Chimera Investment (CIM) 10-Q 3 Nov 21 2021 Q3 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	9 Months Ended
	Sep. 30, 2021	Oct. 31, 2021
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2021
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	630 Fifth Ave, Ste 2400
Entity Address, City or Town	New York
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10111
City Area Code	888
Local Phone Number	895-6557
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
Entity Shell Company	false
Entity Common Stock, Shares Outstanding (in shares)		236,884,709
Entity Central Index Key	0001409493
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q3
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		Sep. 30, 2021	Dec. 31, 2020
Cash and cash equivalents		$ 328,455	$ 269,090
Non-Agency RMBS, at fair value (net of allowance for credit losses of $122 thousand and $180 thousand, respectively)		1,890,030	2,150,714
Agency RMBS, at fair value		65,889	90,738
Agency CMBS, at fair value		1,062,131	1,740,368
Loans held for investment, at fair value		12,533,864	13,112,129
Accrued interest receivable		74,011	81,158
Other assets		49,844	78,822
Total assets	[1]	16,004,224	17,523,019
Liabilities:
Secured financing agreements ($5.0 billion and $6.7 billion pledged as collateral, respectively)		3,788,336	4,636,847
Securitized debt, collateralized by Non-Agency RMBS ($424 million and $505 million pledged as collateral, respectively)		92,204	113,433
Securitized debt at fair value, collateralized by Loans held for investment ($11.3 billion and $12.4 billion pledged as collateral, respectively)		7,947,644	8,711,677
Long term debt		0	51,623
Payable for investments purchased		192,552	106,169
Accrued interest payable		20,388	40,950
Dividends payable		85,255	77,213
Accounts payable and other liabilities		29,297	5,721
Total liabilities	[1]	12,155,676	13,743,633
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		2,369	2,306
Additional paid-in-capital		4,357,526	4,538,029
Accumulated other comprehensive income		438,915	558,096
Cumulative earnings		4,534,274	3,881,894
Cumulative distributions to stockholders		(5,484,908)	(5,201,311)
Total stockholders' equity		3,848,548	3,779,386
Total liabilities and stockholders' equity		16,004,224	17,523,019
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 September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 and $8,063,110, respectively. See Note 9 for further discussion.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)		9 Months Ended	12 Months Ended
		Sep. 30, 2021	Dec. 31, 2020
Allowance for credit losses		$ 122,000	$ 180,000
Stockholders' Equity:
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)		236,883,020	230,556,760
Common stock, shares outstanding (shares)		236,883,020	230,556,760
Assets	[1]	$ 16,004,224,000	$ 17,523,019,000
Liabilities	[1]	12,155,676,000	13,743,633,000
Variable Interest Entities, Primary Beneficiary
Stockholders' Equity:
Assets		10,865,801,000	12,165,017,000
Liabilities		7,400,498,000	8,063,110,000
Non-Agency RMBS
Allowance for credit losses		122,000	180,000
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Allowance for credit losses			117,000
Repurchase Agreements
Liabilities:
Securities pledged as collateral		5,018,442,000	6,696,214,000
Repurchase Agreements | Residential Mortgage-Backed Securities
Liabilities:
Securities pledged as collateral		5,000,000,000	6,700,000,000
Securitized Loans | Non-Agency RMBS
Liabilities:
Securities pledged as collateral		424,000,000	505,000,000
Securitized Loans | Loans Held for Investment at Fair Value
Liabilities:
Securities pledged as collateral		$ 11,300,000,000	$ 12,400,000,000
Series A Preferred Stock
Stockholders' Equity:
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
Stockholders' Equity:
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
Stockholders' Equity:
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
Stockholders' Equity:
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 September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 and $8,063,110, respectively. See Note 9 for further discussion.

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Net interest income:
Interest income	[1]	$ 220,579	$ 247,905	$ 716,384	$ 794,094
Interest expense	[2]	71,353	124,557	260,029	395,897
Net interest income		149,226	123,348	456,355	398,197
Increase/(decrease) in provision for credit losses		(386)	(1,650)	(58)	167
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		0	0	0	201,000
Realized gains (losses) on terminations of interest rate swaps		0	0	0	(463,966)
Net realized gains (losses) on derivatives		0	0	0	(41,086)
Net gains (losses) on derivatives		0	0	0	(304,052)
Net unrealized gains (losses) on financial instruments at fair value		239,524	260,766	545,643	(172,042)
Net realized gains (losses) on sales of investments		0	65,041	45,313	167,275
Gains (losses) on extinguishment of debt		(25,622)	(55,794)	(284,535)	(55,338)
Total other gains (losses)		213,902	270,013	306,421	(364,157)
Other expenses:
Compensation and benefits		12,694	10,287	35,363	33,476
General and administrative expenses		5,300	6,236	16,672	17,335
Servicing and asset manager fees		9,297	9,473	27,659	30,074
Transaction expenses		3,432	1,624	25,614	11,239
Total other expenses		30,723	27,620	105,308	92,124
Income (loss) before income taxes		332,791	367,391	657,526	(58,251)
Income tax expense (benefit)		1,323	62	5,146	130
Net income (loss)		331,468	367,329	652,380	(58,381)
Dividends on preferred stock		18,438	18,438	55,313	55,313
Net income (loss) available to common shareholders		$ 313,030	$ 348,891	$ 597,067	$ (113,694)
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 1.33	$ 1.50	$ 2.57	$ (0.55)
Diluted (usd per share)		$ 1.30	$ 1.32	$ 2.42	$ (0.55)
Weighted average number of common shares outstanding:
Basic (shares)		235,887,296	232,127,224	232,717,010	206,237,705
Diluted (shares)		240,362,602	265,346,359	247,358,823	206,237,705
[1]	Includes interest income of consolidated VIEs of $138,984 and $171,442 for the quarters ended September 30, 2021 and 2020, respectively, and $446,198 and $515,250 for the nine months ended September 30, 2021 and 2020, respectively. See Note 9 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $43,525 and $74,753 for the quarters ended September 30, 2021 and 2020, respectively, and $159,666 and $210,198 for the nine months ended September 30, 2021 and 2020, 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	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Interest income, assets of consolidated VIEs	$ 138,984	$ 171,442	$ 446,198	$ 515,250
Interest expense, Non-recourse liabilities of VIEs	$ 43,525	$ 74,753	$ 159,666	$ 210,198

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Comprehensive income (loss):
Net income (loss)	$ 331,468	$ 367,329	$ 652,380	$ (58,381)
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(17,198)	40,470	(82,065)	(97,334)
Reclassification adjustment for net realized losses (gains) included in net income	0	(22,999)	(37,116)	(56,021)
Other comprehensive income (loss)	(17,198)	17,471	(119,181)	(153,355)
Comprehensive income (loss) before preferred stock dividends	314,270	384,800	533,199	(211,736)
Dividends on preferred stock	18,438	18,438	55,313	55,313
Comprehensive income (loss) available to common stock shareholders	$ 295,832	$ 366,362	$ 477,886	$ (267,049)

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, 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)	(58,381)				(58,381)
Other comprehensive income (loss)	(153,355)			(153,355)
Repurchase of common stock	(22,066)	(15)	(22,051)
Settlement of convertible debt	294,009	463	293,546
Purchase of capped call	(33,750)		(33,750)
Stock based compensation	4,112	1	4,111
Common dividends declared	(232,007)					(232,007)
Preferred dividends declared	(55,313)					(55,313)	$ (9,000)		$ (20,000)		$ (15,000)		$ (12,000)
Ending Balance at Sep. 30, 2020	3,696,542	2,322	4,517,819	554,981	3,734,659	(5,113,611)		58		130		104		80
Beginning Balance at Jun. 30, 2020	3,395,879	2,320	4,515,043	537,510	3,367,330	(5,026,696)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	367,329				367,329
Other comprehensive income (loss)	17,471			17,471
Settlement of convertible debt	1,200	2	1,198
Stock based compensation	1,578		1,578
Common dividends declared	(68,477)					(68,477)
Preferred dividends declared	(18,438)					(18,438)	(3,000)		(7,000)		(5,000)		(4,000)
Ending Balance at Sep. 30, 2020	3,696,542	2,322	4,517,819	554,981	3,734,659	(5,113,611)		58		130		104		80
Beginning 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
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	652,380				652,380
Other comprehensive income (loss)	(119,181)			(119,181)
Repurchase of common stock	(1,828)	(2)	(1,826)
Settlement of warrants	(220,945)		(220,945)
Settlement of convertible debt	37,340	58	37,282
Stock based compensation	4,993	7	4,986
Common dividends declared	(228,284)					(228,284)
Preferred dividends declared	(55,313)					(55,313)	(9,000)		(20,000)		(15,000)		(12,000)
Ending Balance at Sep. 30, 2021	3,848,548	2,369	4,357,526	438,915	4,534,274	(5,484,908)		58		130		104		80
Beginning Balance at Jun. 30, 2021	3,627,431	2,356	4,352,986	456,113	4,202,806	(5,387,202)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	331,468				331,468
Other comprehensive income (loss)	(17,198)			(17,198)
Settlement of convertible debt	5,526	8	5,518
Stock based compensation	(973)	5	(978)
Common dividends declared	(79,268)					(79,268)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Sep. 30, 2021	$ 3,848,548	$ 2,369	$ 4,357,526	$ 438,915	$ 4,534,274	$ (5,484,908)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020
Cash Flows From Operating Activities:
Net income (loss)	$ 652,380	$ (58,381)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	61,158	93,365
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net	9,268	(41,102)
Net unrealized losses (gains) on derivatives	0	(201,000)
Margin (paid) received on derivatives	0	325,594
Net unrealized losses (gains) on financial instruments at fair value	(545,643)	172,042
Net realized losses (gains) on sales of investments	(45,313)	(167,275)
Net increase (decrease) in provision for credit losses	(58)	167
(Gain) loss on extinguishment of debt	284,535	55,338
Equity-based compensation expense	4,993	4,112
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	7,145	30,381
Decrease (increase) in other assets	(22,439)	(22,507)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	24,626	17,736
Increase (decrease) in accrued interest payable, net	(20,564)	(27,842)
Net cash provided by (used in) operating activities	410,088	180,628
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	1,840,841	8,137,066
Cash Flows From Financing Activities:
Proceeds from secured financing agreements	36,235,601	74,264,849
Payments on secured financing agreements	(37,087,294)	(83,030,677)
Payments on repurchase of common stock	(1,828)	(22,066)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment	5,060,056	2,061,895
Payments on securitized debt borrowings, collateralized by Loans held for investment	(5,846,212)	(1,379,866)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(18,495)	(13,852)
Payments on convertible debt purchases	(36,892)	0
Net proceeds from issuance of convertible debt	0	361,139
Purchase of capped call	0	(33,750)
Settlement of warrants	(220,945)	0
Common dividends paid	(220,242)	(254,214)
Preferred dividends paid	(55,313)	(55,313)
Net cash provided by (used in) financing activities	(2,191,564)	(8,101,855)
Net increase (decrease) in cash and cash equivalents	59,365	215,839
Cash and cash equivalents at beginning of period	269,090	109,878
Cash and cash equivalents at end of period	328,455	325,717
Supplemental disclosure of cash flow information:
Interest received	784,688	917,156
Interest paid	271,325	464,147
Non-cash investing activities:
Payable for investments purchased	192,552	614,583
Net change in unrealized gain (loss) on available-for sale securities	(119,181)	(153,355)
Retained beneficial interests	24,891	21,943
Non-cash financing activities:
Dividends declared, not yet paid	85,255	76,362
Conversion of convertible debt	37,340	290,531
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(182,350)	(385,014)
Sales	201,653	7,201,313
Principal payments	509,693	705,272
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(9,766)	(22,859)
Sales	47,674	142,534
Principal payments	239,348	191,294
Loans held for investment
Cash Flows From Investing Activities:
Sales	1,653,260	703,342
Principal payments	1,982,400	1,384,331
Purchases	$ (2,601,071)	$ (1,783,147)

Organization

Organization	9 Months Ended
	Sep. 30, 2021
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 is an internally managed REIT that is primarily engaged, through its subsidiaries, in the business of investing in a diversified portfolio of mortgage assets, including residential mortgage loans, Agency RMBS, Non-Agency RMBS, Agency CMBS, and other real estate-related assets. The following defines certain of the commonly used terms in this Quarterly Report on Form 10-Q: Agency refers to a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae; MBS refers to mortgage-backed securities secured by pools of residential or commercial mortgage loans; Agency RMBS and Agency CMBS refer to MBS that are secured by pools of residential and commercial mortgage loans, respectively, and are issued or guaranteed by an Agency; Agency MBS refers to MBS that are issued or guaranteed by an Agency and includes Agency RMBS and Agency CMBS collectively; Non-Agency RMBS refers to residential MBS that are not guaranteed by any agency of the U.S. Government or any Agency. IO refers to Interest-only securities. 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. The Company holds a non-consolidated interest in Kah Capital Management, which is accounted for as an equity method investment. The Company paid $321 thousand and $250 thousand during the quarters, and $1 million and $750 thousand during the nine months ended September 30, 2021 and 2020, respectively, in fees to Kah Capital Management for investment services provided.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	9 Months Ended
	Sep. 30, 2021
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 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. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. 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) Use of Estimates The 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 (Notes 4 and 5), securitized debt (Notes 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2020, other than the significant accounting policies discussed below. 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. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of September 30, 2021, or December 31, 2020. (e) Recent Accounting Pronouncements Reference Rate Reform (Topic 848) In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (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 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 contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2022 at which time the transition is expected to be complete. The Company has not yet had any contracts modified to adopt reference rate reform. When a contract within the scope of this update is updated for reference rate reform, the Company will evaluate the impact in accordance with this update. 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 earnings per share, or 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 the Company on January 1, 2022. 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

