Chimera Investment (CIM) 10-Q 3 Nov 22 2022 Q3 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	9 Months Ended
	Sep. 30, 2022	Oct. 31, 2022
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2022
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)		231,754,346
Entity Central Index Key	0001409493
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2022
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 Fixed-to-Floating Rate Cumulative 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 Fixed-to-Floating Rate Cumulative 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 Fixed-to-Floating Rate Cumulative 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, 2022	Dec. 31, 2021
Cash and cash equivalents		$ 86,234	$ 385,741
Non-Agency RMBS, at fair value (net of allowance for credit losses of $3 million and $213 thousand, respectively)		1,191,298	1,810,208
Agency RMBS, at fair value		38,470	60,487
Agency CMBS, at fair value		427,984	761,208
Loans held for investment, at fair value		11,707,299	12,261,926
Receivable for investments sold		14,118	0
Accrued interest receivable		69,330	69,513
Other assets		130,198	58,320
Derivatives, at fair value		4,389	0
Total assets	[1]	13,669,320	15,407,403
Liabilities:
Secured financing agreements ($3.8 billion and $4.4 billion pledged as collateral, respectively)		2,820,931	3,261,613
Securitized debt, collateralized by Non-Agency RMBS ($281 million and $365 million pledged as collateral, respectively)		79,967	87,999
Securitized debt at fair value, collateralized by Loans held for investment ($10.6 billion and $11.0 billion pledged as collateral, respectively)		7,354,311	7,726,043
Payable for investments purchased		644,120	477,415
Accrued interest payable		25,773	20,416
Dividends payable		63,860	86,152
Accounts payable and other liabilities		26,654	11,574
Total liabilities	[1]	11,015,616	11,671,212
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		2,318	2,370
Additional paid-in-capital		4,314,942	4,359,045
Accumulated other comprehensive income		244,204	405,054
Cumulative earnings		3,941,742	4,552,008
Cumulative distributions to stockholders		(5,849,874)	(5,582,658)
Total stockholders' equity		2,653,704	3,736,191
Total liabilities and stockholders' equity		13,669,320	15,407,403
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, or V IEs, 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, 2022, and December 31, 2021, total assets of consolidate d VIEs were $10,790,005 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,005,717 and $7,223,655, 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, 2022	Dec. 31, 2021
Allowance for credit losses		$ 3,355,000	$ 213,000
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)		231,751,256	236,951,266
Common stock, shares outstanding (shares)		231,751,256	236,951,266
Assets	[1]	$ 13,669,320,000	$ 15,407,403,000
Liabilities	[1]	11,015,616,000	11,671,212,000
Variable Interest Entities, Primary Beneficiary
Stockholders' Equity:
Assets		10,790,005,000	10,666,591,000
Liabilities		$ 7,005,717,000	$ 7,223,655,000
Series A Preferred Stock
Stockholders' Equity:
Preferred stock, dividend rate (percent)		8%	8%
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%	8%
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%	8%
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
Non-Agency RMBS
Allowance for credit losses		3,000,000	213,000
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Allowance for credit losses		1,000,000
Non-Agency RMBS | Asset Pledged as Collateral | Securitized Loans
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		281,000,000	365,000,000
Residential Mortgage-Backed Securities | Asset Pledged as Collateral
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		3,800,000,000	4,400,000,000
Loans Held for Investment at Fair Value | Asset Pledged as Collateral | Securitized Loans
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		$ 10,600,000,000	$ 11,000,000,000
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or V IEs, 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, 2022, and December 31, 2021, total assets of consolidate d VIEs were $10,790,005 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,005,717 and $7,223,655, 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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Net interest income:
Interest income	[1]	$ 188,303	$ 220,579	$ 585,835	$ 716,384
Interest expense	[2]	83,464	71,353	226,403	260,029
Net interest income		104,839	149,226	359,432	456,355
Increase/(decrease) in provision for credit losses		(1,534)	(386)	3,203	(58)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		10,307	0	8,689	0
Periodic interest cost of swaps, net		(122)	0	(122)	0
Net gains (losses) on derivatives		10,185	0	8,567	0
Net unrealized gains (losses) on financial instruments at fair value		(239,513)	239,524	(848,925)	545,643
Net realized gains (losses) on sales of investments		37,031	0	(37,031)	45,313
Gains (losses) on extinguishment of debt		0	(25,622)	(2,897)	(284,535)
Other investment gains (losses)		(462)	0	517	0
Total other gains (losses)		(266,821)	213,902	(879,769)	306,421
Other expenses:
Compensation and benefits		10,000	12,694	30,211	35,363
General and administrative expenses		4,836	5,300	16,493	16,672
Servicing and asset manager fees		8,516	9,297	27,122	27,659
Transaction expenses		2,341	3,432	12,872	25,614
Total other expenses		25,693	30,723	86,698	105,308
Income (loss) before income taxes		(186,141)	332,791	(610,238)	657,526
Income tax expense (benefit)		4	1,323	28	5,146
Net income (loss)		(186,145)	331,468	(610,266)	652,380
Dividends on preferred stock		18,438	18,438	55,283	55,313
Net income (loss) available to common shareholders		(204,583)	313,030	(665,549)	597,067
Net income (loss) available to common shareholders		$ (204,583)	$ 313,030	$ (665,549)	$ 597,067
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ (0.88)	$ 1.33	$ (2.84)	$ 2.57
Diluted (usd per share)		$ (0.88)	$ 1.30	$ (2.84)	$ 2.42
Weighted average number of common shares outstanding:
Basic (shares)		231,750,422	235,887,296	234,671,912	232,717,010
Diluted (shares)		231,750,422	240,362,602	234,671,912	247,358,823
[1]Includes interest incom e of consolidated VIEs of $139,598 and $138,984 for the quarters ended September 30, 2022 and 2021, respectively, and $410,873 and $446,198 for the nine months ended September 30, 2022 and 2021, 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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Interest income, Assets of consolidated VIEs	$ 139,598	$ 138,984	$ 410,873	$ 446,198
Interest expense, Non-recourse liabilities of VIEs	$ 50,030	$ 43,525	$ 142,714	$ 159,666

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Comprehensive income (loss):
Net income (loss)	$ (186,145)	$ 331,468	$ (610,266)	$ 652,380
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(61,526)	(17,198)	(160,850)	(82,065)
Reclassification adjustment for net realized losses (gains) included in net income	0	0	0	(37,116)
Other comprehensive income (loss)	(61,526)	(17,198)	(160,850)	(119,181)
Comprehensive income (loss) before preferred stock dividends	(247,671)	314,270	(771,116)	533,199
Dividends on preferred stock	18,438	18,438	55,283	55,313
Comprehensive income (loss) available to common stock shareholders	$ (266,109)	$ 295,832	$ (826,399)	$ 477,886

