832

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Schedule of Reclassifications from AOCI (Details) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments									$ 166,946	$ 18,770	$ (2,844)
Net other-than-temporary credit impairment losses									0	(4,853)	(21,791)
Income (loss) before income taxes									89,012	413,744	411,728
Income taxes									(158)	(193)	(91)
Net income (loss)	$ 147,234	$ 367,329	$ (54,955)	$ (370,755)	$ 130,318	$ 106,326	$ 58,760	$ 118,147	88,854	413,551	$ 411,637
Amounts Reclassified from Accumulated OCI | Unrealized gains (losses) on available-for-sale securities, net
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments									56,104	(5,796)
Net other-than-temporary credit impairment losses									0	(4,853)
Income (loss) before income taxes									56,104	(10,649)
Income taxes									0	0
Net income (loss)									$ 56,104	$ (10,649)

Equity Compensation, Employme_3

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details)	12 Months Ended
	Dec. 31, 2020USD ($)installmentshares	Dec. 31, 2019USD ($)shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Granted shares (shares) | shares	587,233	862,261
Common dividends declared	$ 9,000,000	$ 13,000,000
401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Maximum employee contribution to plan if under the age of 50	19,500
Maximum catch-up contribution if over the age of 50	6,500
Expense related to qualified plan	$ 446,000	$ 434,000
Maximum | 401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Employer matching contribution, percent of match	100.00%
Employer matching contribution, percent of employees' gross pay	6.00%
Stock Award Deferral Program
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of installments | installment	5
Restricted Stock | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period	3 years
Shares available for future grants (shares) | shares	3,000,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period	3 years
Granted shares (shares) | shares	414,000	487,000
Grant date fair value	$ 5,000,000	$ 9,000,000
Restricted Stock Units (RSUs) | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period	3 years
Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period	3 years
Granted shares (shares) | shares	173,000	318,000
Grant date fair value	$ 3,000,000	$ 5,000,000
Performance Share Units | Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	0.00%
Performance Share Units | Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	200.00%
First Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
First Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Second Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Second Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Third Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Third Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%

Equity Compensation, Employme_4

Equity Compensation, Employment Agreements and other Benefit Plans - Stock Awards (Details) - $ / shares	12 Months Ended
	Dec. 31, 2020	Dec. 31, 2019
Number of Shares
Unvested shares outstanding - beginning of period (in shares)	1,900,371	1,256,069
Granted (in shares)	587,233	862,261
Vested (in shares)	(213,887)	(207,827)
Forfeited (in shares)	(129,849)	(10,132)
Unvested shares outstanding - end of period (in shares)	2,143,868	1,900,371
Weighted Average Grant Date Fair Value
Unvested shares outstanding - beginning of period (in dollars per share)	$ 17.30	$ 16.66
Granted (in dollars per share)	15.10	17.95
Vested (in dollars per share)	18.59	16.11
Forfeited (in dollars per share)	18.16	18.63
Unvested shares outstanding - end of period (in dollars per share)	$ 16.51	$ 17.30

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Operating Loss Carryforwards [Line Items]
Deferred tax assets	$ 30,000	$ 5,000
Operating loss carryforwards	25,000	22
Deferred tax assets, valuation allowance	30,000	5,000
Section 267(a)
Operating Loss Carryforwards [Line Items]
Amount related to losses disallowed under code sections	4,000	4,000
Section 163(j)
Operating Loss Carryforwards [Line Items]
Amount related to losses disallowed under code sections	$ 1,000	$ 1,000