Mortgage-Backed Securities	9 Months Ended
	Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed Securities The 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 September 30, 2021 and December 31, 2020. September 30, 2021 (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 $ 1,340,949 $ 3,907 $ (691,120) $ 653,736 $ (121) $ 1,054,227 $ 400,801 $ (190) $ 400,611 Subordinated 849,256 5,794 (278,206) 576,844 (1) 648,585 93,326 (21,584) 71,742 Interest-only 4,225,195 201,508 — 201,508 — 187,218 40,268 (54,558) (14,290) Agency RMBS Interest-only 1,067,557 106,477 — 106,477 — 65,889 106 (40,694) (40,588) Agency CMBS Project loans 825,894 16,278 (812) 841,360 — 926,306 84,946 — 84,946 Interest-only 2,351,641 131,734 — 131,734 — 135,825 4,241 (150) 4,091 Total $ 10,660,492 $ 465,698 $ (970,138) $ 2,511,659 $ (122) $ 3,018,050 $ 623,688 $ (117,176) $ 506,512 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 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 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 September 30, 2021 and December 31, 2020. All available for sale Non-Agency RMBS not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. September 30, 2021 (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 $ 9,596 $ (190) 1 $ — $ — — $ 9,596 $ (190) 1 Subordinated 42,385 (478) 7 21,600 (21,106) 10 63,985 (21,584) 17 Interest-only 25,352 (4,992) 34 24,475 (49,566) 51 49,827 (54,558) 85 Agency RMBS Interest-only 16,904 (5,980) 5 47,141 (34,714) 18 64,045 (40,694) 23 Agency CMBS Project loans — — — — — — — — — Interest-only 24,118 (150) 3 — — — 24,118 (150) 3 Total $ 118,355 $ (11,790) 50 $ 93,216 $ (105,386) 79 $ 211,571 $ (117,176) 129 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 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 At September 30, 2021, 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 September 30, 2021. The Company did not have any gross unrealized losses on its Agency MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) as of September 30, 2021. 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 as of December 31, 2020. 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 September 30, 2021 and December 31, 2020, 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, were $190 thousand and $248 thousand, at September 30, 2021 and December 31, 2020, respectively. After evaluating the securities and recording the allowance for credit losses, the Company 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 it did not intend to sell the securities, it was not considered more likely than not that it would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused the Company to otherwise conclude that it 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. 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 losses allowance on available-for-sale securities for quarters and nine months ended September 30, 2021 and 2020 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 508 $ 1,817 $ 180 $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 7 22 475 6,582 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 (544) (1,074) (721) (3,778) Write-offs charged against the allowance (23) (642) (86) (2,389) Recoveries of amounts previously written off 174 44 274 73 Ending allowance for credit losses $ 122 $ 167 $ 122 $ 167 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2021 and December 31, 2020. September 30, 2021 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 32,143,429 6.2% 4.6% 54.6% Subordinated 1,352 6.0% 0.3% 30.0% 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 decrease in the allowance for credit losses for the quarter and nine months ended September 30, 2021 is primarily due to a reduction in expected losses and delinquencies as compared to the same periods of 2020. The following tables present a summary of unrealized gains and losses at September 30, 2021 and December 31, 2020. September 30, 2021 (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 $ 400,801 $ — $ 400,801 $ (190) $ — $ (190) Subordinated 35,171 58,155 93,326 — (21,584) (21,584) Interest-only — 40,268 40,268 — (54,558) (54,558) Agency RMBS Interest-only — 106 106 — (40,694) (40,694) Agency CMBS Project loans 3,133 81,813 84,946 — — — Interest-only — 4,241 4,241 — (150) (150) Total $ 439,105 $ 184,583 $ 623,688 $ (190) $ (116,986) $ (117,176) 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 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) 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 September 30, 2021 and December 31, 2020. September 30, 2021 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,340,949 $ 48.75 78.62 4.4 % 17.6 % Subordinated 849,256 67.92 76.37 3.8 % 6.7 % Interest-only 4,225,195 4.77 4.43 1.6 % 12.8 % Agency RMBS Interest-only 1,067,557 9.97 6.17 1.3 % 0.7 % Agency CMBS Project loans 825,894 101.87 112.16 4.3 % 4.1 % Interest-only 2,351,641 5.60 5.78 0.7 % 5.3 % (1) Bond Equivalent Yield at period end. December 31, 2020 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 $ 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. The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 AAA 0.2 % 0.2 % AA — % 0.1 % A 2.2 % 1.2 % BBB 2.4 % 1.9 % BB 4.7 % 4.3 % B 2.1 % 2.0 % Below B 24.9 % 31.9 % Not Rated 63.5 % 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 underlying mortgages, periodic payments of principal, realized losses and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at September 30, 2021 and December 31, 2020 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. September 30, 2021 (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 $ 7,744 $ 351,515 $ 303,819 $ 391,149 $ 1,054,227 Subordinated 2,885 155,226 244,959 245,515 648,585 Interest-only 3,821 155,664 27,732 1 187,218 Agency RMBS Interest-only — — 65,889 — 65,889 Agency CMBS Project loans 8,480 — — 917,826 926,306 Interest-only 2,387 129,921 3,517 — 135,825 Total fair value $ 25,317 $ 792,326 $ 645,916 $ 1,554,491 $ 3,018,050 Amortized cost Non-Agency RMBS Senior $ 5,978 $ 243,637 $ 167,673 $ 236,448 $ 653,736 Subordinated — 132,268 223,810 220,766 576,844 Interest-only 30,408 149,352 21,690 58 201,508 Agency RMBS Interest-only — — 106,477 — 106,477 Agency CMBS Project loans 8,454 — — 832,906 841,360 Interest-only 1,840 126,622 3,272 — 131,734 Total amortized cost $ 46,680 $ 651,879 $ 522,922 $ 1,290,178 $ 2,511,659 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 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 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 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 Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.0 % 1.2 % 6.0 % 1.5 % 3.3 % 0.4 % 15.4 % 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 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Weighted average maturity (years) 21.6 22.2 Weighted average amortized loan to value (1) 60.6 % 61.4 % Weighted average FICO (2) 708 714 Weighted average loan balance (in thousands) $ 263 $ 291 Weighted average percentage owner-occupied 83.7 % 81.8 % Weighted average percentage single family residence 61.8 % 61.7 % Weighted average current credit enhancement 1.1 % 0.9 % Weighted average geographic concentration of top four states CA 31.5 % CA 33.8 % NY 10.0 % NY 8.7 % FL 8.0 % FL 7.9 % NJ 4.5 % NJ 4.3 % (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 September 30, 2021 and December 31, 2020. Origination Year September 30, 2021 December 31, 2020 2003 and prior 1.4 % 1.7 % 2004 1.3 % 1.4 % 2005 9.1 % 10.3 % 2006 53.0 % 52.1 % 2007 25.6 % 27.2 % 2008 and later 9.6 % 7.3 % 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 quarters and nine months ended September 30, 2021 and 2020 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 (dollars in thousands) (dollars in thousands) Proceeds from sales: Non-Agency RMBS — 604 47,877 142,564 Agency RMBS — — 626 5,710,134 Agency CMBS — 734,320 201,037 1,060,987 Gross realized gains: Non-Agency RMBS — — 37,742 21,274 Agency RMBS — — — 74,264 Agency CMBS — 70,237 13,735 88,927 Gross realized losses: Non-Agency RMBS — (2,214) (4,955) (8,392) Agency RMBS — — (1,209) (5,816) Agency CMBS — (2,982) — (2,982) Net realized gain (loss) $ — $ 65,041 $ 45,313 $ 167,275 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 $252 million, which eliminated the secured borrowing. This transaction resulted in a loss on extinguishment of debt of $56 million. There were no such transfers during the first nine months of 2021.

Loans Held for Investment

Loans Held for Investment	9 Months Ended
	Sep. 30, 2021
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 September 30, 2021, 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 the Company's Loans held for investment was $11.5 billion and $12.5 billion as of September 30, 2021 and December 31, 2020, respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2021 and December 31, 2020: For the Nine Months Ended For the Year Ended September 30, 2021 December 31, 2020 (dollars in thousands) Balance, beginning of period $ 13,112,129 $ 14,292,815 Purchases 2,807,700 1,860,998 Principal paydowns (1,982,400) (1,966,590) Sales and settlements (1,678,140) (1,053,943) Net periodic accretion (amortization) (74,396) (85,794) Realized gains (losses) on sales and settlements — — Change in fair value 348,971 64,643 Balance, end of period $ 12,533,864 $ 13,112,129 The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. During the quarter ended September 30, 2021, the Company sold loans with a fair value of $450 million, with the Company retaining $25 million of beneficial interests in these loans. The Company did not retain any other beneficial interests on loan sales during the nine months ended September 30, 2021. During the year ended December 31, 2020, the Company sold loans with a fair value of $1.1 billion, with the Company retaining $22 million of beneficial interests in these loans. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year September 30, 2021 (1) December 31, 2020 2002 and prior 6.5 % 6.9 % 2003 5.7 % 5.9 % 2004 11.8 % 12.0 % 2005 18.7 % 18.2 % 2006 22.8 % 22.7 % 2007 22.2 % 22.4 % 2008 6.2 % 6.4 % 2009 1.2 % 1.3 % 2010 and later 4.9 % 4.2 % Total 100.0 % 100.0 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2021 and December 31, 2020: September 30, 2021 (1) December 31, 2020 Number of loans 119,024 132,134 Weighted average maturity (years) 19.2 19.6 Weighted average loan to value 85.6 % 86.1 % Weighted average FICO 658 630 Weighted average loan balance (in thousands) $ 97 $ 96 Weighted average percentage owner occupied 88.3 % 87.7 % Weighted average percentage single family residence 82.0 % 83.3 % Weighted average geographic concentration of top five states CA 13.7 % CA 12.4 % FL 8.1 % FL 8.0 % NY 7.9 % NY 7.3 % VA 4.8 % PA 5.0 % PA 4.8 % VA 4.9 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2021 and December 31, 2020, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2021 (1) $593,685 $180,788 $527,805 $216,944 $312,619 $26,341 $1,858,182 $11,517,084 % of Unpaid Principal Balance 5.2 % 1.6 % 4.6 % 1.9 % 2.7 % 0.2 % 16.2 % December 31, 2020 $727,012 $289,966 $729,713 $277,098 $297,509 $29,852 $2,351,150 12,640,193 % of Unpaid Principal Balance 5.8 % 2.3 % 5.8 % 2.2 % 2.4 % 0.2 % 18.6 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period.

Fair Value Measurements

Fair Value Measurements	9 Months Ended
	Sep. 30, 2021
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 the 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 third-party prices by greater than these thresholds for the period, the Company conducts a further review, both internally and with third-party pricing service of the prices of such securities. First, the Company obtains the inputs used by the third-party pricing service and compares them to the Company’s inputs. The Company then 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 thi rd-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 thresholds before a final price is established. At September 30, 2021, 25 investment holdings with an internally developed fair value of $383 million had a difference between the model generated prices and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $35 million higher, in the aggregate, than the third-party prices provided of $348 million. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2021 in excess of the thresholds for the period. At December 31, 2020, 23 investment holdings with an internally developed fair value of $389 million had a difference between the model generated price s and third-party prices provided in excess of the thresholds for the period. The internally developed prices were $3 million lower, in the aggregate, 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 thresholds 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 held for investment is comprised primarily of seasoned reperforming residential mortgage loans. Loans held for investment also includes jumbo, prime residential mortgage and business purpose loans. A description of how fair values for each of these loan groups is below. 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 third-party prices by greater than the 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. Then 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 thresholds before a final price is established. At September 30, 2021, 3 loan pools with an internally developed fair value of $3.8 billion had a difference between the model generated prices and third-party prices provided in excess of the threshold for the period. The internally developed prices were $74 million higher than the third-party prices provided of $3.7 billion. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2021 in excess of the threshold for the period. At December 31, 2020, 3 loan pools 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 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 threshold for the period. 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 allows 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. Jumbo, prime residential mortgage loans have a fair value of $40 million at September 30, 2021. 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. Business purpose loans: Business purpose loans are loans to businesses that are secured by real property which will be renovated by the borrower. Upon completion of the renovation the property will be either sold by the borrower or refinanced by the borrower who may subsequently sell or rent the property. Most, but not all, of the properties securing these loans are residential and a portion of the loan is used to cover renovation costs. The business purpose loans are included as a part of the Company's Loans held for investment portfolio and are carried at fair value. These loans tend to be short duration, often less than one year, and generally the coupon rate is higher than the Company's residential mortgage loans. As these loans are generally short-term in nature and there is an active market for these loans, the Company estimates fair value of the business purpose loans based on the recent purchase price of the loan, adjusted for observable market activity for similar assets offered in the market. Business purpose loans have a fair value of $307 million at September 30, 2021. As the fair value prices of the business purpose loans are based on the recent trades of similar assets in an active market, the Company has classified them as Level 2 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. At September 30, 2021, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and independent third-party prices. At December 31, 2020, 2 securitized debt positions 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 securitized debt positions 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. 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. 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. Fair value option The table below shows the unpaid principal and fair value of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election as of September 30, 2021 and December 31, 2020, respectively: September 30, 2021 December 31, 2020 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Subordinated 654,814 494,170 632,335 416,745 Interest-only 4,225,195 187,218 5,628,240 262,259 Agency RMBS Interest-only 1,067,557 65,889 1,262,963 90,738 Agency CMBS Project loans 746,123 841,519 1,413,719 1,592,473 Interest-only 2,351,641 135,825 1,326,665 25,885 Loans held for investment, at fair value 11,664,695 12,533,864 12,640,195 13,112,129 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 7,894,993 7,947,644 8,705,200 8,711,677 The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations as of September 30, 2021 and 2020, respectively: For the Quarter Ended For the Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 (dollars in thousands) (dollars in thousands) Gain/(Loss) on Change in Fair Value Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior — — — — Subordinated 23,228 31,328 56,638 (56,632) Interest-only 630 (12,626) (26,941) 44,320 Agency RMBS Pass-through — — — (151,056) Interest-only (7,134) (824) (12,460) (12,302) Agency CMBS Project loans (17,129) (42,942) (72,013) 45,069 Interest-only (463) 2,788 1,777 4,415 Loans held for investment, at fair value 248,244 371,423 348,971 (124,250) Liabilities: Securitized debt at fair value, collateralized by Loans held for investment (7,852) (88,381) 249,671 78,394 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 September 30, 2021 and December 31, 2020 are presented below. September 30, 2021 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,890,030 $ — $ 1,890,030 Agency RMBS, at fair value — 65,889 — — 65,889 Agency CMBS, at fair value — 1,062,131 — — 1,062,131 Loans held for investment, at fair value — 307,004 12,226,860 — 12,533,864 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,947,644 — 7,947,644 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 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 8,711,677 — 8,711,677 The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2021 and December 31, 2020. Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2021 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 Transfers into Level 3 — — — Transfers out of Level 3 — (272,198) — Purchases of assets/ issuance of debt 34,656 2,692,043 5,060,056 Principal payments (239,347) (1,901,004) (1,676,193) Sales and Settlements (47,674) (1,678,140) (4,169,819) Net accretion (amortization) 46,095 (75,057) 11,706 Gains (losses) included in net income (Increase) decrease in provision for credit losses 58 — — Realized gains (losses) on sales and settlements 32,807 — 259,883 Net unrealized gains (losses) included in income 29,697 349,087 (249,666) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (116,976) — — Ending balance Level 3 $ 1,890,030 $ 12,226,860 $ 7,947,644 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 Other than temporary credit impairment 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 During the nine months ended September 30, 2021, there were transfers out of $272 million Loans held for investment from Level 3 into Level 2, relating to business purpose loans as these assets are valued based on recent trades of similar assets within an active market. During the first quarter of 2020 there were transfers out of Level 3 to Level 2 of $135 million, as prices were based on unadjusted quoted prices on these assets. These investments of $135 million 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. 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 purchase 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 September 30, 2021 and December 31, 2020 follows. The weighted average discount rates are based on fair value. September 30, 2021 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 1%-8% 3.6% 1%-30% 12.0% 0%-7% 1.9% 26%-68% 37.8% Subordinated 1%-10% 5.5% 6%-50% 17.4% 0%-6% 1.1% 10%-49% 39.6% Interest-only 0%-100% 10.3% 6%-65% 25.9% 0%-10% 1.3% 0%-86% 30.7% 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% 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 September 30, 2021 and December 31, 2020 follows: September 30, 2021 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 1%-7% 2.1% 6%-45% 15.5% 0%-11% 1.3% 30%-75% 56.3% 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% 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 h