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands	Total	Common Stock	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 Value Preferred Stock	Series B Preferred Stock Par Value	Series B Preferred Stock Par Value Preferred Stock	Series C Preferred Stock Par Value	Series C Preferred Stock Par Value Preferred Stock	Series D Preferred Stock Par Value	Series D Preferred Stock Par Value Preferred Stock
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
Beginning Balance at Dec. 31, 2021	3,736,191	2,370	4,359,045	405,054	4,552,008	(5,582,658)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(610,266)				(610,266)
Other comprehensive income (loss)	(160,850)			(160,850)
Repurchase of Common Stock	(48,886)	(54)	(48,832)
Stock based compensation	4,731	2	4,729
Common dividends declared	(211,933)					(211,933)
Preferred dividends declared	(55,283)					(55,283)	(9,000)		(20,000)		(15,000)		(12,000)
Ending Balance at Sep. 30, 2022	2,653,704	2,318	4,314,942	244,204	3,941,742	(5,849,874)		58		130		104		80
Beginning Balance at Jun. 30, 2022	2,972,999	2,317	4,312,604	305,730	4,127,887	(5,775,911)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(186,145)				(186,145)
Other comprehensive income (loss)	(61,526)			(61,526)
Stock based compensation	2,339	1	2,338
Common dividends declared	(55,525)					(55,525)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Sep. 30, 2022	$ 2,653,704	$ 2,318	$ 4,314,942	$ 244,204	$ 3,941,742	$ (5,849,874)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Cash Flows From Operating Activities:
Net income (loss)	$ (186,145)	$ 331,468	$ (610,266)	$ 652,380
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net			68,632	61,158
Accretion (amortization) of deferred financing costs, debt issuance costs, and securitized debt discounts/premiums, net			(2,799)	9,268
Net unrealized losses (gains) on derivatives	(10,307)	0	(8,689)	0
Proceeds (payments) for derivative settlements			(6,200)	0
Margin (paid) received on derivatives			(2,301)	0
Net unrealized losses (gains) on financial instruments at fair value	239,513	(239,524)	848,925	(545,643)
Net realized losses (gains) on sales of investments	(37,031)	0	37,031	(45,313)
Other investment (gains) losses	462	0	(517)	0
Net increase (decrease) in provision for credit losses			3,203	(58)
(Gain) loss on extinguishment of debt	0	25,622	2,897	284,535
Equity-based compensation expense			4,731	4,993
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net			164	7,145
Decrease (increase) in other assets			(57,260)	(22,439)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities			15,079	24,626
Increase (decrease) in accrued interest payable, net			6,657	(20,564)
Net cash provided by (used in) operating activities			299,287	410,088
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities			655,521	1,840,841
Cash Flows From Financing Activities:
Proceeds from secured financing agreements			28,538,545	36,235,601
Payments on secured financing agreements			(28,982,125)	(37,087,294)
Payments on repurchase of common stock			(48,886)	(1,828)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment			1,029,050	5,060,056
Payments on securitized debt borrowings, collateralized by Loans held for investment			(1,498,622)	(5,846,212)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS			(2,769)	(18,495)
Payments on convertible debt purchases			0	(36,892)
Settlement of warrants			0	(220,945)
Common dividends paid			(234,225)	(220,242)
Preferred dividends paid			(55,283)	(55,313)
Net cash provided by (used in) financing activities			(1,254,315)	(2,191,564)
Net increase (decrease) in cash and cash equivalents			(299,507)	59,365
Cash and cash equivalents at beginning of period			385,741	269,090	$ 269,090
Cash and cash equivalents at end of period	86,234	328,455	86,234	328,455	385,741
Supplemental disclosure of cash flow information:
Interest received			654,650	784,688
Interest paid			223,845	271,325
Non-cash investing activities:
Receivable for investments sold			14,118	0
Payable for investments purchased			644,120	192,552
Net change in unrealized gain (loss) on available-for sale securities	(61,526)	(17,198)	(160,850)	(119,181)
Retained beneficial interests			0	24,891
Non-cash financing activities:
Dividends declared, not yet paid			63,860	85,255
Conversion of convertible debt			0	37,340
Variable Interest Entities, Primary Beneficiary
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net increase (decrease) in provision for credit losses	$ (2,284)	$ 365	859	117
Variable Interest Entities, Primary Beneficiary | Securitized Debt
Transfer of investments due to consolidation
Securitized debt at fair value, collateralized by loans held for investment			774,514	0
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases			(57,473)	(182,350)
Sales			4,187	201,653
Principal payments			253,131	509,693
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases			(23,000)	(9,766)
Sales			0	47,674
Principal payments			159,151	239,348
Transfer of investments due to consolidation
Non-Agency RMBS, at fair value			(218,276)	0
Loans held for investment
Cash Flows From Investing Activities:
Sales			0	1,653,260
Principal payments			1,764,067	1,982,400
Purchases			(1,444,542)	(2,601,071)
Loans Held for Investment at Fair Value | Variable Interest Entities, Primary Beneficiary
Transfer of investments due to consolidation
Loans held for investment, at fair value			$ 1,047,838	$ 0	$ 0

Organization

Organization	9 Months Ended
	Sep. 30, 2022
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 twelve 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 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. During the second quarter of 2022, the Company exchanged its interest in Kah Capital Management, LLC for an interest in Kah Capital Holdings, LLC, which is accounted for as an equity method investment in other assets on the Statement of Financial Condition at September 30, 2022. Kah Capital Holdings, LLC is the parent of Kah Capital Management, LLC. The Company did not pay any fees to Kah Capital Management, LLC during the quarter ended September 30, 2022 and paid $321 thousand in such fees during the quarter ended September 30, 2021. The Company paid $250 thousand and $1 million during the nine months ended September 30, 2022 and 2021, respectively, in fees to Kah Capital Management, LLC. These fees are paid for investment services provided and are reported within Other expenses on the Statement of Operations. The Company has made a $75 million capital commitment to a fund managed by Kah Capital Management, LLC. As of September 30, 2022, the Company has funded $27 million towards that commitment. The Company's investment in this fund is accounted for as an equity method investment in other assets on the Statement of Financial Condition. The Company records any gains and losses associated with its equity method investments in other investment gains (losses) on the Statement of Operations.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	9 Months Ended
	Sep. 30, 2022
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 transactions are recorded on the trade date. 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 in 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) and securitized debt (Notes 5 and 7). 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, 2021. 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, 2022 or December 31, 2021. (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.