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands	Dec. 31, 2020	Dec. 31, 2019
Secured Financing Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (4,636,847)	$ (13,427,545)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(4,636,847)	(13,427,545)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	6,696,214	15,399,244
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	41,871	20,211
Net Amount	2,101,238	1,991,910
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	0	3,611
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Liabilities
Gross Amounts of Recognized  Assets (Liabilities)	(4,636,847)	(13,628,545)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	204,611
Net Amounts Offset in the Consolidated Statements of Financial Position	(4,636,847)	(13,423,934)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	6,696,214	15,399,244
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	41,871	141,194
Net Amount	2,101,238	2,116,504
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)		1,092
Gross Amounts Offset in the Consolidated Statements of Financial Position		(1,092)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		119,469
Net Amount		119,469
Derivative Liability
Derivatives		(205,703)
Gross Amounts Offset in the Consolidated Statements of Financial Position		205,703
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Net Amount		0
Treasury Futures
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)		3,611
Gross Amounts Offset in the Consolidated Statements of Financial Position		0
Net Amounts Offset in the Consolidated Statements of Financial Position	0	3,611
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		1,514
Net Amount		5,125
Derivative Liability
Derivatives		0
Gross Amounts Offset in the Consolidated Statements of Financial Position		0
Net Amounts Offset in the Consolidated Statements of Financial Position	$ 0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Net Amount		$ 0

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	Dec. 31, 2020	Dec. 31, 2020	Jun. 08, 2020
Loss Contingencies [Line Items]
Investment company, committed capital, funded	$ 124
Exercise percent of common stock (as a percent)		90.00%
Hains Point
Loss Contingencies [Line Items]
Capital commitment		$ 150
Warrant Shares | Common Stock
Loss Contingencies [Line Items]
Class of warrant or right, outstanding (in shares)			20,300,000
Class of warrant or right, number of securities called by warrants or rights (in shares)			20,300,000

Summarized Quarterly Results _3

Summarized Quarterly Results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2020		Dec. 31, 2019		Dec. 31, 2018
Net interest income:
Interest income	$ 236,156	$ 247,905	$ 245,922	$ 300,266	$ 340,662	$ 330,144	$ 339,914	$ 350,389	$ 1,030,250	[1]	$ 1,361,110	[1]	$ 1,273,316	[1]
Interest expense	120,285	124,557	129,256	142,083	169,203	188,551	198,110	202,950	516,181	[2]	758,814	[2]	679,108	[2]
Net interest income	115,871	123,348	116,666	158,183	171,459	141,593	141,804	147,439	514,069		602,296		594,208
Increase/(decrease) in provision for credit losses	(13)	1,650	4,497	(6,314)					(180)		0		0
Net other-than-temporary credit impairment losses					0	0	0	(4,853)	0		(4,853)		(21,791)
Net gains (losses) on derivatives	0	0	0	(304,052)	78,030	(136,671)	(237,079)	(204,638)	(304,052)		(500,358)		(122,793)
Net unrealized gains (losses) on financial instruments at fair value	61,379	260,766	(171,921)	(260,887)	(112,751)	130,825	190,748	200,812	(110,664)		409,634		46,632
Net realized gains (losses) on sales of investments	(329)	65,041	26,380	75,854	17,687	1,596	(7,526)	8,603	166,946		20,360		(2,743)
Gain (loss) on Extinguishment of Debt	919	(55,794)	459	0	9,926	0	(608)	0	(54,418)		9,318		26,376
Total other expenses	30,566	27,620	31,000	33,507	33,998	31,015	28,424	29,216	122,689		122,653		108,161
Net income (loss)	147,234	367,329	(54,955)	(370,755)	130,318	106,326	58,760	118,147	88,854		413,551		411,637
Dividends on preferred stock	18,438	18,438	18,438	18,438	18,438	18,438	18,438	17,392	73,750		72,704		43,197
Net income (loss) available to common shareholders	$ 128,796	$ 348,891	$ (73,393)	$ (389,193)	$ 111,880	$ 87,888	$ 40,322	$ 100,755	$ 15,104		$ 340,847		$ 368,440
Net income per common share-basic (usd per share)	$ 0.55	$ 1.50	$ (0.37)	$ (2.08)	$ 0.60	$ 0.47	$ 0.22	$ 0.54	$ 0.07		$ 1.82		$ 1.97
[1]	Includes interest income of consolidated VIEs of $683,456, $780,746 and $904,830 for the years ended December 31, 2020, 2019 and 2018, respectively. See Note 9 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $285,142, $337,387 and $395,255 for the years ended December 31, 2020, 2019 and 2018, respectively. See Note 9 to consolidated financial statements for further discussion.