Secured Financing Agreements

Secured Financing Agreements	9 Months Ended
	Sep. 30, 2021
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 bonds issued by 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 January 2022 through April 2025. The collateral pledged as security on the long-term financing agreements may include the Company’s investments in bonds issued by consolidated VIEs, which are eliminated in consolidation. The interest rates on the long-term financing agreements are generally indexed to one-month and three-month LIBOR rates. The warehouse credit facilities collateralized by loans are repurchase agreements intended to finance loans 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 generally 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, 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 or until the drop is greater than a threshold. At September 30, 2021, the Company has $1.3 billion of secured financing agreements which are not subject to additional margin requirements upon a change in the fair value of the collateral pledged. At September 30, 2021, the Company has $117 million of secured financing agreements which are not subject to additional margin requirements until the drop in the fair value of collateral is greater than a threshold. 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. 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 September 30, 2021 and December 31, 2020 were: September 30, 2021 December 31, 2020 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 24,700 $ 69,180 Agency CMBS (in thousands) 795,873 1,333,799 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,967,763 3,233,868 Total: $ 3,788,336 $ 4,636,847 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 26,618 $ 86,160 Agency CMBS (in thousands) 835,984 1,382,783 Non-Agency RMBS and Loans held for investment (in thousands) 4,155,840 5,227,271 Total: $ 5,018,442 $ 6,696,214 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 54,242 $ 1,407,713 Agency CMBS (in thousands) 1,040,018 1,818,721 Non-Agency RMBS and Loans held for investment (in thousands) 3,016,595 4,089,911 Total: $ 4,110,855 $ 7,316,345 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 0.67 % 0.90 % Agency CMBS 0.16 % 0.21 % Non-Agency RMBS and Loans held for investment 2.76 % 4.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 4 Days 12 days Agency CMBS 13 Days 11 days Non-Agency RMBS and Loans held for investment 316 Days 458 days Average original maturity of Secured financing agreements secured by: Agency RMBS 32 Days 14 days Agency CMBS 30 Days 30 days Non-Agency RMBS and Loans held for investment 333 Days 492 days (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of September 30, 2021 and December 31, 2020, respectively. At September 30, 2021 and December 31, 2020, we pledged $10 million and $42 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At September 30, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2021 December 31, 2020 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA —% - —% $ — NA NA 1 to 29 days 1,005,444 0.37% 0.11% - 1.82% 1,521,134 0.38% 0.20% - 2.72% 30 to 59 days 109,436 1.62% 1.62% - 1.62% 481,257 4.35% 2.42% - 6.61% 60 to 89 days 245,058 1.62% 1.28% - 1.68% 352,684 2.78% 1.34% - 6.30% 90 to 119 days 455,938 1.78% 1.41% - 1.99% 301,994 7.97% 7.97% - 7.97% 120 to 180 days 526,398 1.84% 0.90% - 2.34% 595,900 5.29% 2.40% - 6.26% 180 days to 1 year 899,381 3.59% 0.94% - 4.38% 345,204 3.60% 3.25% - 4.50% 1 to 2 years 261,999 3.06% 3.04% - 3.09% — NA NA 2 to 3 years — NA NA 642,696 4.91% 1.65% - 7.00% Greater than 3 years 284,682 5.56% 5.56% - 5.56% 395,978 5.56% 5.56% - 5.56% Total $ 3,788,336 2.20% $ 4,636,847 3.41% (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of September 30, 2021 and December 31, 2020, respectively. Certain of the long-term financing agreements and warehouse credit facilities are subject to certain covenants. 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 $924 million unused uncommitted warehouse credit facilities as of September 30, 2021. At September 30, 2021, there was no amount at risk with any counterparty greater than 10% of the Company's equity. At December 31, 2020, the Company had amounts at risk with Goldman Sachs and Nomura of 17% and 11%, respectively, of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Goldman Sachs and Nomura were 938 and 106 days, respectively. The amounts at risk with Goldman Sachs and Nomura were $649 million and $421 million, respectively.

Securitized Debt

Securitized Debt	9 Months Ended
	Sep. 30, 2021
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 September 30, 2021 and December 31, 2020, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $116 million and $135 million, respectively. At September 30, 2021 and December 31, 2020, the debt carried a weighted average coupon of 6.7% a nd 6.5%, respectively. As of September 30, 2021, 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. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended September 30, 2021 and 2020. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2021 and December 31, 2020, 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. September 30, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 7,192 $ 13,552 One to Three Years 2,780 11,229 Three to Five Years 1,080 1,589 Greater Than Five Years 123 305 Total $ 11,175 $ 26,675 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 September 30, 2021 and December 31, 2020, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $7.9 billion and 8.7 billion, respectively. At September 30, 2021 and December 31, 2020, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon equal to 2.4% and 3.4%, respectively. As of September 30, 2021, the maturities of the debt range between the years 2023 and 2062. During the quarter ended September 30, 2021, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $189 million for $193 million. This transaction resulted in net loss on extinguishment of debt of $4 million. During the nine months ended September 30, 2021, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $3.9 billion for $4.2 billion. This transaction resulted in net loss on extinguishment of debt of $260 million. The Company did not acquire any securitized debt collateralized by loans held for investment during the quarter ended September 30, 2020. During the nine months ended September 30, 2020, the Company acquired securitized debt collateralized by Loans held for investment with an amortized cost balance of $147 million. This transaction resulted in a net gain on extinguishment of debt of $459 thousand. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2021 and December 31, 2020, 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. September 30, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 2,060,769 $ 1,837,055 One to Three Years 2,934,030 2,819,646 Three to Five Years 1,711,625 1,774,273 Greater Than Five Years 1,187,388 2,170,253 Total $ 7,893,812 $ 8,601,227 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 September 30, 2021. September 30, 2021 (dollars in thousands) Year Principal Currently callable 109,717 2021 257,945 2022 1,497,507 2023 1,053,870 2024 1,449,774 2025 2,575,370 Total $ 6,944,183

Long Term Debt

Long Term Debt	9 Months Ended
	Sep. 30, 2021
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). On June 29, 2021, as a result in the change in the dividend, the conversion rate was updated to 154.1546 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $6.49 per common share). Upon conversion of these notes by a holder, the holder will receive shares of the Company's common stock.

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	9 Months Ended
	Sep. 30, 2021
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. During the quarter and nine months ended September 30, 2021, the Company securitized and consolidated approximately $450 million and $6.0 billion, respectively, unpaid principal balance of seasoned residential subprime mortgage loans. During the quarter and nine months ended September 30, 2020, the Company securitized and consolidated approximately $338 million and $1.9 billion, respectively, 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 September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 424,320 $ 505,479 Loans held for investment, at fair value 10,382,307 11,591,598 Accrued interest receivable 48,436 53,804 Other assets 10,738 14,136 Total Assets: $ 10,865,801 $ 12,165,017 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 92,204 $ 113,433 Securitized debt at fair value, collateralized by Loans held for investment 7,290,663 7,923,523 Accrued interest payable 15,452 23,677 Other liabilities 2,179 2,477 Total Liabilities: 7,400,498 8,063,110 (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 Quarters ended September 30, 2021 September 30, 2020 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 138,984 $ 171,442 Interest expense, Non-recourse liabilities of VIEs 43,525 74,753 Net interest income $ 95,459 $ 96,689 (Increase) decrease in provision for credit losses $ (365) $ 126 Servicing fees $ 6,561 $ 8,291 For the Nine Months ended September 30, 2021 September 30, 2020 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 446,198 $ 515,250 Interest expense, Non-recourse liabilities of VIEs 159,666 210,198 Net interest income $ 286,532 $ 305,052 (Increase) decrease in provision for credit losses $ (117) $ (91) Servicing fees $ 20,244 $ 24,673 VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities, such as rights to replace the servicer without cause, and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at September 30, 2021, ranged from less than $1 million to $211 million, with an aggregate amount of $1.5 billion. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2020, ranged from less than $1 million to $190 million, with an aggregate amount of $1.6 billion . The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.2 billion

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments In connection with the Company’s interest rate risk strategy, the Company may 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. 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. Treasury futures 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 15 for further discussion of counterparty credit risk. The Company did not have any derivative instruments as of September 30, 2021 and December 31, 2020. There were no Net gains (losses) on derivatives for the quarter ended September 30, 2021 and September 30, 2020 . The effect of the Company’s derivatives on the Consolidated Statements of Operations for the nine months ended September 30, 2021 and September 30, 2020 is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2021 September 30, 2020 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ — $ 204,611 Interest Rate Swaps Net realized gains (losses) on derivatives (1) — (470,352) Treasury Futures Net unrealized gains (losses) on derivatives — (3,611) Treasury Futures Net realized gains (losses) on derivatives — (34,700) Swaptions Net unrealized gains (losses) on derivatives — — Swaptions Net realized gains (losses) on derivatives — — Total $ — $ (304,052) (1) Includes loss on termination of interest rate swaps of $464 million during the nine months ended September 30, 2020. There were no swap terminations during the quarter ended September 30, 2021. The company paid $464 million to terminate interest rate swaps with a notional value of $4.1 billion during the nine months ended September 30, 2020. The terminated swaps had original maturities from 2023 to 2048. 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

Capital Stock

Capital Stock	9 Months Ended
	Sep. 30, 2021
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2021, respectively. The Company declared dividends to Series A preferred stockholders of $3 million and $9 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2020, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2021, respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2020, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during the quarter and nine months ended September 30, 2021, respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during the quarter and nine months ended September 30, 2020, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2021, respectively. The Company declared dividends to Series D preferred stockholders of $4 million and $12 million, or $0.50 and $1.50 per preferred share, during the quarter and nine months ended September 30, 2020, respectively. Common Stock In February 2021, our Board of Directors increased the authorization of the Company's share repurchase program to $250 million, 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 the Company's 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 the Company's 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 its 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 did not repurchase any of its common stock during the quarter ended September 30, 2021. The Company repurchased approximately 161 thousand shares of its common stock at an average price of $11.39 per share for a total of $2 million during the nine months ended September 30, 2021. The Company did not repurchase any of its common stock during the quarter ended September 30, 2020. 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 nine months ended September 30, 2020. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $226 million as of September 30, 2021. During the quarter and nine months ended September 30, 2021, the Company declared dividends to common shareholders of $79 million and $228 million, or $0.33 and $0.96 per share, respectively. During the quarter and nine months ended September 30, 2020, the Company declared dividends to common shareholders of $68 million and $232 million, or $0.30 and $1.10 per share, respectively. Warrants During the nine months ended September 30, 2021, the Company settled the $400 million financed under the senior secured, non-mark-to market credit agreement in full and the Warrant Shares became exercisable. The Company then settled the exercise of 20 million Warrant Shares in cash at a price of 90% of fair market value of the Company's common stock for $221 million. Earnings per Share (EPS) EPS for the quarters and nine months ended September 30, 2021 and 2020 respectively, are computed as follows: For the Quarters Ended September 30, 2021 September 30, 2020 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 313,030 $ 348,891 Effect of dilutive securities: Interest expense attributable to convertible notes 238 1,495 Net income (loss) available to common shareholders - Diluted $ 313,268 $ 350,386 Denominator: Weighted average basic shares 235,887,296 232,127,224 Effect of dilutive securities 4,475,306 33,219,135 Weighted average dilutive shares 240,362,602 265,346,359 Net income (loss) per average share attributable to common stockholders - Basic $ 1.33 $ 1.50 Net income (loss) per average share attributable to common stockholders - Diluted $ 1.30 $ 1.32 For the Nine Months ended September 30, 2021 September 30, 2020 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 597,067 $ (113,694) Effect of dilutive securities: Interest expense attributable to convertible notes 2,274 — Net income (loss) available to common shareholders - Diluted $ 599,341 $ (113,694) Denominator: Weighted average basic shares 232,717,010 206,237,705 Effect of dilutive securities 14,641,813 — Weighted average dilutive shares 247,358,823 206,237,705 Net income (loss) per average share attributable to common stockholders - Basic $ 2.57 $ (0.55) Net income (loss) per average share attributable to common stockholders - Diluted $ 2.42 $ (0.55) There were no potentially dilutive shares excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive for the quarter-ended September 30, 2021. For the quarter ended September 30, 2020 potentially dilutive shares of 906 thousand were excluded from the computation of fully diluted EPS because their effect would have been anti- dilutive. Anti-dilutive shares for the quarter-ended September 30, 2020 were comprised of restricted stock units and performance stock units. For the nine months ended September 30, 2021 and 2020, potentially dilutive shares of 154 thousand and 26 million, respectively, were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive shares for the nine months ended September 30, 2021 were comprised of restricted stock units. Anti-dilutive shares for the nine months ended September 30, 2020 were comprised of restricted stock units and performance stock units, warrants and shares from the assumed conversion of convertible debt.