Mortgage-Backed Securities

Mortgage-Backed Securities	9 Months Ended
	Sep. 30, 2022
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 the Company's MBS investments as of September 30, 2022 and December 31, 2021. September 30, 2022 (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 $ 1,171,759 $ 6,702 $ (635,696) $ 542,765 $ (1,745) $ 786,378 $ 251,616 $ (6,258) $ 245,358 Subordinated 506,901 3,970 (166,925) 343,946 (1,610) 308,692 18,980 (52,624) (33,644) Interest-only 3,363,236 166,502 — 166,502 — 96,228 15,459 (85,733) (70,274) Agency RMBS Interest-only 1,229,240 67,368 — 67,368 — 38,470 479 (29,377) (28,898) Agency CMBS Project loans 303,369 5,931 (196) 309,104 — 297,259 — (11,845) (11,845) Interest-only 2,704,539 144,664 — 144,664 — 130,725 1,651 (15,590) (13,939) Total $ 9,279,044 $ 395,137 $ (802,817) $ 1,574,349 $ (3,355) $ 1,657,752 $ 288,185 $ (201,427) $ 86,758 December 31, 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 $ 1,283,788 $ 5,906 $ (673,207) $ 616,487 $ (212) $ 985,682 $ 369,913 $ (506) $ 369,407 Subordinated 845,432 5,179 (274,843) 575,768 (1) 652,025 99,240 (22,982) 76,258 Interest-only 3,904,665 191,230 — 191,230 — 172,501 36,512 (55,241) (18,729) Agency RMBS Interest-only 992,978 102,934 — 102,934 — 60,487 — (42,447) (42,447) Agency CMBS Project loans 560,565 10,812 (879) 570,498 — 614,419 43,921 — 43,921 Interest-only 2,578,640 147,024 — 147,024 — 146,789 3,044 (3,279) (235) Total $ 10,166,068 $ 463,085 $ (948,929) $ 2,203,941 $ (213) $ 2,631,903 $ 552,630 $ (124,455) $ 428,175 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, 2022 and December 31, 2021. 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, 2022 (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 $ 52,192 $ (6,258) 8 $ — $ — — $ 52,192 $ (6,258) 8 Subordinated 199,709 (43,400) 34 32,543 (9,224) 12 232,252 (52,624) 46 Interest-only 40,402 (29,741) 82 14,061 (55,992) 51 54,463 (85,733) 133 Agency RMBS Interest-only 16,787 (7,934) 14 15,986 (21,443) 12 32,773 (29,377) 26 Agency CMBS Project loans 289,078 (11,845) 127 — — — 289,078 (11,845) 127 Interest-only 122,117 (15,362) 8 257 (228) 2 122,374 (15,590) 10 Total $ 720,285 $ (114,540) 273 $ 62,847 $ (86,887) 77 $ 783,132 $ (201,427) 350 December 31, 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 $ 30,846 $ (506) 2 $ — $ — — $ 30,846 $ (506) 2 Subordinated 36,942 (657) 7 28,371 (22,325) 9 65,313 (22,982) 16 Interest-only 11,872 (1,958) 24 30,474 (53,283) 56 42,346 (55,241) 80 Agency RMBS Interest-only 5,003 (1,215) 4 55,486 (41,232) 21 60,489 (42,447) 25 Agency CMBS Interest-only 131,551 (3,164) 7 491 (115) 1 132,042 (3,279) 8 Total $ 216,214 $ (7,500) 44 $ 114,822 $ (116,955) 87 $ 331,036 $ (124,455) 131 At September 30, 2022, 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, 2022. The Company had $2 million 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, 2022. There were no such losses on its Agency MBS as of December 31, 2021. 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, 2022 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 $18 million and $506 thousand, at September 30, 2022 and December 31, 2021, respectively. After evaluating the securities and recording any 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 the quarters and nine months ended September 30, 2022 and 2021 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 4,890 $ 508 $ 213 $ 180 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 851 7 2,443 475 Allowance on purchased financial assets with credit deterioration — — — — Reductions for the securities sold during the period — — — — Increase/(decrease) on securities with an allowance in the prior period (2,385) (544) 636 (721) Write-offs charged against the allowance (1) (23) (77) (86) Recoveries of amounts previously written off — 174 140 274 Ending allowance for credit losses $ 3,355 $ 122 $ 3,355 $ 122 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of September 30, 2022 and December 31, 2021. September 30, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 52,377 6.9% 2.8% 38.1% Subordinated 49,765 8.5% 0.5% 39.4% December 31, 2021 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 6,941 2.4% 5.1% 60.9% Subordinated 1 10.0% 0.3% 30.0% The increase in the allowance for credit losses for the nine months ended September 30, 2022 is primarily due to increases in expected losses and delinquencies as compared to the same period of 2021. In addition, certain Non-Agency RMBS positions now have higher unrealized losses and resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. The following tables present a summary of unrealized gains and losses at September 30, 2022 and December 31, 2021. September 30, 2022 (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 $ 251,616 $ — $ 251,616 $ (4,729) $ (1,529) $ (6,258) Subordinated 12,962 6,018 18,980 (13,566) (39,058) (52,624) Interest-only — 15,459 15,459 — (85,733) (85,733) Agency RMBS Interest-only — 479 479 — (29,377) (29,377) Agency CMBS Project loans — — — (2,079) (9,766) (11,845) Interest-only — 1,651 1,651 — (15,590) (15,590) Total $ 264,578 $ 23,607 $ 288,185 $ (20,374) $ (181,053) $ (201,427) December 31, 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 $ 369,913 $ — $ 369,913 $ (506) $ — $ (506) Subordinated 33,587 65,653 99,240 — (22,982) (22,982) Interest-only — 36,512 36,512 — (55,241) (55,241) Agency RMBS Interest-only — — — — (42,447) (42,447) Agency CMBS Project loans 2,060 41,861 43,921 — — — Interest-only — 3,044 3,044 — (3,279) (3,279) Total $ 405,560 $ 147,070 $ 552,630 $ (506) $ (123,949) $ (124,455) 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, 2022 and December 31, 2021. September 30, 2022 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,171,759 $ 46.17 67.11 5.0 % 16.8 % Subordinated 506,901 67.54 60.90 4.6 % 6.9 % Interest-only 3,363,236 4.95 2.86 1.0 % 7.4 % Agency RMBS Interest-only 1,229,240 5.48 3.13 0.8 % 1.6 % Agency CMBS Project loans 303,369 101.89 97.99 4.3 % 4.1 % Interest-only 2,704,539 5.35 4.83 0.7 % 3.8 % (1) Bond Equivalent Yield at period end. December 31, 2021 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 $ 1,283,788 $ 48.02 $ 76.78 4.5 % 18.0 % Subordinated 845,432 68.10 77.12 3.8 % 7.1 % Interest-only 3,904,665 4.90 4.42 1.7 % 13.2 % Agency RMBS Interest-only 992,978 10.37 6.09 1.3 % 0.3 % Agency CMBS Project loans 560,565 101.77 109.61 4.3 % 4.1 % Interest-only 2,578,640 5.70 5.69 0.7 % 4.6 % (1) Bond Equivalent Yield at period end. 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, 2022 and December 31, 2021 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, 2022 (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 $ 14,897 $ 164,597 $ 295,320 $ 311,564 $ 786,378 Subordinated 4,175 7,683 122,733 174,101 308,692 Interest-only 140 33,929 59,298 2,861 96,228 Agency RMBS Interest-only — 5,203 33,267 — 38,470 Agency CMBS Project loans 8,182 — — 289,077 297,259 Interest-only 177 130,548 — — 130,725 Total fair value $ 27,571 $ 341,960 $ 510,618 $ 777,603 $ 1,657,752 Amortized cost Non-Agency RMBS Senior $ 5,197 $ 138,794 $ 189,007 $ 209,767 $ 542,765 Subordinated 1,428 5,250 133,297 203,971 343,946 Interest-only 11,937 69,251 74,880 10,434 166,502 Agency RMBS Interest-only — 6,521 60,847 — 67,368 Agency CMBS Project loans 8,182 — — 300,922 309,104 Interest-only 519 144,145 — — 144,664 Total amortized cost $ 27,263 $ 363,961 $ 458,031 $ 725,094 $ 1,574,349 December 31, 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 $ 3,186 $ 279,222 $ 318,684 $ 384,590 $ 985,682 Subordinated 3,303 149,089 276,979 222,654 652,025 Interest-only 2,300 140,558 29,642 1 172,501 Agency RMBS Interest-only — — 60,487 — 60,487 Agency CMBS Project loans 8,388 — — 606,031 614,419 Interest-only 1,335 141,997 3,457 — 146,789 Total fair value $ 18,512 $ 710,866 $ 689,249 $ 1,213,276 $ 2,631,903 Amortized cost Non-Agency RMBS Senior $ 2,349 $ 194,506 $ 190,030 $ 229,602 $ 616,487 Subordinated 1 129,063 244,103 202,601 575,768 Interest-only 27,764 140,757 22,648 61 191,230 Agency RMBS Interest-only — — 102,934 — 102,934 Agency CMBS Project loans 8,388 — — 562,110 570,498 Interest-only 1,540 142,290 3,194 — 147,024 Total amortized cost $ 40,042 $ 606,616 $ 562,909 $ 994,374 $ 2,203,941 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, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.8 % 1.0 % 3.3 % 1.2 % 3.1 % 0.6 % 12.0 % December 31, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.3 % 5.5 % 1.3 % 2.6 % 0.4 % 14.5 % The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 Weighted average maturity (years) 19.6 21.4 Weighted average amortized loan to value (1) 58.7 % 60.3 % Weighted average FICO (2) 712 706 Weighted average loan balance (in thousands) $ 259 $ 259 Weighted average percentage owner-occupied 84.5 % 84.0 % Weighted average percentage single family residence 61.6 % 62.7 % Weighted average current credit enhancement 1.1 % 1.2 % Weighted average geographic concentration of top four states CA 32.4 % CA 31.2 % NY 11.1 % NY 10.4 % FL 7.8 % FL 8.0 % NJ 4.6 % NJ 4.6 % (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, 2022 and December 31, 2021. Origination Year September 30, 2022 December 31, 2021 2003 and prior 1.2 % 1.4 % 2004 1.0 % 1.2 % 2005 8.7 % 8.6 % 2006 46.0 % 53.7 % 2007 30.8 % 25.3 % 2008 and later 12.3 % 9.8 % 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, 2022 and 2021 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) (dollars in thousands) Proceeds from sales: Non-Agency RMBS — — — 47,877 Agency RMBS 18,378 — 18,378 626 Agency CMBS — — — 201,037 Gross realized gains: Non-Agency RMBS — — — 37,742 Agency CMBS — — — 13,735 Gross realized losses: Non-Agency RMBS — — — (4,955) Agency RMBS (37,031) — (37,031) (1,209) Net realized gain (loss) $ (37,031) $ — $ (37,031) $ 45,313

Loans Held for Investment

Loans Held for Investment	9 Months Ended
	Sep. 30, 2022
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 business purpose loans. At September 30, 2022 and December 31, 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 $12.3 billion and $11.4 billion as of September 30, 2022 and December 31, 2021, 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, 2022 and December 31, 2021: For the Nine Months Ended For the Year Ended September 30, 2022 December 31, 2021 (dollars in thousands) Balance, beginning of period $ 12,261,926 $ 13,112,129 Transfer due to consolidation 1,047,838 — Purchases 1,625,222 3,364,609 Principal paydowns (1,764,067) (2,652,767) Sales and settlements (3,586) (1,679,280) Net periodic accretion (amortization) (57,434) (79,368) Change in fair value (1,402,600) 196,603 Balance, end of period $ 11,707,299 $ 12,261,926 The primary cause of the change in fair value is due to market demand, interest rates and changes in credit risk of mortgage loans. The Company did not retain any beneficial interests on loan sales during the quarter and nine months ended September 30, 2022. During the year ended December 31, 2021, the Company sold loans with a fair value of $450 million, with the Company retaining $25 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, 2022 (1) December 31, 2021 (1) 2002 and prior 6.2 % 6.6 % 2003 5.3 % 5.7 % 2004 10.2 % 11.7 % 2005 17.0 % 18.6 % 2006 21.0 % 22.7 % 2007 22.1 % 22.6 % 2008 6.7 % 6.2 % 2009 1.5 % 1.2 % 2010 and later 10.0 % 4.7 % Total 100.0 % 100.0 % (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates. The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2022 and December 31, 2021: September 30, 2022 (1) December 31, 2021 (1) Number of loans 115,248 114,946 Weighted average maturity (years) 20.7 19.3 Weighted average loan to value 82.6 % 84.2 % Weighted average FICO 654 656 Weighted average loan balance (in thousands) $ 102 $ 96 Weighted average percentage owner occupied 87.5 % 88.8 % Weighted average percentage single family residence 80.4 % 82.2 % Weighted average geographic concentration of top five states CA 14.5 % CA 13.9 % NY 8.7 % FL 8.1 % FL 8.4 % NY 8.0 % PA 4.7 % VA 4.8 % VA 4.4 % PA 4.8 % (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates. 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, 2022 and December 31, 2021, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2022 (1) $716,864 $235,250 $419,543 $217,730 $401,387 $30,869 $2,021,643 $11,794,116 % of Unpaid Principal Balance 6.1% 2.0% 3.6% 1.8% 3.4% 0.3% 17.2% December 31, 2021 (1) $959,481 $227,593 $582,311 $215,669 $260,888 $27,712 $2,273,654 $11,082,096 % of Unpaid Principal Balance 8.7% 2.1% 5.3% 1.9% 2.4% 0.3% 20.7% (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates. The fair value of residential mortgage loans 90 days or more past due was $705 million and $830 million as of September 30, 2022 and December 31, 2021, respectively.

Fair Value Measurements

Fair Value Measurements	9 Months Ended
	Sep. 30, 2022
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 the 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 third-party pricing service review market factors that may not have been considered by th e 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, 2022, three investment holdings with an internally developed fair value of $8.7 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 $510 thousand lower, in the aggregate, than the third-party prices provided of $9.2 million. After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at September 30, 2022 in excess of the thresholds for the period. At December 31, 2021, seven investmen t holdings with an internally developed fair value of $50 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 $8 million higher, in the aggregate, than the third-party prices provided of $42 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, 2021 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 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 include business purpose loans. 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, 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 coupon rate as compared to coupon 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 reperforming pool of residential 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, 2022, four loan pools with an internally developed fair value of $1.4 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 $69 million higher than the third-party prices provided of $1.3 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, 2022 in excess of the threshold for the period. At December 31, 2021, three loan pools with an internally developed fair value of $3.5 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 $97 million higher than the third-party prices provided of $3.4 billion. 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, 2021 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. 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 with changes in fair value reflected in earnings. These loans tend to be short duration, often less than one year, and generally the coupon rate is higher than the Company's typical 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 $236 million and $230 million as of September 30, 2022 and December 31, 2021, respectively. 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, delinquencies, 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, 2022, three securitized debt collateralized by loans held for investment positions with an internally developed fair value of $11.8 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 $164 thousand higher on a net basis than the third-party prices provided of $11.6 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No ot her differences were noted at September 30, 2022 in excess of the threshold for the period. At December 31, 2021, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and independent third-party prices The Company’s estimates of fair value of securitized debt, collateralized by Loans held for investment involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates Level 3 inputs in the fair value hierarchy. 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, 2022 and December 31, 2021, respectively: September 30, 2022 December 31, 2021 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior 18,890 17,374 — — Subordinated 322,086 196,759 653,616 500,288 Interest-only 3,363,236 96,228 3,904,665 172,501 Agency RMBS Interest-only 1,229,240 38,470 992,978 60,487 Agency CMBS Project loans 268,609 263,865 499,186 549,529 Interest-only 2,704,539 130,725 2,578,640 146,789 Loans held for investment, at fair value 12,481,055 11,707,299 11,519,255 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 8,096,536 7,354,311 7,762,864 7,726,043 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 for the quarters and nine months ended September 30, 2022 and 2021: For the Quarter Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (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 (144) — (1,529) — Subordinated (30,295) 23,228 (75,569) 56,638 Interest-only (15,948) 630 (51,546) (26,941) Agency RMBS Interest-only 23,472 (7,134) 13,548 (12,460) Agency CMBS Project loans (16,595) (17,129) (51,627) (72,013) Interest-only (4,870) (463) (13,704) 1,777 Loans held for investment, at fair value (353,650) 248,244 (1,402,683) 348,971 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 158,517 (7,852) 679,133 249,671 Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps and swaptions as Level 2 inputs in the fair value hierarchy. 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 Company has classified the characteristics used to determine the fair value of Secured Financing Agreements as Level 2 inputs in the fair value hierarchy. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, dividends payable, payable for investments purchased, 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. Equity Method Investments The Company has made investments in entities or funds. For these investments where we have a non-controlling interest, but we are deemed to be able to exert significant influence over the affairs of these entities or funds, we utilize equity method of accounting. These investments are not carried at fair value. The carrying value of the Company's equity method investments is determined using cost accumulation method. The Company adjusts the carrying value of its equity method investments for its share of earnings or losses, dividends or return of capital on a quarterly basis. The fair value of equity method investments is based on the fund valuation received from the manager of the fund. The Company has classified the characteristics used to determine the fair value of equity method investments as Level 3 inputs in the fair value hierarchy. The equity method investments are included in Other assets on Statement of Financial Condition. 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, 2022 and December 31, 2021 are presented below. September 30, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,191,298 $ — $ 1,191,298 Agency RMBS, at fair value — 38,470 — — 38,470 Agency CMBS, at fair value — 427,984 — — 427,984 Loans held for investment, at fair value — 236,074 11,471,225 — 11,707,299 Derivatives, at fair value — 15,359 — (10,970) 4,389 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,354,311 — 7,354,311 Derivatives, at fair value — 470 — (470) — December 31, 2021 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 1,810,208 $ — $ 1,810,208 Agency RMBS, at fair value — 60,487 — — 60,487 Agency CMBS, at fair value — 761,208 — — 761,208 Loans held for investment, at fair value — 229,627 12,032,299 — 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,726,043 — 7,726,043 The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at September 30, 2022 and December 31, 2021. Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2022 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 Transfers into Level 3 — — — Transfers out of Level 3 — — — Transfer due to consolidation (218,276) 1,047,838 774,514 Purchases of assets/ issuance of debt 23,187 1,439,348 1,029,050 Principal payments (159,149) (1,587,269) (1,498,635) Sales and Settlements — (3,585) — Net accretion (amortization) 24,026 (57,717) 2,464 Gains (losses) included in net income (Increase) decrease in provision for credit losses (3,201) — — Realized gains (losses) on sales and settlements — — — Net unrealized gains (losses) included in income (128,644) (1,399,689) (679,125) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (156,853) — — Ending balance Level 3 $ 1,191,298 $ 11,471,225 $ 7,354,311 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 3,248,683 5,521,953 Principal payments (299,330) (2,495,015) (2,247,983) Sales and Settlements (47,674) (1,679,280) (4,192,295) Net accretion (amortization) 57,473 (79,223) 12,010 Gains (losses) included in net income Other than temporary credit impairment losses (33) — — Realized gains (losses) on sales and settlements 32,807 — 258,903 Net unrealized gains (losses) included in income 31,358 197,203 (338,222) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (149,763) — — Ending balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 There were no transfers in or out from Level 3 during the quart er and nine months ended September 30, 2022. During the year ended December 31, 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. 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, 2022 and December 31, 2021 follows. The weighted average discount rates are based on fair value. September 30, 2022 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 6%-13% 6.5% 1%-20% 8.1% 0%-7% 1.6% 26%-79% 32.4% Subordinated 6%-15% 8.2% 2%-17% 9.6% 0%-6% 0.4% 10%-45% 37.8% Interest-only 0%-55% 10.1% 2%-35% 12.4% 0%-9% 1.1% 0%-87% 30.1% December 31, 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% -10% 3.9% 1% -30% 11.4% 0% -7% 1.8% 26% -78% 36.6% Subordinated 2% -10% 5.6% 6% -45% 17.8% 0% -6% 1.1% 10% -55% 40.1% Interest-only 0% -100% 10.3% 6% -55% 24.9% 0% -9% 1.3% 26% -84% 33.0% 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, 2022 and December 31, 2021 follows: September 30, 2022 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% 6.3% 0%-18% 11.7% 0%-10% 1.1% 0%-70% 49.3% December 31, 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% 2.6% 6% - 20% 15.1% 0% - 11% 1.4% 30% - 75% 56.1% 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 p