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	9 Months Ended
	Sep. 30, 2021
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 nine months ended September 30, 2021 and 2020: September 30, 2021 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2020 $ 558,096 $ 558,096 OCI before reclassifications (82,065) (82,065) Amounts reclassified from AOCI (37,116) (37,116) Net current period OCI (119,181) (119,181) Balance as of September 30, 2021 $ 438,915 $ 438,915 September 30, 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 (97,334) (97,334) Amounts reclassified from AOCI (56,021) (56,021) Net current period OCI (153,355) (153,355) Balance as of September 30, 2020 $ 554,981 $ 554,981 The amounts reclassified from AOCI balance comprised of $37 million and $56 million net unrealized gains on available-for-sale securities sold for the nine months ended September 30, 2021 and 2020, respectively.

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	9 Months Ended
	Sep. 30, 2021
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. 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 Incentive 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 the nine months ended September 30, 2021 and 2020, 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 who are retirement eligible, defined as 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 51 thousand and 296 thousand RSU awards during the quarter and nine months ended September 30, 2021, with a grant date fair value of $1 million and $4 million, respectively. The Company granted 306 thousand RSU awards during the nine months ended September 30, 2020, with a grant date fair value of $4 million. In addition, during the nine months ended September 30, 2021, the Company granted certain of its senior management 1 million RSU awards that vest in five equal tranches with one tranche vested immediately and the remaining four will vest equally over a four year period. These additional RSUs are not subject to retirement eligible provisions and had a grant date fair value of $10 million. 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 first quarter of 2021 and 2020 include a three-year performance period ending on December 31, 2023 and December 31, 2022, 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 nine months ended September 30, 2021, the Company granted 182 thousand PSU awards to senior management with a grant date fair value of $2 million. During the nine months ended September 30, 2020, the Company granted 135 thousand PSU awards to senior management with a grant date fair value of $3 million. The Company recognized stock based compensation expenses of $2 million for the quarters ended September 30, 2021 and 2020. The Company recognized stock based compensation expenses of $9 million and $7 million for the nine months ended September 30, 2021 and 2020, respectively. 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 quarter ended September 30, 2021, 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 quarters ended September 30, 2021 and 2020, was $92 thousand, respectively. For the nine months ended September 30, 2021 and 2020, the 401(k) expenses were $328 thousand and $358 thousand, respectively.

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2021
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the quarter ended September 30, 2021 and the year ended December 31, 2020, 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. The Company recorded current income tax expense of $1 million for the quarter ended September 30, 2021 and current income tax expense of $5 million for the nine months ended September 30, 2021. There were no significant income tax expenses for the quarter and nine months ended September 30, 2020. 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	9 Months Ended
	Sep. 30, 2021
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	Credit Risk and Interest Rate RiskThe 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. Additionally, the Company seeks to minimize credit risk through 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. The Company's secured financing agreements transactions are governed by underlying agreements that provide for a right of setoff by the lender, including in the event of default or in the event of bankruptcy of the borrowing part to the transactions. The Company's 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 the Consolidated Statements of Financial Condition. As of September 30, 2021, the Company is not a party to any derivative instrument and not subject to this risk.

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2021
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and ContingenciesFrom 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.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2021
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Subsequent to September 30, 2021, the Company exercised its call option to retire securitized debt, collateralized by Loans held for investment with an unpaid principal amount of $22 million at par.

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2021
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 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. Generally, the securities retained by the Company are the most subordinate in the capital structure, which means those securities receive distributions after the senior securities have been paid. 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.
Use of Estimates	Use of Estimates The 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 (Notes 4 and 5), securitized debt (Notes 5 and 7) and derivative instruments (Notes 5 and 10). Actual results could differ materially from those estimates.
Significant Accounting Policies and Recent Accounting Pronouncements	Significant Accounting PoliciesThere have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2020, other than the significant accounting policies discussed below.Recent Accounting Pronouncements Reference Rate Reform (Topic 848) In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (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 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 contracts held by the Company subject to reference rate reform that fall within the scope of this update beginning immediately through December 31, 2022 at which time the transition is expected to be complete. The Company has not yet had any contracts modified to adopt reference rate reform. When a contract within the scope of this update is updated for reference rate reform, the Company will evaluate the impact in accordance with this update. 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 earnings per share, or 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 the Company on January 1, 2022. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.
Fair Value Disclosure	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.
Income Taxes	Income TaxesThe Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	9 Months Ended
	Sep. 30, 2021
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 September 30, 2021 and December 31, 2020. September 30, 2021 (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 $ 1,340,949 $ 3,907 $ (691,120) $ 653,736 $ (121) $ 1,054,227 $ 400,801 $ (190) $ 400,611 Subordinated 849,256 5,794 (278,206) 576,844 (1) 648,585 93,326 (21,584) 71,742 Interest-only 4,225,195 201,508 — 201,508 — 187,218 40,268 (54,558) (14,290) Agency RMBS Interest-only 1,067,557 106,477 — 106,477 — 65,889 106 (40,694) (40,588) Agency CMBS Project loans 825,894 16,278 (812) 841,360 — 926,306 84,946 — 84,946 Interest-only 2,351,641 131,734 — 131,734 — 135,825 4,241 (150) 4,091 Total $ 10,660,492 $ 465,698 $ (970,138) $ 2,511,659 $ (122) $ 3,018,050 $ 623,688 $ (117,176) $ 506,512 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 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
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 September 30, 2021 and December 31, 2020. All available for sale Non-Agency RMBS not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. September 30, 2021 (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 $ 9,596 $ (190) 1 $ — $ — — $ 9,596 $ (190) 1 Subordinated 42,385 (478) 7 21,600 (21,106) 10 63,985 (21,584) 17 Interest-only 25,352 (4,992) 34 24,475 (49,566) 51 49,827 (54,558) 85 Agency RMBS Interest-only 16,904 (5,980) 5 47,141 (34,714) 18 64,045 (40,694) 23 Agency CMBS Project loans — — — — — — — — — Interest-only 24,118 (150) 3 — — — 24,118 (150) 3 Total $ 118,355 $ (11,790) 50 $ 93,216 $ (105,386) 79 $ 211,571 $ (117,176) 129 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 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
Schedule of Summary of Credit Loss Allowance	A summary of the credit losses allowance on available-for-sale securities for quarters and nine months ended September 30, 2021 and 2020 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 508 $ 1,817 $ 180 $ — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 7 22 475 6,582 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 (544) (1,074) (721) (3,778) Write-offs charged against the allowance (23) (642) (86) (2,389) Recoveries of amounts previously written off 174 44 274 73 Ending allowance for credit losses $ 122 $ 167 $ 122 $ 167
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 September 30, 2021 and December 31, 2020. September 30, 2021 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 32,143,429 6.2% 4.6% 54.6% Subordinated 1,352 6.0% 0.3% 30.0% 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 September 30, 2021 and December 31, 2020. September 30, 2021 (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 $ 400,801 $ — $ 400,801 $ (190) $ — $ (190) Subordinated 35,171 58,155 93,326 — (21,584) (21,584) Interest-only — 40,268 40,268 — (54,558) (54,558) Agency RMBS Interest-only — 106 106 — (40,694) (40,694) Agency CMBS Project loans 3,133 81,813 84,946 — — — Interest-only — 4,241 4,241 — (150) (150) Total $ 439,105 $ 184,583 $ 623,688 $ (190) $ (116,986) $ (117,176) 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 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)
Residential Mortgage Backed Securities Collateral Characteristics	The following tables provide a summary of the Company’s MBS portfolio at September 30, 2021 and December 31, 2020. September 30, 2021 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,340,949 $ 48.75 78.62 4.4 % 17.6 % Subordinated 849,256 67.92 76.37 3.8 % 6.7 % Interest-only 4,225,195 4.77 4.43 1.6 % 12.8 % Agency RMBS Interest-only 1,067,557 9.97 6.17 1.3 % 0.7 % Agency CMBS Project loans 825,894 101.87 112.16 4.3 % 4.1 % Interest-only 2,351,641 5.60 5.78 0.7 % 5.3 % (1) Bond Equivalent Yield at period end. December 31, 2020 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 $ 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.
Credit Ratings of Residential MBS	The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 AAA 0.2 % 0.2 % AA — % 0.1 % A 2.2 % 1.2 % BBB 2.4 % 1.9 % BB 4.7 % 4.3 % B 2.1 % 2.0 % Below B 24.9 % 31.9 % Not Rated 63.5 % 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 September 30, 2021 and December 31, 2020 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. September 30, 2021 (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 $ 7,744 $ 351,515 $ 303,819 $ 391,149 $ 1,054,227 Subordinated 2,885 155,226 244,959 245,515 648,585 Interest-only 3,821 155,664 27,732 1 187,218 Agency RMBS Interest-only — — 65,889 — 65,889 Agency CMBS Project loans 8,480 — — 917,826 926,306 Interest-only 2,387 129,921 3,517 — 135,825 Total fair value $ 25,317 $ 792,326 $ 645,916 $ 1,554,491 $ 3,018,050 Amortized cost Non-Agency RMBS Senior $ 5,978 $ 243,637 $ 167,673 $ 236,448 $ 653,736 Subordinated — 132,268 223,810 220,766 576,844 Interest-only 30,408 149,352 21,690 58 201,508 Agency RMBS Interest-only — — 106,477 — 106,477 Agency CMBS Project loans 8,454 — — 832,906 841,360 Interest-only 1,840 126,622 3,272 — 131,734 Total amortized cost $ 46,680 $ 651,879 $ 522,922 $ 1,290,178 $ 2,511,659 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 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 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
Schedule of Various Characteristics of Residential Loan Portfolio	The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.0 % 1.2 % 6.0 % 1.5 % 3.3 % 0.4 % 15.4 % 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 % The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2021 and December 31, 2020, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2021 (1) $593,685 $180,788 $527,805 $216,944 $312,619 $26,341 $1,858,182 $11,517,084 % of Unpaid Principal Balance 5.2 % 1.6 % 4.6 % 1.9 % 2.7 % 0.2 % 16.2 % December 31, 2020 $727,012 $289,966 $729,713 $277,098 $297,509 $29,852 $2,351,150 12,640,193 % of Unpaid Principal Balance 5.8 % 2.3 % 5.8 % 2.2 % 2.4 % 0.2 % 18.6 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period.
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 September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 Weighted average maturity (years) 21.6 22.2 Weighted average amortized loan to value (1) 60.6 % 61.4 % Weighted average FICO (2) 708 714 Weighted average loan balance (in thousands) $ 263 $ 291 Weighted average percentage owner-occupied 83.7 % 81.8 % Weighted average percentage single family residence 61.8 % 61.7 % Weighted average current credit enhancement 1.1 % 0.9 % Weighted average geographic concentration of top four states CA 31.5 % CA 33.8 % NY 10.0 % NY 8.7 % FL 8.0 % FL 7.9 % NJ 4.5 % NJ 4.3 % (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 September 30, 2021 and December 31, 2020. Origination Year September 30, 2021 December 31, 2020 2003 and prior 1.4 % 1.7 % 2004 1.3 % 1.4 % 2005 9.1 % 10.3 % 2006 53.0 % 52.1 % 2007 25.6 % 27.2 % 2008 and later 9.6 % 7.3 % 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 quarters and nine months ended September 30, 2021 and 2020 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 (dollars in thousands) (dollars in thousands) Proceeds from sales: Non-Agency RMBS — 604 47,877 142,564 Agency RMBS — — 626 5,710,134 Agency CMBS — 734,320 201,037 1,060,987 Gross realized gains: Non-Agency RMBS — — 37,742 21,274 Agency RMBS — — — 74,264 Agency CMBS — 70,237 13,735 88,927 Gross realized losses: Non-Agency RMBS — (2,214) (4,955) (8,392) Agency RMBS — — (1,209) (5,816) Agency CMBS — (2,982) — (2,982) Net realized gain (loss) $ — $ 65,041 $ 45,313 $ 167,275