Secured Financing Agreements

Secured Financing Agreements	9 Months Ended
	Sep. 30, 2022
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 either the one-month LIBOR rates, the three-month LIBOR rates, or the Secured Overnight Financing Rate (“SOFR”) 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 secured financing arrangements with an original term of one year or greater which is secured by Non-Agency RMBS pledged as collateral. These long-term secured financing agreements have a maturity date of February 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 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 SOFR. 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, 2022 and December 31, 2021, the Company has $737 million and $1.2 billion, respectively, 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, 2022 and December 31, 2021, the Company has $476 million and $113 million, respectively, 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, 2022 and December 31, 2021 were: September 30, 2022 December 31, 2021 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 6,141 $ 23,170 Agency CMBS (in thousands) 368,554 589,535 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,446,236 2,648,908 Total: $ 2,820,931 $ 3,261,613 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 8,048 $ 28,320 Agency CMBS (in thousands) 395,286 617,457 Non-Agency RMBS and Loans held for investment (in thousands) 3,314,176 3,747,573 Total: $ 3,717,510 $ 4,393,350 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 14,024 $ 47,155 Agency CMBS (in thousands) 382,806 963,894 Non-Agency RMBS and Loans held for investment (in thousands) 2,806,481 2,926,880 Total: $ 3,203,311 $ 3,937,929 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 3.10 % 0.68 % Agency CMBS 3.12 % 0.21 % Non-Agency RMBS and Loans held for investment 5.03 % 2.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 18 Days 4 Days Agency CMBS 24 Days 13 Days Non-Agency RMBS and Loans held for investment 301 Days 257 Days Average original maturity of Secured financing agreements secured by: Agency RMBS 92 Days 61 Days Agency CMBS 35 Days 35 Days Non-Agency RMBS and Loans held for investment 327 Days 283 Days (1) The outstanding balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of December 31, 2021. At September 30, 2022 and December 31, 2021, we pledged $56 million and $19 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At September 30, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2022 December 31, 2021 (dollars in thousands) Principal Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates 1 to 29 days $ 425,202 3.84% 2.77% - 6.11% $ 1,018,670 0.73% 0.11% - 1.95% 30 to 59 days 434,926 3.40% 2.74% - 4.13% 379,031 1.66% 1.55% - 1.70% 60 to 89 days 181,282 4.26% 2.45% - 4.93% 342,790 1.86% 0.90% - 2.35% 90 to 119 days 146,780 4.36% 3.63% - 5.96% 67,840 1.66% 1.66% - 1.66% 120 to 180 days 546,867 5.18% 3.98% - 6.06% 157,944 1.38% 0.95% - 1.45% 180 days to 1 year 596,387 4.67% 4.33% - 5.33% 895,210 3.70% 1.95% - 4.38% 1 to 2 years — NA NA 143,239 3.05% 3.05% - 3.05% 2 to 3 years 489,487 6.79% 6.79% - 6.79% — NA NA Greater than 3 years — NA NA 256,889 5.56% 5.56% - 5.56% Total $ 2,820,931 4.77% $ 3,261,613 2.30% (1) The principal balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of and December 31, 2021. 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 $2.0 billion unused uncommitted warehouse credit facilities as of September 30, 2022. At September 30, 2022 and December 31, 2021, there was no amount at risk with any counterparty greater than 10% of the Company's equity.

Securitized Debt

Securitized Debt	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021, the Company’s securitized debt collateralized by Non-Agency RMBS was carried at amortized cost and had a principal balance of $110 million and $113 million, respectively. At September 30, 2022 and December 31, 2021, the debt carried a weighted average coupon of 6.7%. As of September 30, 2022, the maturities of the debt range between the years 2036 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 and nine months ended September 30, 2022 and 2021. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2022 and December 31, 2021, 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, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 751 $ 4,374 One to Three Years 533 2,361 Three to Five Years 88 949 Greater Than Five Years 84 82 Total $ 1,456 $ 7,766 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, 2022 and December 31, 2021, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $8.1 billion and $7.8 billion, respectively. At September 30, 2022 and December 31, 2021, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon of 2.7% and 2.4%, respectively. As of September 30, 2022, the maturities of the debt range between the years 2023 and 2070. The Company did not acquire any securitized debt collateralized by loans held for investment during the quarter and nine months ended September 30, 2022. 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 following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2022 and December 31, 2021, 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, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 1,799,830 $ 2,031,445 One to Three Years 2,705,792 2,886,255 Three to Five Years 1,767,557 1,697,760 Greater Than Five Years 1,821,698 1,145,995 Total $ 8,094,877 $ 7,761,455 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 at a specific date. Other securitized debt issued by the Company contain clean-up call provisions. A clean-up call provision is a right to call the outstanding debt at pre-defined terms when the collateral falls below a certain percentage of the original balance, typically 10%. Generally, these clean-up call rights are shared with other parties to the debt, including the loan servicers and the paying agents. Clean-up calls are generally put in place to reduce the administrative burdens when a loan pool balance becomes de minimis hence uneconomical to mange. The following table presents the par value of the callable debt by year as of September 30, 2022, excluding any debt issued by the Company where the Company only has a clean-up call. September 30, 2022 (dollars in thousands) Year Principal Currently callable $ 1,222,913 2022 382,093 2023 1,436,331 2024 1,274,530 2025 1,939,919 2026 246,769 2027 871,390 Total $ 7,373,945

Long Term Debt

Long Term Debt	9 Months Ended
	Sep. 30, 2022
Debt Disclosure [Abstract]
Long Term Debt	Long Term Debt Convertible Senior Notes As of December 31, 2021 all of the outstanding principal amount on the Company's 7.0% convertible senior notes due 2023 (the “Notes”) were either converted or acquired by the Company. At December 31, 2021, there was no outstanding principal amount, unamortized deferred debt issuance cost and accrued interest payable on these Notes. The net interest expense for the quarter and nine months ended September 30, 2021 was $238 thousand and $2 million, respectively.

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	9 Months Ended
	Sep. 30, 2022
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, 2022, the Company consolidated approximately $370 million and $2.5 billion, respectively, unpaid principal balance of seasoned residential reperforming residential mortgage loans. 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 reperforming residential 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, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 281,055 $ 399,048 Loans held for investment, at fair value 10,437,514 10,205,587 Accrued interest receivable 53,259 47,237 Other assets 18,177 14,719 Total Assets: $ 10,790,005 $ 10,666,591 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 79,967 $ 87,999 Securitized debt at fair value, collateralized by Loans held for investment 6,905,913 7,118,374 Accrued interest payable 17,526 15,101 Other liabilities 2,311 2,181 Total Liabilities: 7,005,717 7,223,655 (1) September 30, 2022 balance includes allowance for credit losses of $1 million. 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, 2022 September 30, 2021 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 139,598 $ 138,984 Interest expense, Non-recourse liabilities of VIEs 50,030 43,525 Net interest income $ 89,568 $ 95,459 (Increase) decrease in provision for credit losses $ 2,284 $ (365) Servicing fees $ 6,701 $ 6,561 For the Nine Months ended September 30, 2022 September 30, 2021 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 410,873 $ 446,198 Interest expense, Non-recourse liabilities of VIEs 142,714 159,666 Net interest income $ 268,159 $ 286,532 (Increase) decrease in provision for credit losses $ (859) $ (117) Servicing fees $ 20,256 $ 20,244 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.

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative InstrumentsIn connection with the Company’s interest rate risk strategy, the Company may economically hedge 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. Interest rate swaptions provide the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. The Company’s swaptions are not centrally cleared. 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 Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The 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. During the second quarter of 2022, the Company purchased a swaption contract for a one-year forward starting swap of $1.0 billion in notional amount with a 3.26% strike rate. The underlying swap terms will allow the Company to pay a fix rate of 3.26% and receive floating overnight SOFR rate. The Company paid a $6 million premium for the purchase of this swaption contract. The Company also maintains collateral in the form of cash on margin from counterparty to its swaption contact. In accordance with the Company's netting policy, the Company presents the fair value of its swaption contract net of cash margin received. See Note 15 for additional details on derivative netting. This swaption contract is subject to certain early termination provisions. These provisions include that the Company maintains $1.0 billion or higher total stockholders' equity, and a leverage ratio below twelve. Currently, the Company is in compliance with these early termination provisions and does not expect to fail to comply with any of these early termination provisions within the next twelve months. The Company entered into two, pay fix - receive float, SOFR based interest rate swaps during the quarter ended September 30, 2022 with a $885 million notional amount. The weighted average pay rate on the Company's interest rate swaps at September 30, 2022 was 3.94% and the weighted average receive rate was 2.98%. The swaps had remaining maturity range of two years to five years and weighted average maturity of three years. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2022. The Company did not have any derivative instruments as of December 31, 2021. September 30, 2022 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps 885,000 Derivatives, at fair value $ 4,187 Derivatives, at fair value $ — Swaptions 1,000,000 Derivatives, at fair value $ 202 Derivatives, at fair value $ — Total $ 1,885,000 $ 4,389 $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarter and the nine months ended September 30, 2022 and September 30, 2021, respectively is presented below. Net gains (losses) on derivatives Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives 3,718 $ — 3,718 $ — Interest Rate Swaps Periodic interest cost of interest rate swaps, net (122) — (122) — Swaptions Net unrealized gains (losses) on derivatives 6,589 — 4,971 — Total $ 10,185 $ — $ 8,567 $ — 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. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value.

Capital Stock

Capital Stock	9 Months Ended
	Sep. 30, 2022
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, 2022, 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, 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, 2022, 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 C preferred stockholders of $5 million and $15 million, or $0.484375 and $1.453125 per preferred share, during quarter and nine months ended September 30, 2022, 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 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, 2022, 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. On October 30, 2021, all 5,800,000 issued and outstanding shares of Series A Preferred Stock with an outstanding liquidation preference of $145 million became callable at a redemption price equal to the liquidation preference plus accrued and unpaid dividends through, but not including the redemption date. The Company's fixed-to-floating rate series B, C and D preferred stock are LIBOR based and will become floating on their respective call dates. Common Stock In February 2021, the Company's 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 quarters ended September 30, 2022 and 2021. The Company repurchased approximately 5.4 million shares of its common stock at an average price of $9.10 for a total of $49 million during the nine months ended September 30, 2022. 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 approximate dollar value of shares that may yet be purchased under the Repurchase Program is $177 million as of September 30, 2022. In February 2022, the Company entered into separate Distribution Agency Agreements (the “Sales Agreements”) with each of Credit Suisse Securities (USA) LLC, JMP Securities LLC, Goldman Sachs & Co. LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC (the “Sales Agents”). Pursuant to the terms of the Sales Agreements, the Company may offer and sell shares of our common stock, having an aggregate offering price of up to $500 million, from time to time through any of the Sales Agents under the Securities Act of 1933. During the quarter and nine months ended September 30, 2022, the Company did not issue any shares under the at-the-market sales program. During the quarter and nine months ended September 30, 2022, the Company declared dividends to common shareholders of $56 million and $212 million, or $0.23 and $0.89 per share, respectively. 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. Earnings per Share (EPS) EPS for the quarter and nine months ended September 30, 2022 and 2021, are computed as follows: For the Quarters Ended September 30, 2022 September 30, 2021 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (204,583) $ 313,030 Effect of dilutive securities: Interest expense attributable to convertible notes — 238 Net income (loss) available to common shareholders - Diluted $ (204,583) $ 313,268 Denominator: Weighted average basic shares 231,750,422 235,887,296 Effect of dilutive securities — 4,475,306 Weighted average dilutive shares 231,750,422 240,362,602 Net income (loss) per average share attributable to common stockholders - Basic $ (0.88) $ 1.33 Net income (loss) per average share attributable to common stockholders - Diluted $ (0.88) $ 1.30 For the Nine Months Ended September 30, 2022 September 30, 2021 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (665,549) $ 597,067 Effect of dilutive securities: Interest expense attributable to convertible notes — 2,274 Net income (loss) available to common shareholders - Diluted $ (665,549) $ 599,341 Denominator: Weighted average basic shares 234,671,912 232,717,010 Effect of dilutive securities — 14,641,813 Weighted average dilutive shares 234,671,912 247,358,823 Net income (loss) per average share attributable to common stockholders - Basic $ (2.84) $ 2.57 Net income (loss) per average share attributable to common stockholders - Diluted $ (2.84) $ 2.42

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	9 Months Ended
	Sep. 30, 2022
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, 2022 and 2021: September 30, 2022 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2021 $ 405,054 $ 405,054 OCI before reclassifications (160,850) (160,850) Amounts reclassified from AOCI — — Net current period OCI (160,850) (160,850) Balance as of September 30, 2022 $ 244,204 $ 244,204 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

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	9 Months Ended
	Sep. 30, 2022
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. There were approximately 1 million shares available for future grants under the Incentive Plan as of September 30, 2022. 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. At September 30, 2022 and December 31, 2021, there are approximately 1 million and 914 thousand shares for which payments have been deferred until separation or a date elected by the participant, respectively. At September 30, 2022 and December 31, 2021, there are approximately 945 thousand and 699 thousand dividend equivalent rights earned but not yet delivered. Grants of Restricted Stock Units, or RSUs During the nine months ended September 30, 2022 and 2021, the Company granted RSU awards to employees. These RSU awards are designed to reward employees 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 221 thousand RSU awards during the nine months ended September 30, 2022 with a grant date fair value of $3 million for the 2022 performance year. The Company did not grant any RSU awards during the quarter ended September 30, 2022. 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 for the 2021 performance year. 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 2022 and 2021, include a three-year performance period ending on December 31, 2024 and December 31, 2023, 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 awarded. The Company did not grant any PSUs during the quarters ended September 30, 2022 and 2021. During the nine months ended September 30, 2022, the Company granted 128 thousand PSU awards to senior management with a grant date fair value of $2 million. 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. The Company recognized stock based compensation expenses of $2 million and $5 million for the quarter and nine months ended September 30, 2022. The Company recognized stock based compensation expenses $2 million and $9 million for the quarter and nine months ended September 30, 2021.