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	9 Months Ended
	Sep. 30, 2021
Investments, Debt and Equity Securities [Abstract]
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 September 30, 2021 and December 31, 2020: For the Nine Months Ended For the Year Ended September 30, 2021 December 31, 2020 (dollars in thousands) Balance, beginning of period $ 13,112,129 $ 14,292,815 Purchases 2,807,700 1,860,998 Principal paydowns (1,982,400) (1,966,590) Sales and settlements (1,678,140) (1,053,943) Net periodic accretion (amortization) (74,396) (85,794) Realized gains (losses) on sales and settlements — — Change in fair value 348,971 64,643 Balance, end of period $ 12,533,864 $ 13,112,129
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 September 30, 2021 (1) December 31, 2020 2002 and prior 6.5 % 6.9 % 2003 5.7 % 5.9 % 2004 11.8 % 12.0 % 2005 18.7 % 18.2 % 2006 22.8 % 22.7 % 2007 22.2 % 22.4 % 2008 6.2 % 6.4 % 2009 1.2 % 1.3 % 2010 and later 4.9 % 4.2 % Total 100.0 % 100.0 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period.
Schedule of Key Characteristics of Residential Loan Portfolio	The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2021 and December 31, 2020: September 30, 2021 (1) December 31, 2020 Number of loans 119,024 132,134 Weighted average maturity (years) 19.2 19.6 Weighted average loan to value 85.6 % 86.1 % Weighted average FICO 658 630 Weighted average loan balance (in thousands) $ 97 $ 96 Weighted average percentage owner occupied 88.3 % 87.7 % Weighted average percentage single family residence 82.0 % 83.3 % Weighted average geographic concentration of top five states CA 13.7 % CA 12.4 % FL 8.1 % FL 8.0 % NY 7.9 % NY 7.3 % VA 4.8 % PA 5.0 % PA 4.8 % VA 4.9 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period.
Schedule of Various Characteristics of Residential Loan Portfolio	The following table summarizes the delinquency, bankruptcy, foreclosure and Real estate owned, or REO, total of the pools of mortgage loans securing the Company’s investments in Non-Agency RMBS at September 30, 2021 and December 31, 2020. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.0 % 1.2 % 6.0 % 1.5 % 3.3 % 0.4 % 15.4 % 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 % The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicers at September 30, 2021 and December 31, 2020, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2021 (1) $593,685 $180,788 $527,805 $216,944 $312,619 $26,341 $1,858,182 $11,517,084 % of Unpaid Principal Balance 5.2 % 1.6 % 4.6 % 1.9 % 2.7 % 0.2 % 16.2 % December 31, 2020 $727,012 $289,966 $729,713 $277,098 $297,509 $29,852 $2,351,150 12,640,193 % of Unpaid Principal Balance 5.8 % 2.3 % 5.8 % 2.2 % 2.4 % 0.2 % 18.6 % (1) The above table excludes approximately $148 million of Loans held for investment for September 30, 2021, which were purchased prior to that reporting date and settled subsequent to that reporting period.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	9 Months Ended
	Sep. 30, 2021
Fair Value Disclosures [Abstract]
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 at fair value with changes in fair value reflected in earnings under the fair value option election as of September 30, 2021 and December 31, 2020, respectively: September 30, 2021 December 31, 2020 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Subordinated 654,814 494,170 632,335 416,745 Interest-only 4,225,195 187,218 5,628,240 262,259 Agency RMBS Interest-only 1,067,557 65,889 1,262,963 90,738 Agency CMBS Project loans 746,123 841,519 1,413,719 1,592,473 Interest-only 2,351,641 135,825 1,326,665 25,885 Loans held for investment, at fair value 11,664,695 12,533,864 12,640,195 13,112,129 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 7,894,993 7,947,644 8,705,200 8,711,677 The table below shows the impact of change in fair value on each of the financial instruments carried at fair value with changes in fair value reflected in earnings under the fair value option election in statement of operations as of September 30, 2021 and 2020, respectively: For the Quarter Ended For the Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 (dollars in thousands) (dollars in thousands) Gain/(Loss) on Change in Fair Value Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior — — — — Subordinated 23,228 31,328 56,638 (56,632) Interest-only 630 (12,626) (26,941) 44,320 Agency RMBS Pass-through — — — (151,056) Interest-only (7,134) (824) (12,460) (12,302) Agency CMBS Project loans (17,129) (42,942) (72,013) 45,069 Interest-only (463) 2,788 1,777 4,415 Loans held for investment, at fair value 248,244 371,423 348,971 (124,250) Liabilities: Securitized debt at fair value, collateralized by Loans held for investment (7,852) (88,381) 249,671 78,394
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 September 30, 2021 and December 31, 2020 are presented below. September 30, 2021 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,890,030 $ — $ 1,890,030 Agency RMBS, at fair value — 65,889 — — 65,889 Agency CMBS, at fair value — 1,062,131 — — 1,062,131 Loans held for investment, at fair value — 307,004 12,226,860 — 12,533,864 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,947,644 — 7,947,644 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 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 8,711,677 — 8,711,677
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 September 30, 2021 and December 31, 2020. Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2021 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,150,714 $ 13,112,129 $ 8,711,677 Transfers into Level 3 — — — Transfers out of Level 3 — (272,198) — Purchases of assets/ issuance of debt 34,656 2,692,043 5,060,056 Principal payments (239,347) (1,901,004) (1,676,193) Sales and Settlements (47,674) (1,678,140) (4,169,819) Net accretion (amortization) 46,095 (75,057) 11,706 Gains (losses) included in net income (Increase) decrease in provision for credit losses 58 — — Realized gains (losses) on sales and settlements 32,807 — 259,883 Net unrealized gains (losses) included in income 29,697 349,087 (249,666) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (116,976) — — Ending balance Level 3 $ 1,890,030 $ 12,226,860 $ 7,947,644 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 Other than temporary credit impairment 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
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 September 30, 2021 and December 31, 2020 follows. The weighted average discount rates are based on fair value. September 30, 2021 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 1%-8% 3.6% 1%-30% 12.0% 0%-7% 1.9% 26%-68% 37.8% Subordinated 1%-10% 5.5% 6%-50% 17.4% 0%-6% 1.1% 10%-49% 39.6% Interest-only 0%-100% 10.3% 6%-65% 25.9% 0%-10% 1.3% 0%-86% 30.7% 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% 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 September 30, 2021 and December 31, 2020 follows: September 30, 2021 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 1%-7% 2.1% 6%-45% 15.5% 0%-11% 1.3% 30%-75% 56.3% 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% September 30, 2021 December 31, 2020 Factor: Coupon Base Rate 2.9% 3.4% Actual 6.1% 6.3% FICO Base Rate 640 640 Actual 655 627 Loan-to-value (LTV) Base Rate 87% 85% Actual 86% 86% Loan Characteristics: Occupancy Owner Occupied 90% 89% Investor 3% 2% Secondary 7% 9% Property Type Single family 83% 84% Manufactured housing 4% 4% Multi-family/mixed use/other 13% 12%
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 September 30, 2021 and December 31, 2020. September 30, 2021 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 3,788,336 3,791,783 Securitized debt, collateralized by Non-Agency RMBS 3 92,204 73,633 December 31, 2020 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 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

Secured Financing Agreements (T

Secured Financing Agreements (Tables)	9 Months Ended
	Sep. 30, 2021
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 September 30, 2021 and December 31, 2020 were: September 30, 2021 December 31, 2020 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 24,700 $ 69,180 Agency CMBS (in thousands) 795,873 1,333,799 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,967,763 3,233,868 Total: $ 3,788,336 $ 4,636,847 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 26,618 $ 86,160 Agency CMBS (in thousands) 835,984 1,382,783 Non-Agency RMBS and Loans held for investment (in thousands) 4,155,840 5,227,271 Total: $ 5,018,442 $ 6,696,214 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 54,242 $ 1,407,713 Agency CMBS (in thousands) 1,040,018 1,818,721 Non-Agency RMBS and Loans held for investment (in thousands) 3,016,595 4,089,911 Total: $ 4,110,855 $ 7,316,345 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 0.67 % 0.90 % Agency CMBS 0.16 % 0.21 % Non-Agency RMBS and Loans held for investment 2.76 % 4.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 4 Days 12 days Agency CMBS 13 Days 11 days Non-Agency RMBS and Loans held for investment 316 Days 458 days Average original maturity of Secured financing agreements secured by: Agency RMBS 32 Days 14 days Agency CMBS 30 Days 30 days Non-Agency RMBS and Loans held for investment 333 Days 492 days (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of September 30, 2021 and December 31, 2020, respectively. At September 30, 2021 and December 31, 2020, we pledged $10 million and $42 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At September 30, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2021 December 31, 2020 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — NA —% - —% $ — NA NA 1 to 29 days 1,005,444 0.37% 0.11% - 1.82% 1,521,134 0.38% 0.20% - 2.72% 30 to 59 days 109,436 1.62% 1.62% - 1.62% 481,257 4.35% 2.42% - 6.61% 60 to 89 days 245,058 1.62% 1.28% - 1.68% 352,684 2.78% 1.34% - 6.30% 90 to 119 days 455,938 1.78% 1.41% - 1.99% 301,994 7.97% 7.97% - 7.97% 120 to 180 days 526,398 1.84% 0.90% - 2.34% 595,900 5.29% 2.40% - 6.26% 180 days to 1 year 899,381 3.59% 0.94% - 4.38% 345,204 3.60% 3.25% - 4.50% 1 to 2 years 261,999 3.06% 3.04% - 3.09% — NA NA 2 to 3 years — NA NA 642,696 4.91% 1.65% - 7.00% Greater than 3 years 284,682 5.56% 5.56% - 5.56% 395,978 5.56% 5.56% - 5.56% Total $ 3,788,336 2.20% $ 4,636,847 3.41% (1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of September 30, 2021 and December 31, 2020, respectively.

Securitized Debt (Tables)

Securitized Debt (Tables)	9 Months Ended
	Sep. 30, 2021
Debt Instrument [Line Items]
Schedule of Callable Debt	The following table presents the par value of the callable debt by year at September 30, 2021. September 30, 2021 (dollars in thousands) Year Principal Currently callable 109,717 2021 257,945 2022 1,497,507 2023 1,053,870 2024 1,449,774 2025 2,575,370 Total $ 6,944,183
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 September 30, 2021 and December 31, 2020, 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. September 30, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 7,192 $ 13,552 One to Three Years 2,780 11,229 Three to Five Years 1,080 1,589 Greater Than Five Years 123 305 Total $ 11,175 $ 26,675
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 September 30, 2021 and December 31, 2020, 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. September 30, 2021 December 31, 2020 (dollars in thousands) Within One Year $ 2,060,769 $ 1,837,055 One to Three Years 2,934,030 2,819,646 Three to Five Years 1,711,625 1,774,273 Greater Than Five Years 1,187,388 2,170,253 Total $ 7,893,812 $ 8,601,227

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	9 Months Ended
	Sep. 30, 2021
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 September 30, 2021 and December 31, 2020. September 30, 2021 December 31, 2020 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 424,320 $ 505,479 Loans held for investment, at fair value 10,382,307 11,591,598 Accrued interest receivable 48,436 53,804 Other assets 10,738 14,136 Total Assets: $ 10,865,801 $ 12,165,017 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 92,204 $ 113,433 Securitized debt at fair value, collateralized by Loans held for investment 7,290,663 7,923,523 Accrued interest payable 15,452 23,677 Other liabilities 2,179 2,477 Total Liabilities: 7,400,498 8,063,110 (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 Quarters ended September 30, 2021 September 30, 2020 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 138,984 $ 171,442 Interest expense, Non-recourse liabilities of VIEs 43,525 74,753 Net interest income $ 95,459 $ 96,689 (Increase) decrease in provision for credit losses $ (365) $ 126 Servicing fees $ 6,561 $ 8,291 For the Nine Months ended September 30, 2021 September 30, 2020 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 446,198 $ 515,250 Interest expense, Non-recourse liabilities of VIEs 159,666 210,198 Net interest income $ 286,532 $ 305,052 (Increase) decrease in provision for credit losses $ (117) $ (91) Servicing fees $ 20,244 $ 24,673

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Derivative Instruments Effects on Operating Results	The effect of the Company’s derivatives on the Consolidated Statements of Operations for the nine months ended September 30, 2021 and September 30, 2020 is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2021 September 30, 2020 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ — $ 204,611 Interest Rate Swaps Net realized gains (losses) on derivatives (1) — (470,352) Treasury Futures Net unrealized gains (losses) on derivatives — (3,611) Treasury Futures Net realized gains (losses) on derivatives — (34,700) Swaptions Net unrealized gains (losses) on derivatives — — Swaptions Net realized gains (losses) on derivatives — — Total $ — $ (304,052)

Capital Stock (Tables)

Capital Stock (Tables)	9 Months Ended
	Sep. 30, 2021
Equity [Abstract]
Schedule of Earnings Per Share	EPS for the quarters and nine months ended September 30, 2021 and 2020 respectively, are computed as follows: For the Quarters Ended September 30, 2021 September 30, 2020 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 313,030 $ 348,891 Effect of dilutive securities: Interest expense attributable to convertible notes 238 1,495 Net income (loss) available to common shareholders - Diluted $ 313,268 $ 350,386 Denominator: Weighted average basic shares 235,887,296 232,127,224 Effect of dilutive securities 4,475,306 33,219,135 Weighted average dilutive shares 240,362,602 265,346,359 Net income (loss) per average share attributable to common stockholders - Basic $ 1.33 $ 1.50 Net income (loss) per average share attributable to common stockholders - Diluted $ 1.30 $ 1.32 For the Nine Months ended September 30, 2021 September 30, 2020 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ 597,067 $ (113,694) Effect of dilutive securities: Interest expense attributable to convertible notes 2,274 — Net income (loss) available to common shareholders - Diluted $ 599,341 $ (113,694) Denominator: Weighted average basic shares 232,717,010 206,237,705 Effect of dilutive securities 14,641,813 — Weighted average dilutive shares 247,358,823 206,237,705 Net income (loss) per average share attributable to common stockholders - Basic $ 2.57 $ (0.55) Net income (loss) per average share attributable to common stockholders - Diluted $ 2.42 $ (0.55)

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	9 Months Ended
	Sep. 30, 2021
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 nine months ended September 30, 2021 and 2020: September 30, 2021 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2020 $ 558,096 $ 558,096 OCI before reclassifications (82,065) (82,065) Amounts reclassified from AOCI (37,116) (37,116) Net current period OCI (119,181) (119,181) Balance as of September 30, 2021 $ 438,915 $ 438,915 September 30, 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 (97,334) (97,334) Amounts reclassified from AOCI (56,021) (56,021) Net current period OCI (153,355) (153,355) Balance as of September 30, 2020 $ 554,981 $ 554,981

Organization (Details)

Organization (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021USD ($)	Sep. 30, 2020USD ($)	Sep. 30, 2021USD ($)subsidiary	Sep. 30, 2020USD ($)
Schedule of Equity Method Investments [Line Items]
Number of wholly owned direct subsidiaries | subsidiary			13
Kah Capital Management
Schedule of Equity Method Investments [Line Items]
Payments for equity method investment fees | $	$ 321	$ 250	$ 1,000	$ 750

Summary of the Significant Ac_3

Summary of the Significant Accounting Policies (Details) - USD ($)	Sep. 30, 2021	Dec. 31, 2020
Accounting Policies [Abstract]
Accruals for penalties and interest	$ 0	$ 0