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2022
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the year ended December 31, 2021, 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 generally 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 $4 thousand and $28 thousand for the quarter and nine months ended September 30, 2022, respectively. The Company recorded current income tax expense of $1 million and $5 million for the quarter and nine months ended September 30, 2021, respectively. On August 16, 2022, the Inflation Reduction Act, or IRA, was enacted, which, among other provisions, imposes a 15% corporate alternative minimum tax, or CAMT, on adjusted financial statement income, or AFSI, of certain “applicable corporations” with AFSI generally over $1 billion. REITs are excluded from the definition of an “applicable corporation” and, therefore, not subject to the CAMT. However, its TRSs may be subject to the CAMT if certain income thresholds are met. The CAMT is effective for tax years beginning after December 31, 2022. We do not expect the IRA to have a material impact on our financial statements. 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, 2018 remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	9 Months Ended
	Sep. 30, 2022
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under secured financing agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing. The Company attempts to minimize credit risk through due diligence, asset selection and portfolio monitoring. The Company has established a whole loan target market including qualified mortgages, non-qualified mortgages and reperforming residential mortgage 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 party 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. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2022 and December 31, 2021. September 30, 2022 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (2,820,931) $ — $ (2,820,931) $ 3,717,510 $ 55,642 $ 952,221 Interest Rate Swaps - Gross Assets 4,187 — 4,187 — 5,679 9,866 Interest Rate Swaps - Gross Liabilities (470) 470 — — 7,123 7,123 Swaptions - Gross Assets 11,172 (10,970) 202 — — 202 Swaptions - Gross Liabilities — — — — — — Total $ (2,806,042) $ (10,500) $ (2,816,542) $ 3,717,510 $ 68,444 $ 969,412 (1) Included in other assets December 31, 2021 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (3,261,613) $ — $ (3,261,613) $ 4,393,350 $ 19,078 $ 1,149,815 Total $ (3,261,613) $ — $ (3,261,613) $ 4,393,350 $ 19,078 $ 1,149,815 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2022
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, 2022
Subsequent Events [Abstract]
Subsequent Events	Subsequent EventsNone.