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 ($)	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Principal or Notional Value	$ 10,660,492,000		$ 12,211,298,000
Total Premium	465,698,000		431,601,000
Total Discount	(970,138,000)		(1,121,721,000)
Amortized Cost	2,511,659,000		3,303,310,000
Allowance for credit losses	(122,000)	$ (508,000)	(180,000)	$ (167,000)	$ (1,817,000)	$ 0
Fair Value	3,018,050,000		3,981,820,000
Gross Unrealized Gains	623,688,000		801,000,000
Total Gross Unrealized Loss	(117,176,000)		(122,310,000)
Net Unrealized Gain/(Loss)	506,512,000		678,690,000
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	32,143,429		46,500,000
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Amortized Cost	1,352
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	1,340,949,000		1,560,135,000
Total Premium	3,907,000		3,934,000
Total Discount	(691,120,000)		(773,804,000)
Amortized Cost	653,736,000		790,265,000
Allowance for credit losses	(121,000)		(180,000)
Fair Value	1,054,227,000		1,277,800,000
Gross Unrealized Gains	400,801,000		487,963,000
Total Gross Unrealized Loss	(190,000)		(248,000)
Net Unrealized Gain/(Loss)	400,611,000		487,715,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	849,256,000		905,674,000
Total Premium	5,794,000		7,059,000
Total Discount	(278,206,000)		(347,056,000)
Amortized Cost	576,844,000		565,677,000
Allowance for credit losses	(1,000)		0
Fair Value	648,585,000		610,655,000
Gross Unrealized Gains	93,326,000		83,007,000
Total Gross Unrealized Loss	(21,584,000)		(38,029,000)
Net Unrealized Gain/(Loss)	71,742,000		44,978,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	4,225,195,000		5,628,240,000
Total Premium	201,508,000		249,610,000
Total Discount	0		0
Amortized Cost	201,508,000		249,610,000
Allowance for credit losses	0		0
Fair Value	187,218,000		262,259,000
Gross Unrealized Gains	40,268,000		67,868,000
Total Gross Unrealized Loss	(54,558,000)		(55,219,000)
Net Unrealized Gain/(Loss)	(14,290,000)		12,649,000
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,067,557,000		1,262,963,000
Total Premium	106,477,000		118,867,000
Total Discount	0		0
Amortized Cost	106,477,000		118,867,000
Allowance for credit losses	0		0
Fair Value	65,889,000		90,738,000
Gross Unrealized Gains	106,000		270,000
Total Gross Unrealized Loss	(40,694,000)		(28,399,000)
Net Unrealized Gain/(Loss)	(40,588,000)		(28,129,000)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	825,894,000		1,527,621,000
Total Premium	16,278,000		28,559,000
Total Discount	(812,000)		(861,000)
Amortized Cost	841,360,000		1,555,319,000
Allowance for credit losses	0		0
Fair Value	926,306,000		1,714,483,000
Gross Unrealized Gains	84,946,000		159,233,000
Total Gross Unrealized Loss	0		(69,000)
Net Unrealized Gain/(Loss)	84,946,000		159,164,000
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	2,351,641,000		1,326,665,000
Total Premium	131,734,000		23,572,000
Total Discount	0		0
Amortized Cost	131,734,000		23,572,000
Allowance for credit losses	0		0
Fair Value	135,825,000		25,885,000
Gross Unrealized Gains	4,241,000		2,659,000
Total Gross Unrealized Loss	(150,000)		(346,000)
Net Unrealized Gain/(Loss)	$ 4,091,000		$ 2,313,000

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands	Sep. 30, 2021USD ($)security	Dec. 31, 2020USD ($)security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 118,355	$ 339,522
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (11,790)	$ (22,925)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	50	53
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 93,216	$ 120,192
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (105,386)	$ (99,385)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	79	75
Total, Estimated Fair Value	$ 211,571	$ 459,714
Total, Unrealized Losses	$ (117,176)	$ (122,310)
Total, Number of Positions | security	129	128
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 9,596	$ 11,985
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (190)	$ (248)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	1	2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	0
Total, Estimated Fair Value	$ 9,596	$ 11,985
Total, Unrealized Losses	$ (190)	$ (248)
Total, Number of Positions | security	1	2
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 42,385	$ 253,822
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (478)	$ (8,711)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	7	5
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 21,600	$ 34,697
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (21,106)	$ (29,318)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	10	15
Total, Estimated Fair Value	$ 63,985	$ 288,519
Total, Unrealized Losses	$ (21,584)	$ (38,029)
Total, Number of Positions | security	17	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	$ 25,352	$ 38,604
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (4,992)	$ (8,682)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	34	34
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 24,475	$ 22,761
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (49,566)	$ (46,537)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	51	43
Total, Estimated Fair Value	$ 49,827	$ 61,365
Total, Unrealized Losses	$ (54,558)	$ (55,219)
Total, Number of Positions | security	85	77
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 16,904	$ 31,059
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (5,980)	$ (4,938)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	5	6
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 47,141	$ 54,153
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (34,714)	$ (23,461)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	18	16
Total, Estimated Fair Value	$ 64,045	$ 85,212
Total, Unrealized Losses	$ (40,694)	$ (28,399)
Total, Number of Positions | security	23	22
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 8,581
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (69)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	1
Total, Estimated Fair Value	$ 0	$ 8,581
Total, Unrealized Losses	$ 0	$ (69)
Total, Number of Positions | security	0	1
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 24,118	$ 4,052
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (150)	$ (346)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	3	6
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	0
Total, Estimated Fair Value	$ 24,118	$ 4,052
Total, Unrealized Losses	$ (150)	$ (346)
Total, Number of Positions | security	3	6

Mortgage-Backed Securities - Na

Mortgage-Backed Securities - Narrative (Details) - USD ($)	3 Months Ended			9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Mar. 31, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Investment Holdings [Line Items]
Gross unrealized loss	$ 117,176,000			$ 117,176,000		$ 122,310,000
Gains (losses) on extinguishment of debt	(25,622,000)	$ (55,794,000)		(284,535,000)	$ (55,338,000)
Agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	0			0		69,000
Non-Agency RMBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 190,000			$ 190,000		$ 248,000
Non-Agency RMBS
Investment Holdings [Line Items]
Market value of investments transferred			$ 135,000,000
Servicing asset at amortized cost		196,000,000			$ 196,000,000
Repurchase of transferred investments		252,000,000
Gains (losses) on extinguishment of debt		$ (56,000,000)

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 508	$ 1,817	$ 180	$ 0
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	7	22	475	6,582
Allowance on purchased financial assets with credit deterioration	0	0	0	0
Reductions for the securities sold during the period	0	0	0	(321)
Increase/(decrease) on securities with an allowance in the prior period	(544)	(1,074)	(721)	(3,778)
Write-offs charged against the allowance	(23)	(642)	(86)	(2,389)
Recoveries of amounts previously written off	174	44	274	73
Ending allowance for credit losses	$ 122	$ 167	$ 122	$ 167

Mortgage-Backed Securities - Si

Mortgage-Backed Securities - Significant Credit Quality Indicators (Details)	Sep. 30, 2021USD ($)	Dec. 31, 2020USD ($)
Investment Holdings [Line Items]
Amortized Cost	$ 2,511,659,000	$ 3,303,310,000
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	$ 32,143,429	$ 46,500,000
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.062	0.092
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.046	0.035
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.546	0.583
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Amortized Cost	$ 1,352
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.060
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.003
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.300

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 439,105	$ 558,413
Gross Unrealized Gain Included in Cumulative Earnings	184,583	242,587
Total Gross Unrealized Gain	623,688	801,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(190)	(317)
Gross Unrealized Loss Included in Cumulative Earnings	(116,986)	(121,993)
Total Gross Unrealized Loss	(117,176)	(122,310)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	400,801	487,963
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	400,801	487,963
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(190)	(248)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	(190)	(248)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	35,171	65,043
Gross Unrealized Gain Included in Cumulative Earnings	58,155	17,964
Total Gross Unrealized Gain	93,326	83,007
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(21,584)	(38,029)
Total Gross Unrealized Loss	(21,584)	(38,029)
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	40,268	67,868
Total Gross Unrealized Gain	40,268	67,868
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(54,558)	(55,219)
Total Gross Unrealized Loss	(54,558)	(55,219)
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	106	270
Total Gross Unrealized Gain	106	270
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(40,694)	(28,399)
Total Gross Unrealized Loss	(40,694)	(28,399)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	3,133	5,407
Gross Unrealized Gain Included in Cumulative Earnings	81,813	153,826
Total Gross Unrealized Gain	84,946	159,233
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	(69)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	0	(69)
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	4,241	2,659
Total Gross Unrealized Gain	4,241	2,659
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(150)	(346)
Total Gross Unrealized Loss	$ (150)	$ (346)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 10,660,492	$ 12,211,298
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,340,949	$ 1,560,135
Weighted Average Amortized Cost Basis (in dollars per share)	$ 48.75	$ 50.65
Weighted Average Fair Value (in dollars per share)	$ 78.62	$ 81.90
Weighted Average Coupon	4.40%	4.50%
Weighted Average Yield at Period-End	17.60%	16.90%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 849,256	$ 905,674
Weighted Average Amortized Cost Basis (in dollars per share)	$ 67.92	$ 62.46
Weighted Average Fair Value (in dollars per share)	$ 76.37	$ 67.43
Weighted Average Coupon	3.80%	3.80%
Weighted Average Yield at Period-End	6.70%	6.30%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 4,225,195	$ 5,628,240
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.77	$ 4.43
Weighted Average Fair Value (in dollars per share)	$ 4.43	$ 4.66
Weighted Average Coupon	1.60%	1.50%
Weighted Average Yield at Period-End	12.80%	16.20%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,067,557	$ 1,262,963
Weighted Average Amortized Cost Basis (in dollars per share)	$ 9.97	$ 9.41
Weighted Average Fair Value (in dollars per share)	$ 6.17	$ 7.18
Weighted Average Coupon	1.30%	1.70%
Weighted Average Yield at Period-End	0.70%	1.60%
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 825,894	$ 1,527,621
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.87	$ 101.81
Weighted Average Fair Value (in dollars per share)	$ 112.16	$ 112.23
Weighted Average Coupon	4.30%	4.10%
Weighted Average Yield at Period-End	4.10%	3.80%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,351,641	$ 1,326,665
Weighted Average Amortized Cost Basis (in dollars per share)	$ 5.60	$ 1.78
Weighted Average Fair Value (in dollars per share)	$ 5.78	$ 1.95
Weighted Average Coupon	0.70%	0.60%
Weighted Average Yield at Period-End	5.30%	8.40%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Details) - Non-Agency RMBS	Sep. 30, 2021	Dec. 31, 2020
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%	0.20%
AA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.00%	0.10%
A
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	2.20%	1.20%
BBB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	2.40%	1.90%
BB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	4.70%	4.30%
B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	2.10%	2.00%
Below B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	24.90%	31.90%
Not Rated
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	63.50%	58.40%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($)	Sep. 30, 2021	Dec. 31, 2020
Fair value
Less than one year, at fair value	$ 25,317,000	$ 22,836,000
Greater than one year and less than five years, at fair value	792,326,000	637,485,000
Greater than five years and less than ten years, at fair value	645,916,000	774,248,000
Greater than ten years, at fair value	1,554,491,000	2,547,251,000
Total maturities, at fair value	3,018,050,000	3,981,820,000
Amortized cost
Less than one year, at amortized cost	46,680,000	40,415,000
Greater than one year and less than five years, at amortized cost	651,879,000	499,444,000
Greater than five years and less than ten years, at amortized cost	522,922,000	538,471,000
Greater than ten years, at amortized cost	1,290,178,000	2,224,980,000
Amortized Cost	2,511,659,000	3,303,310,000
Non-Agency RMBS - Senior
Amortized cost
Amortized Cost	32,143,429	46,500,000
Non-Agency RMBS - Subordinated
Amortized cost
Amortized Cost	1,352
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	7,744,000	7,850,000
Greater than one year and less than five years, at fair value	351,515,000	366,218,000
Greater than five years and less than ten years, at fair value	303,819,000	467,336,000
Greater than ten years, at fair value	391,149,000	436,396,000
Total maturities, at fair value	1,054,227,000	1,277,800,000
Amortized cost
Less than one year, at amortized cost	5,978,000	4,691,000
Greater than one year and less than five years, at amortized cost	243,637,000	256,935,000
Greater than five years and less than ten years, at amortized cost	167,673,000	257,188,000
Greater than ten years, at amortized cost	236,448,000	271,451,000
Amortized Cost	653,736,000	790,265,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	2,885,000	5,000
Greater than one year and less than five years, at fair value	155,226,000	105,272,000
Greater than five years and less than ten years, at fair value	244,959,000	102,805,000
Greater than ten years, at fair value	245,515,000	402,573,000
Total maturities, at fair value	648,585,000	610,655,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	132,268,000	83,188,000
Greater than five years and less than ten years, at amortized cost	223,810,000	78,435,000
Greater than ten years, at amortized cost	220,766,000	404,054,000
Amortized Cost	576,844,000	565,677,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	3,821,000	5,780,000
Greater than one year and less than five years, at fair value	155,664,000	143,631,000
Greater than five years and less than ten years, at fair value	27,732,000	110,468,000
Greater than ten years, at fair value	1,000	2,380,000
Total maturities, at fair value	187,218,000	262,259,000
Amortized cost
Less than one year, at amortized cost	30,408,000	26,286,000
Greater than one year and less than five years, at amortized cost	149,352,000	138,150,000
Greater than five years and less than ten years, at amortized cost	21,690,000	82,368,000
Greater than ten years, at amortized cost	58,000	2,806,000
Amortized Cost	201,508,000	249,610,000
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	0	864,000
Greater than five years and less than ten years, at fair value	65,889,000	89,874,000
Greater than ten years, at fair value	0	0
Total maturities, at fair value	65,889,000	90,738,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	0	1,898,000
Greater than five years and less than ten years, at amortized cost	106,477,000	116,969,000
Greater than ten years, at amortized cost	0	0
Amortized Cost	106,477,000	118,867,000
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Fair value
Less than one year, at fair value	8,480,000	8,581,000
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	0
Greater than ten years, at fair value	917,826,000	1,705,902,000
Total maturities, at fair value	926,306,000	1,714,483,000
Amortized cost
Less than one year, at amortized cost	8,454,000	8,650,000
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	0
Greater than ten years, at amortized cost	832,906,000	1,546,669,000
Amortized Cost	841,360,000	1,555,319,000
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	2,387,000	620,000
Greater than one year and less than five years, at fair value	129,921,000	21,500,000
Greater than five years and less than ten years, at fair value	3,517,000	3,765,000
Greater than ten years, at fair value	0	0
Total maturities, at fair value	135,825,000	25,885,000
Amortized cost
Less than one year, at amortized cost	1,840,000	788,000
Greater than one year and less than five years, at amortized cost	126,622,000	19,273,000
Greater than five years and less than ten years, at amortized cost	3,272,000	3,511,000
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 131,734,000	$ 23,572,000

Mortgage-Backed Securities - Lo

Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS	Sep. 30, 2021	Dec. 31, 2020
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	15.40%	16.30%
Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.50%	1.30%
Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.30%	2.90%
REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	0.40%	0.40%
30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.00%	3.10%
60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.20%	1.40%
90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	6.00%	7.20%

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Investment Holdings [Line Items]
Weighted average maturity (years)	21 years 7 months 6 days	22 years 2 months 12 days
Weighted average amortized loan to value	60.60%	61.40%
Weighted average FICO	708	714
Weighted average loan balance (in thousands)	$ 263	$ 291
Weighted average percentage owner-occupied	83.70%	81.80%
Weighted average percentage single family residence	61.80%	61.70%
Weighted average current credit enhancement	1.10%	0.90%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	31.50%	33.80%
NY
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	10.00%	8.70%
FL
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	8.00%	7.90%
NJ
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	4.50%	4.30%

Mortgage-Backed Securities - Pe

Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS	Sep. 30, 2021	Dec. 31, 2020
Origination Year as a Percentage of Outstanding Principal Balance:
2003 (and prior)	1.40%	1.70%
2004	1.30%	1.40%
2005	9.10%	10.30%
2006	53.00%	52.10%
2007	25.60%	27.20%
2008 and later	9.60%	7.30%
Total	100.00%	100.00%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Investment Holdings [Line Items]
Net realized gain (loss)	$ 0	$ 65,041	$ 45,313	$ 167,275
Non-Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	0	604	47,877	142,564
Gross realized gains:	0	0	37,742	21,274
Gross realized losses:	0	(2,214)	(4,955)	(8,392)
Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	0	0	626	5,710,134
Gross realized gains:	0	0	0	74,264
Gross realized losses:	0	0	(1,209)	(5,816)
Agency CMBS
Investment Holdings [Line Items]
Proceeds from sales:	0	734,320	201,037	1,060,987
Gross realized gains:	0	70,237	13,735	88,927
Gross realized losses:	$ 0	$ (2,982)	$ 0	$ (2,982)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Details) - USD ($) $ in Millions	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2021	Sep. 30, 2021	Dec. 31, 2020
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 11,500	$ 11,500	$ 12,500
Seasoned Subprime Residential Mortgage Loans | Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loans 90 or more days delinquent	815	815	910
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Purchases	450	450	1,100
Retained balance	$ 25	$ 25	$ 22

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	9 Months Ended	12 Months Ended
	Sep. 30, 2021	Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 13,112,129	$ 14,292,815
Purchases	2,807,700	1,860,998
Principal paydowns	(1,982,400)	(1,966,590)
Sales and settlements	(1,678,140)	(1,053,943)
Net periodic accretion (amortization)	(74,396)	(85,794)
Realized gains (losses) on sales and settlements		0
Change in fair value	348,971	64,643
Balance, end of period	$ 12,533,864	$ 13,112,129

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	Sep. 30, 2021	Dec. 31, 2020
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	6.50%	6.90%
2003	5.70%	5.90%
2004	11.80%	12.00%
2005	18.70%	18.20%
2006	22.80%	22.70%
2007	22.20%	22.40%
2008	6.20%	6.40%
2009	1.20%	1.30%
2010 and later	4.90%	4.20%
Total	100.00%	100.00%
Underlying mortgages excluded from portfolio	$ 148

Loans Held for Investment - Key

Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands	Sep. 30, 2021USD ($)loan	Dec. 31, 2020USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	119,024	132,134
Weighted average maturity (years)	19 years 2 months 12 days	19 years 7 months 6 days
Weighted average loan to value	85.60%	86.10%
Weighted average FICO	658	630
Weighted average loan balance (in thousands)	$ 97	$ 96
Weighted average percentage owner-occupied	88.30%	87.70%
Weighted average percentage single family residence	82.00%	83.30%
Underlying mortgages excluded from portfolio	$ 148,000
CA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	13.70%	12.40%
FL
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.10%	8.00%
NY
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	7.90%	7.30%
VA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.80%	4.90%
PA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.80%	5.00%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid Principal Balance	$ 11,517,084	$ 12,640,193
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Underlying mortgages excluded from portfolio	148,000
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 1,858,182	$ 2,351,150
% of Unpaid Principal Balance	16.20%	18.60%
Residential Portfolio Segment | Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 216,944	$ 277,098
% of Unpaid Principal Balance	1.90%	2.20%
Residential Portfolio Segment | Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 312,619	$ 297,509
% of Unpaid Principal Balance	2.70%	2.40%
Residential Portfolio Segment | REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 26,341	$ 29,852
% of Unpaid Principal Balance	0.20%	0.20%
Residential Portfolio Segment | 30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 593,685	$ 727,012
% of Unpaid Principal Balance	5.20%	5.80%
Residential Portfolio Segment | 60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 180,788	$ 289,966
% of Unpaid Principal Balance	1.60%	2.30%
Residential Portfolio Segment | 90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 527,805	$ 729,713
% of Unpaid Principal Balance	4.60%	5.80%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	3 Months Ended		9 Months Ended	12 Months Ended
	Jun. 30, 2020USD ($)	Mar. 31, 2020USD ($)	Sep. 30, 2021USD ($)loan	Dec. 31, 2020USD ($)loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Securitized debt at fair value, collateralized by Loans held for investment			$ 7,947,644	$ 8,711,677
Level 3 | Jumbo, Prime Residential Mortgages
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Securitized debt at fair value, collateralized by Loans held for investment			$ 40,000
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			25	23
Excess (deficit) of third party prices over internally developed price, assets			$ 35,000	$ (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			74,000	55,000
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			$ 383,000	$ 389,000
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	3
Assets, fair value disclosure			$ 3,800,000	$ 503,000
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			348,000	392,000
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			3,700,000	448,000
Non-Agency RMBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3	$ 135,000	$ 135,000
Non-Agency RMBS | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3			0	135,118
Loans Held for Investment at Fair Value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3			272,000
Loans Held for Investment at Fair Value | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3			$ 272,198
Securitized debt | Non-Agency RMBS | Internal Assessment
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 | Non-Agency RMBS | Third Party Assessment
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	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Assets:
Unpaid Principal/ Notional	$ 10,660,492		$ 10,660,492		$ 12,211,298
Loans held for investment, fair value	12,533,864		12,533,864		13,112,129
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,947,644		7,947,644		8,711,677
Non-Agency RMBS | Senior
Liabilities:
Change in fair value of financial instruments	0	$ 0	0	$ 0
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	654,814		654,814		632,335
Fair Value	494,170		494,170		416,745
Liabilities:
Change in fair value of financial instruments	23,228	31,328	56,638	(56,632)
Non-Agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	4,225,195		4,225,195		5,628,240
Fair Value	187,218		187,218		262,259
Liabilities:
Change in fair value of financial instruments	630	(12,626)	(26,941)	44,320
Agency RMBS | Pass-through
Liabilities:
Change in fair value of financial instruments	0	0	0	(151,056)
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,067,557		1,067,557		1,262,963
Fair Value	65,889		65,889		90,738
Liabilities:
Change in fair value of financial instruments	(7,134)	(824)	(12,460)	(12,302)
Agency CMBS | Interest-only
Assets:
Unpaid Principal/ Notional	2,351,641		2,351,641		1,326,665
Fair Value	135,825		135,825		25,885
Liabilities:
Change in fair value of financial instruments	(463)	2,788	1,777	4,415
Agency CMBS | Project loans
Assets:
Unpaid Principal/ Notional	746,123		746,123		1,413,719
Fair Value	841,519		841,519		1,592,473
Liabilities:
Change in fair value of financial instruments	(17,129)	(42,942)	(72,013)	45,069
Loans held for investment
Assets:
Loans held for investment, Unpaid Principal/Notional	11,664,695		11,664,695		12,640,195
Loans held for investment, fair value	12,533,864		12,533,864		13,112,129
Liabilities:
Change in fair value of financial instruments	248,244	371,423	348,971	(124,250)
Securitized debt
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	7,894,993		7,894,993		8,705,200
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,947,644		7,947,644		$ 8,711,677
Change in fair value of financial instruments	$ (7,852)	$ (88,381)	$ 249,671	$ 78,394

Fair Value Measurements - Finan

Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Assets:
Non-Agency RMBS, at fair value	$ 1,890,030	$ 2,150,714
Agency RMBS, at fair value	65,889	90,738
Agency CMBS, at fair value	1,062,131	1,740,368
Loans held for investment, at fair value	12,533,864	13,112,129
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,947,644	8,711,677
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	1,890,030	2,150,714
Agency RMBS, at fair value	65,889	90,738
Agency CMBS, at fair value	1,062,131
Loans held for investment, at fair value	12,533,864	13,112,129
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,947,644	8,711,677
Fair Value, Measurements, Recurring | Level 1
Assets:
Non-Agency RMBS, at fair value	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
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value	0	0
Agency RMBS, at fair value	65,889	90,738
Agency CMBS, at fair value	1,062,131	1,740,368
Loans held for investment, at fair value	307,004	0
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	1,890,030	2,150,714
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	12,226,860	13,112,129
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	$ 7,947,644	$ 8,711,677

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		9 Months Ended	12 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Sep. 30, 2021	Dec. 31, 2020
Securitized Debt | Variable Interest Entities, Primary Beneficiary | Level 3
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3		$ 8,179,608	$ 8,711,677	$ 8,179,608
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			5,060,056	3,043,252
Securitized Debt, Principal payments			(1,676,193)	(1,751,903)
Securitized Debt, Sales and Settlements			(4,169,819)	(783,880)
Securitized Debt, Net accretion (amortization)			11,706	(22,546)
Securitized Debt, Other than temporary credit impairment losses			0	0
Securitized Debt, Realized gains (losses) on sales and settlements			259,883	(1,031)
Securitized Debt, Net unrealized gains (losses) included in income			(249,666)	48,177
Securitized Debt, Gains (losses) included in other comprehensive income			0	0
Securitized Debt, Ending balance, Level 3			7,947,644	8,711,677
Non-Agency RMBS
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Transfers out of Level 3	$ (135,000)	(135,000)
Non-Agency RMBS | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		2,614,408	2,150,714	2,614,408
Transfers into Level 3			0	135,118
Transfers out of Level 3			0	(135,118)
Purchases of assets/ issuance of debt			34,656	54,811
Principal payments			(239,347)	(261,738)
Sales and settlements			(47,674)	(166,786)
Net accretion (amortization)			46,095	39,246
Gains (losses) included in net income
(Increase) decrease in provision for credit losses			58	(180)
Realized gains (losses) on sales and settlements			32,807	12,571
Net unrealized gains (losses) included in income			29,697	(9,030)
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period			(116,976)	(132,588)
Ending balance Level 3			1,890,030	2,150,714
Loans held for investment
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Transfers out of Level 3			(272,000)
Loans held for investment | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Transfers out of Level 3			(272,198)
Loans held for investment | Variable Interest Entities, Primary Beneficiary
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Sales and settlements			(1,678,140)	(1,053,943)
Gains (losses) included in net income
Realized gains (losses) on sales and settlements				0
Net unrealized gains (losses) included in income			348,971	64,643
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		$ 14,292,815	13,112,129	14,292,815
Transfers into Level 3			0	0
Transfers out of Level 3				0
Purchases of assets/ issuance of debt			2,692,043	1,860,998
Principal payments			(1,901,004)	(1,966,590)
Sales and settlements			(1,678,140)	(1,053,943)
Net accretion (amortization)			(75,057)	(85,794)
Gains (losses) included in net income
(Increase) decrease in provision for credit losses			0	0
Realized gains (losses) on sales and settlements			0	0
Net unrealized gains (losses) included in income			349,087	64,643
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period			0	0
Ending balance Level 3			$ 12,226,860	$ 13,112,129

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3	Sep. 30, 2021	Dec. 31, 2020
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0.02
Discount Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0.02
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	0.08	0.10
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.10
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	0.036	0.033
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.055	0.061
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.103	0.102
Prepay Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0.01
Prepay Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.02
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	0.30	0.25
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.50	0.42
Prepay Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.65	0.47
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.120	0.095
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.174	0.136
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.259	0.263
CDR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.01
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	0.07	0.10
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	0.10	0.08
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.019	0.020
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.011	0.013
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.013	0.014
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	0.10
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.68	0.82
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.49	0.77
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.86	0.79
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.378	0.415
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.396	0.398
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.307	0.336

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	Sep. 30, 2021	Dec. 31, 2020
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.01	0
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.07	0.10
Discount Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.021	0.025
Prepay Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.04
Prepay Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.45	0.40
Prepay Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.155	0.105
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	0.11	0.07
CDR | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.013	0.013
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	0.563	0.576

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	Sep. 30, 2021	Dec. 31, 2020
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.10%	6.30%
FICO	655	627
Loan-to-value (LTV)	86.00%	86.00%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	83.00%	84.00%
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	13.00%	12.00%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	90.00%	89.00%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	3.00%	2.00%
Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	7.00%	9.00%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	2.90%	3.40%
FICO	640	640
Loan-to-value (LTV)	87.00%	85.00%

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	Sep. 30, 2021	Dec. 31, 2020
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 92,204	$ 113,433
Long term debt	0	51,623
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	3,788,336	4,636,847
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	92,204	113,433
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	3,791,783	4,803,256
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	$ 73,633	$ 97,097

Secured Financing Agreements -

Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2021	Dec. 31, 2020
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 3,788,336	$ 4,636,847
Margin cash collateral pledged to repurchase agreement counterparties	$ 10,000	42,000
Decrease in share price (as a percent)	50.00%
Goldman Sachs
Repurchase Agreement Counterparty [Line Items]
Amount at risk		649,000
Nomura
Repurchase Agreement Counterparty [Line Items]
Amount at risk		$ 421,000
Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Unused warehouse credit facilities	$ 924,000
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
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 Upon Change in Fair Value of Collateral Pledged
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 1,300,000
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 117,000

Secured Financing Agreements _2

Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	$ 3,800,000	$ 4,600,000
Debt issuance costs, net	3,000	8,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	3,788,336	4,636,847
MBS pledged as collateral at fair value on Repurchase agreements:	5,018,442	6,696,214
Average balance of Secured financing agreements secured by:	4,110,855	7,316,345
Repurchase Agreements | Agency RMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	24,700	69,180
MBS pledged as collateral at fair value on Repurchase agreements:	26,618	86,160
Average balance of Secured financing agreements secured by:	$ 54,242	$ 1,407,713
Average borrowing rate of Secured financing agreements secured by:	0.67%	0.90%
Average remaining maturity of Secured financing agreements secured by:	4 days	12 days
Average original maturity of Secured financing agreements secured by:	32 days	14 days
Repurchase Agreements | Agency CMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	$ 795,873	$ 1,333,799
MBS pledged as collateral at fair value on Repurchase agreements:	835,984	1,382,783
Average balance of Secured financing agreements secured by:	$ 1,040,018	$ 1,818,721
Average borrowing rate of Secured financing agreements secured by:	0.16%	0.21%
Average remaining maturity of Secured financing agreements secured by:	13 days	11 days
Average original maturity of Secured financing agreements secured by:	30 days	30 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:	$ 2,967,763	$ 3,233,868
MBS pledged as collateral at fair value on Repurchase agreements:	4,155,840	5,227,271
Average balance of Secured financing agreements secured by:	$ 3,016,595	$ 4,089,911
Average borrowing rate of Secured financing agreements secured by:	2.76%	4.78%
Average remaining maturity of Secured financing agreements secured by:	316 days	458 days
Average original maturity of Secured financing agreements secured by:	333 days	492 days

Secured Financing Agreements _3

Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 3,800,000	$ 4,600,000
Debt issuance costs, net	3,000	8,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	3,788,336	4,636,847
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	1,005,444	1,521,134
Repurchase Agreements | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	109,436	481,257
Repurchase Agreements | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	245,058	352,684
Repurchase Agreements | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	455,938	301,994
Repurchase Agreements | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	526,398	595,900
Repurchase Agreements | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	899,381	345,204
Repurchase Agreements | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	261,999	0
Repurchase Agreements | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	642,696
Repurchase Agreements | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 284,682	$ 395,978
Repurchase Agreements | Weighted Average Borrowing Rates
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.20%	3.41%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.37%	0.38%
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.62%	4.35%
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.62%	2.78%
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.78%	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)	1.84%	5.29%
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.59%	3.60%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.06%
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%	5.56%
Repurchase Agreements | Minimum | Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.00%
Repurchase Agreements | Minimum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.11%	0.20%
Repurchase Agreements | Minimum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.62%	2.42%
Repurchase Agreements | Minimum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.28%	1.34%
Repurchase Agreements | Minimum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.41%	7.97%
Repurchase Agreements | Minimum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.90%	2.40%
Repurchase Agreements | Minimum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.94%	3.25%
Repurchase Agreements | Minimum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.04%
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%	5.56%
Repurchase Agreements | Maximum | Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	0.00%
Repurchase Agreements | Maximum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.82%	2.72%
Repurchase Agreements | Maximum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.62%	6.61%
Repurchase Agreements | Maximum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.68%	6.30%
Repurchase Agreements | Maximum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	1.99%	7.97%
Repurchase Agreements | Maximum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.34%	6.26%
Repurchase Agreements | Maximum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.38%	4.50%
Repurchase Agreements | Maximum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.09%
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%	5.56%

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ (25,622,000)	$ (55,794,000)	$ (284,535,000)	$ (55,338,000)
Non-Agency RMBS
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt		(56,000,000)
Securitized Loans | Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Debt Instrument [Line Items]
Principal balance	$ 116,000,000		$ 116,000,000		$ 135,000,000
Weighted average cost of financing	6.70%		6.70%		6.50%
Acquired securitized debt collateral outstanding principal balance	$ 189,000,000	0	$ 3,900,000,000	147,000,000
Repurchase of non retained secured debt	193,000,000	$ 0	4,200,000,000
Gains (losses) on extinguishment of debt	(4,000,000)		(260,000,000)	$ 459,000
Securitized Loans | Securitized debt | Variable Interest Entities, Primary Beneficiary
Debt Instrument [Line Items]
Principal balance	$ 7,900,000,000		$ 7,900,000,000		$ 8,700,000,000
Weighted average cost of financing	2.40%		2.40%		3.40%

Securitized Debt - Maturities o

Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	Sep. 30, 2021	Dec. 31, 2020
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 2,060,769	$ 1,837,055
One to Three Years	2,934,030	2,819,646
Three to Five Years	1,711,625	1,774,273
Greater Than Five Years	1,187,388	2,170,253
Total	7,893,812	8,601,227
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	7,192	13,552
One to Three Years	2,780	11,229
Three to Five Years	1,080	1,589
Greater Than Five Years	123	305
Total	$ 11,175	$ 26,675

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands	Sep. 30, 2021USD ($)
Debt Instrument, Redemption [Line Items]
Currently callable	$ 109,717
2021	257,945
2022	1,497,507
2023	1,053,870
2024	1,449,774
2025	2,575,370
Total	$ 6,944,183

Long Term Debt (Details)

Long Term Debt (Details) $ / shares in Units, shares in Millions	Jun. 29, 2021$ / shares	Apr. 30, 2020USD ($)$ / shares	Sep. 30, 2021USD ($)	Sep. 30, 2020USD ($)	Sep. 30, 2021USD ($)shares	Sep. 30, 2020USD ($)	Dec. 31, 2020USD ($)
Debt Instrument [Line Items]
Conversion of convertible debt					$ 37,340,000	$ 290,531,000
Gains (losses) on extinguishment of debt			$ (25,622,000)	$ (55,794,000)	(284,535,000)	(55,338,000)
Accrued interest payable			20,388,000		$ 20,388,000		$ 40,950,000
Common Stock Par Value
Debt Instrument [Line Items]
Debt conversion, shares converted into (in shares) | shares					55
Convertible Senior Notes due 2023 | Convertible Debt
Debt Instrument [Line Items]
Principal balance		$ 374,000,000
Long-term financing agreements, interest rate (as a percent)		7.00%
Proceeds from issuance of debt		$ 362,000,000
Conversion rate ratio	0.1541546	0.1538461
Conversion price (in dollars per share) | $ / shares	$ 6.49	$ 6.50
Conversion of convertible debt					$ 358,000,000
Convertible debt acquired			15,500,000
Payments to acquire convertible debt			37,000,000
Gains (losses) on extinguishment of debt			(21,000,000)
Outstanding amount of debt			0		0		53,000,000
Unamortized debt issuance cost							1,000,000
Accrued interest payable							$ 1,000,000
Interest expense			$ 238,000	$ 1,000,000	$ 2,000,000	$ 6,000,000

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Dec. 31, 2020
Variable Interest Entity [Line Items]
Assets	[1]	$ 16,004,224		$ 16,004,224		$ 17,523,019
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount		1,200,000		1,200,000		1,300,000
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)		1,500,000		1,500,000
Assets						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		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)		211,000		211,000		$ 190,000
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases		$ 450,000	$ 338,000	$ 6,000,000	$ 1,900,000
[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 September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 and $8,063,110, 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		Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Dec. 31, 2019
Assets:
Non-Agency RMBS, at fair value		$ 1,890,030		$ 2,150,714
Loans held for investment, at fair value		12,533,864		13,112,129
Accrued interest receivable		74,011		81,158
Other Assets		49,844		78,822
Assets	[1]	16,004,224		17,523,019
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		92,204		113,433
Securitized debt at fair value, collateralized by Loans held for investment		7,947,644		8,711,677
Accrued interest payable		20,388		40,950
Other liabilities		29,297		5,721
Liabilities	[1]	12,155,676		13,743,633
Allowance for credit losses		122	$ 508	180	$ 167	$ 1,817	$ 0
Non-Agency RMBS
Liabilities:
Allowance for credit losses		122		180
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value		424,320		505,479
Loans held for investment, at fair value		10,382,307		11,591,598
Accrued interest receivable		48,436		53,804
Other Assets		10,738		14,136
Assets		10,865,801		12,165,017
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		92,204		113,433
Securitized debt at fair value, collateralized by Loans held for investment		7,290,663		7,923,523
Accrued interest payable		15,452		23,677
Other liabilities		2,179		2,477
Liabilities		$ 7,400,498		8,063,110
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS
Liabilities:
Allowance for credit losses				$ 117
[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 September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 and $8,063,110, respectively. See Note 9 for further discussion.

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		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Variable Interest Entity [Line Items]
Net interest income	$ 149,226	$ 123,348	$ 456,355	$ 398,197
(Increase) decrease in provision for credit losses			58	(167)
Servicing and asset manager fees	9,297	9,473	27,659	30,074
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
(Increase) decrease in provision for credit losses	(117)	126	(365)	(91)
Servicing and asset manager fees	6,561	8,291	20,244	24,673
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	138,984	171,442	446,198	515,250
Interest expense, Non-recourse liabilities of VIEs	43,525	74,753	159,666	210,198
Net interest income	$ 95,459	$ 96,689	$ 286,532	$ 305,052

Derivative Instruments - Deriva

Derivative Instruments - Derivative Instruments Effects on Operating Results (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 0	$ 0	$ 0	$ 201,000
Net gains (losses) on derivatives	0	0	0	(304,052)
Realized loss on terminations of interest rate swaps	$ 0	$ 0	0	463,966
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives			0	204,611
Net realized gains (losses) on derivatives			0	(470,352)
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives			0	(3,611)
Net realized gains (losses) on derivatives			0	(34,700)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives			0	0
Net realized gains (losses) on derivatives			$ 0	$ 0

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Realized loss on terminations of interest rate swaps	$ 0	$ 0	$ 0	$ 463,966
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, notional amount of derivative terminated				$ 4,100,000

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,438	$ 18,438	$ 55,313	$ 55,313
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 3,000	$ 3,000	$ 9,000	$ 9,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 7,000	$ 7,000	$ 20,000	$ 20,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 5,000	$ 5,000	$ 15,000	$ 15,000
Preferred stock dividends declared (in USD per share)	$ 0.484375	$ 0.484375	$ 1.453125	$ 1.453125
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 4,000	$ 4,000	$ 12,000	$ 12,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020	Feb. 28, 2021
Class of Stock [Line Items]
Stock repurchase program, authorized amount					$ 250,000,000
Stock repurchased during period (in shares)	0	0	161,000	1,400,000
Stock repurchased during period, average price (in dollars per share)			$ 11.39	$ 15.34
Stock repurchased during period			$ 1,828,000	$ 22,066,000
Remaining authorized repurchase amount	$ 226,000,000		226,000,000
Common dividends declared	$ 79,268,000	$ 68,477,000	$ 228,284,000	$ 232,007,000
Dividends declared per share of common stock (usd per share)	$ 0.33	$ 0.30	$ 0.96	$ 1.10
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 79,000,000	$ 68,000,000	$ 228,000,000	$ 232,000,000

Capital Stock - Warrants (Detai

Capital Stock - Warrants (Details) - USD ($)	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Jun. 08, 2020
Class of Warrant or Right [Line Items]
Payments for settlement of warrants	$ 220,945,000	$ 0
Common Stock Par Value | Warrant Shares
Class of Warrant or Right [Line Items]
Exercise of warrants or rights (in shares)	20,000,000
Exercise percent of common stock (as a percent)	90.00%
Payments for settlement of warrants	$ 221,000,000
Credit Agreement | Securitized debt
Class of Warrant or Right [Line Items]
Principal balance			$ 400,000,000

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Numerator:
Net income (loss) available to common shareholders - Basic	$ 313,030	$ 348,891	$ 597,067	$ (113,694)
Effect of dilutive securities:	238	1,495	2,274	0
Net income (loss) available to common shareholders - Diluted	$ 313,268	$ 350,386	$ 599,341	$ (113,694)
Denominator:
Weighted average basic shares (shares)	235,887,296	232,127,224	232,717,010	206,237,705
Effect of dilutive securities (shares)	4,475,306	33,219,135	14,641,813	0
Weighted average dilutive shares (shares)	240,362,602	265,346,359	247,358,823	206,237,705
Net income (loss) per average share attributable to common stockholders - Basic (usd per share)	$ 1.33	$ 1.50	$ 2.57	$ (0.55)
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share)	$ 1.30	$ 1.32	$ 2.42	$ (0.55)

Capital Stock - Dilutive Securi

Capital Stock - Dilutive Securities (Details) - shares	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
Equity [Abstract]
Securities excluded from computation of EPS (in shares)	0	906,000	154,000	26,000,000

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020	Sep. 30, 2021	Sep. 30, 2020
AOCI [Roll Forward]
Beginning Balance	$ 3,627,431	$ 3,395,879	$ 3,779,386	$ 3,953,293
OCI before reclassifications			(82,065)	(97,334)
Amounts reclassified from AOCI			(37,116)	(56,021)
Other comprehensive income (loss)	(17,198)	17,471	(119,181)	(153,355)
Ending Balance	3,848,548	3,696,542	3,848,548	3,696,542
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance			558,096	708,336
OCI before reclassifications			(82,065)	(97,334)
Amounts reclassified from AOCI			(37,116)	(56,021)
Other comprehensive income (loss)			(119,181)	(153,355)
Ending Balance	438,915	554,981	438,915	554,981
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	456,113	537,510	558,096	708,336
Other comprehensive income (loss)	(17,198)	17,471	(119,181)	(153,355)
Ending Balance	$ 438,915	$ 554,981	$ 438,915	$ 554,981

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Narrative (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2020
Accumulated Other Comprehensive Income (Loss) [Line Items]
Amounts reclassified from AOCI	$ 37,116	$ 56,021
Unrealized gains (losses) on available-for-sale securities, net
Accumulated Other Comprehensive Income (Loss) [Line Items]
Amounts reclassified from AOCI	$ 37,116	$ 56,021

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans (Details) shares in Thousands	3 Months Ended				9 Months Ended
	Sep. 30, 2021USD ($)shares	Mar. 31, 2021	Sep. 30, 2020USD ($)	Mar. 31, 2020	Sep. 30, 2021USD ($)trancheinstallmentshares	Sep. 30, 2020USD ($)shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common dividends declared	$ 2,000,000		$ 2,000,000		$ 9,000,000	$ 7,000,000
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	$ 92,000		$ 92,000		$ 328,000	$ 358,000
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
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period					3 years
Granted shares (shares) | shares	51				296	306
Grant date fair value	$ 1,000,000				$ 4,000,000	$ 4,000,000
Restricted Stock Units (RSUs) | Senior Management
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period					4 years
Granted shares (shares) | shares					1,000
Grant date fair value					$ 10,000,000
Number of tranches | tranche					5
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		3 years	3 years
Granted shares (shares) | shares					182	135
Grant date fair value					$ 2,000,000	$ 3,000,000
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%

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Millions	3 Months Ended	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2021
Income Tax Disclosure [Abstract]
Income tax expense (benefit)	$ 1	$ 5

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Millions	Sep. 30, 2021	Dec. 31, 2020
Offsetting [Abstract]
Repurchase agreements outstanding	$ 3,800	$ 4,600
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	5,000	6,700
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	10	42
Net amount	$ 1,200	$ 2,100

Subsequent Events (Details)

Subsequent Events (Details) $ in Millions	1 Months Ended
	Nov. 03, 2021USD ($)
Securitized debt | Securitized Loans | Subsequent Event
Subsequent Event [Line Items]
Retirement of debt	$ 22