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2022
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 transactions are recorded on the trade date. 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) and securitized debt (Notes 5 and 7). 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, 2021.Recent Accounting PronouncementsReference 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.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	9 Months Ended
	Sep. 30, 2022
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 the Company's MBS investments as of September 30, 2022 and December 31, 2021. September 30, 2022 (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 $ 1,171,759 $ 6,702 $ (635,696) $ 542,765 $ (1,745) $ 786,378 $ 251,616 $ (6,258) $ 245,358 Subordinated 506,901 3,970 (166,925) 343,946 (1,610) 308,692 18,980 (52,624) (33,644) Interest-only 3,363,236 166,502 — 166,502 — 96,228 15,459 (85,733) (70,274) Agency RMBS Interest-only 1,229,240 67,368 — 67,368 — 38,470 479 (29,377) (28,898) Agency CMBS Project loans 303,369 5,931 (196) 309,104 — 297,259 — (11,845) (11,845) Interest-only 2,704,539 144,664 — 144,664 — 130,725 1,651 (15,590) (13,939) Total $ 9,279,044 $ 395,137 $ (802,817) $ 1,574,349 $ (3,355) $ 1,657,752 $ 288,185 $ (201,427) $ 86,758 December 31, 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 $ 1,283,788 $ 5,906 $ (673,207) $ 616,487 $ (212) $ 985,682 $ 369,913 $ (506) $ 369,407 Subordinated 845,432 5,179 (274,843) 575,768 (1) 652,025 99,240 (22,982) 76,258 Interest-only 3,904,665 191,230 — 191,230 — 172,501 36,512 (55,241) (18,729) Agency RMBS Interest-only 992,978 102,934 — 102,934 — 60,487 — (42,447) (42,447) Agency CMBS Project loans 560,565 10,812 (879) 570,498 — 614,419 43,921 — 43,921 Interest-only 2,578,640 147,024 — 147,024 — 146,789 3,044 (3,279) (235) Total $ 10,166,068 $ 463,085 $ (948,929) $ 2,203,941 $ (213) $ 2,631,903 $ 552,630 $ (124,455) $ 428,175
Schedule of Investments in Unrealized Loss Position	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, 2022 and December 31, 2021. 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, 2022 (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 $ 52,192 $ (6,258) 8 $ — $ — — $ 52,192 $ (6,258) 8 Subordinated 199,709 (43,400) 34 32,543 (9,224) 12 232,252 (52,624) 46 Interest-only 40,402 (29,741) 82 14,061 (55,992) 51 54,463 (85,733) 133 Agency RMBS Interest-only 16,787 (7,934) 14 15,986 (21,443) 12 32,773 (29,377) 26 Agency CMBS Project loans 289,078 (11,845) 127 — — — 289,078 (11,845) 127 Interest-only 122,117 (15,362) 8 257 (228) 2 122,374 (15,590) 10 Total $ 720,285 $ (114,540) 273 $ 62,847 $ (86,887) 77 $ 783,132 $ (201,427) 350 December 31, 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 $ 30,846 $ (506) 2 $ — $ — — $ 30,846 $ (506) 2 Subordinated 36,942 (657) 7 28,371 (22,325) 9 65,313 (22,982) 16 Interest-only 11,872 (1,958) 24 30,474 (53,283) 56 42,346 (55,241) 80 Agency RMBS Interest-only 5,003 (1,215) 4 55,486 (41,232) 21 60,489 (42,447) 25 Agency CMBS Interest-only 131,551 (3,164) 7 491 (115) 1 132,042 (3,279) 8 Total $ 216,214 $ (7,500) 44 $ 114,822 $ (116,955) 87 $ 331,036 $ (124,455) 131
Schedule of Summary of Credit Loss Allowance	A summary of the credit losses allowance on available-for-sale securities for the quarters and nine months ended September 30, 2022 and 2021 is presented below. For the Quarter Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) (dollars in thousands) Beginning allowance for credit losses $ 4,890 $ 508 $ 213 $ 180 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 851 7 2,443 475 Allowance on purchased financial assets with credit deterioration — — — — Reductions for the securities sold during the period — — — — Increase/(decrease) on securities with an allowance in the prior period (2,385) (544) 636 (721) Write-offs charged against the allowance (1) (23) (77) (86) Recoveries of amounts previously written off — 174 140 274 Ending allowance for credit losses $ 3,355 $ 122 $ 3,355 $ 122
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, 2022 and December 31, 2021. September 30, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 52,377 6.9% 2.8% 38.1% Subordinated 49,765 8.5% 0.5% 39.4% December 31, 2021 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 6,941 2.4% 5.1% 60.9% Subordinated 1 10.0% 0.3% 30.0%
Summary of Unrealized Gains and Losses on MBS	The following tables present a summary of unrealized gains and losses at September 30, 2022 and December 31, 2021. September 30, 2022 (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 $ 251,616 $ — $ 251,616 $ (4,729) $ (1,529) $ (6,258) Subordinated 12,962 6,018 18,980 (13,566) (39,058) (52,624) Interest-only — 15,459 15,459 — (85,733) (85,733) Agency RMBS Interest-only — 479 479 — (29,377) (29,377) Agency CMBS Project loans — — — (2,079) (9,766) (11,845) Interest-only — 1,651 1,651 — (15,590) (15,590) Total $ 264,578 $ 23,607 $ 288,185 $ (20,374) $ (181,053) $ (201,427) December 31, 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 $ 369,913 $ — $ 369,913 $ (506) $ — $ (506) Subordinated 33,587 65,653 99,240 — (22,982) (22,982) Interest-only — 36,512 36,512 — (55,241) (55,241) Agency RMBS Interest-only — — — — (42,447) (42,447) Agency CMBS Project loans 2,060 41,861 43,921 — — — Interest-only — 3,044 3,044 — (3,279) (3,279) Total $ 405,560 $ 147,070 $ 552,630 $ (506) $ (123,949) $ (124,455)
Residential Mortgage Backed Securities Collateral Characteristics	The following tables provide a summary of the Company’s MBS portfolio at September 30, 2022 and December 31, 2021. September 30, 2022 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,171,759 $ 46.17 67.11 5.0 % 16.8 % Subordinated 506,901 67.54 60.90 4.6 % 6.9 % Interest-only 3,363,236 4.95 2.86 1.0 % 7.4 % Agency RMBS Interest-only 1,229,240 5.48 3.13 0.8 % 1.6 % Agency CMBS Project loans 303,369 101.89 97.99 4.3 % 4.1 % Interest-only 2,704,539 5.35 4.83 0.7 % 3.8 % (1) Bond Equivalent Yield at period end. December 31, 2021 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 $ 1,283,788 $ 48.02 $ 76.78 4.5 % 18.0 % Subordinated 845,432 68.10 77.12 3.8 % 7.1 % Interest-only 3,904,665 4.90 4.42 1.7 % 13.2 % Agency RMBS Interest-only 992,978 10.37 6.09 1.3 % 0.3 % Agency CMBS Project loans 560,565 101.77 109.61 4.3 % 4.1 % Interest-only 2,578,640 5.70 5.69 0.7 % 4.6 % (1) Bond Equivalent Yield at period end.
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, 2022 and December 31, 2021 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, 2022 (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 $ 14,897 $ 164,597 $ 295,320 $ 311,564 $ 786,378 Subordinated 4,175 7,683 122,733 174,101 308,692 Interest-only 140 33,929 59,298 2,861 96,228 Agency RMBS Interest-only — 5,203 33,267 — 38,470 Agency CMBS Project loans 8,182 — — 289,077 297,259 Interest-only 177 130,548 — — 130,725 Total fair value $ 27,571 $ 341,960 $ 510,618 $ 777,603 $ 1,657,752 Amortized cost Non-Agency RMBS Senior $ 5,197 $ 138,794 $ 189,007 $ 209,767 $ 542,765 Subordinated 1,428 5,250 133,297 203,971 343,946 Interest-only 11,937 69,251 74,880 10,434 166,502 Agency RMBS Interest-only — 6,521 60,847 — 67,368 Agency CMBS Project loans 8,182 — — 300,922 309,104 Interest-only 519 144,145 — — 144,664 Total amortized cost $ 27,263 $ 363,961 $ 458,031 $ 725,094 $ 1,574,349 December 31, 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 $ 3,186 $ 279,222 $ 318,684 $ 384,590 $ 985,682 Subordinated 3,303 149,089 276,979 222,654 652,025 Interest-only 2,300 140,558 29,642 1 172,501 Agency RMBS Interest-only — — 60,487 — 60,487 Agency CMBS Project loans 8,388 — — 606,031 614,419 Interest-only 1,335 141,997 3,457 — 146,789 Total fair value $ 18,512 $ 710,866 $ 689,249 $ 1,213,276 $ 2,631,903 Amortized cost Non-Agency RMBS Senior $ 2,349 $ 194,506 $ 190,030 $ 229,602 $ 616,487 Subordinated 1 129,063 244,103 202,601 575,768 Interest-only 27,764 140,757 22,648 61 191,230 Agency RMBS Interest-only — — 102,934 — 102,934 Agency CMBS Project loans 8,388 — — 562,110 570,498 Interest-only 1,540 142,290 3,194 — 147,024 Total amortized cost $ 40,042 $ 606,616 $ 562,909 $ 994,374 $ 2,203,941
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, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.8 % 1.0 % 3.3 % 1.2 % 3.1 % 0.6 % 12.0 % December 31, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.3 % 5.5 % 1.3 % 2.6 % 0.4 % 14.5 % 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, 2022 and December 31, 2021, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2022 (1) $716,864 $235,250 $419,543 $217,730 $401,387 $30,869 $2,021,643 $11,794,116 % of Unpaid Principal Balance 6.1% 2.0% 3.6% 1.8% 3.4% 0.3% 17.2% December 31, 2021 (1) $959,481 $227,593 $582,311 $215,669 $260,888 $27,712 $2,273,654 $11,082,096 % of Unpaid Principal Balance 8.7% 2.1% 5.3% 1.9% 2.4% 0.3% 20.7% (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates.
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, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 Weighted average maturity (years) 19.6 21.4 Weighted average amortized loan to value (1) 58.7 % 60.3 % Weighted average FICO (2) 712 706 Weighted average loan balance (in thousands) $ 259 $ 259 Weighted average percentage owner-occupied 84.5 % 84.0 % Weighted average percentage single family residence 61.6 % 62.7 % Weighted average current credit enhancement 1.1 % 1.2 % Weighted average geographic concentration of top four states CA 32.4 % CA 31.2 % NY 11.1 % NY 10.4 % FL 7.8 % FL 8.0 % NJ 4.6 % NJ 4.6 % (1) Value represents appraised value of the collateral 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, 2022 and December 31, 2021. Origination Year September 30, 2022 December 31, 2021 2003 and prior 1.2 % 1.4 % 2004 1.0 % 1.2 % 2005 8.7 % 8.6 % 2006 46.0 % 53.7 % 2007 30.8 % 25.3 % 2008 and later 12.3 % 9.8 % 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, 2022 and 2021 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) (dollars in thousands) Proceeds from sales: Non-Agency RMBS — — — 47,877 Agency RMBS 18,378 — 18,378 626 Agency CMBS — — — 201,037 Gross realized gains: Non-Agency RMBS — — — 37,742 Agency CMBS — — — 13,735 Gross realized losses: Non-Agency RMBS — — — (4,955) Agency RMBS (37,031) — (37,031) (1,209) Net realized gain (loss) $ (37,031) $ — $ (37,031) $ 45,313

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021: For the Nine Months Ended For the Year Ended September 30, 2022 December 31, 2021 (dollars in thousands) Balance, beginning of period $ 12,261,926 $ 13,112,129 Transfer due to consolidation 1,047,838 — Purchases 1,625,222 3,364,609 Principal paydowns (1,764,067) (2,652,767) Sales and settlements (3,586) (1,679,280) Net periodic accretion (amortization) (57,434) (79,368) Change in fair value (1,402,600) 196,603 Balance, end of period $ 11,707,299 $ 12,261,926
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, 2022 (1) December 31, 2021 (1) 2002 and prior 6.2 % 6.6 % 2003 5.3 % 5.7 % 2004 10.2 % 11.7 % 2005 17.0 % 18.6 % 2006 21.0 % 22.7 % 2007 22.1 % 22.6 % 2008 6.7 % 6.2 % 2009 1.5 % 1.2 % 2010 and later 10.0 % 4.7 % Total 100.0 % 100.0 % (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates.
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, 2022 and December 31, 2021: September 30, 2022 (1) December 31, 2021 (1) Number of loans 115,248 114,946 Weighted average maturity (years) 20.7 19.3 Weighted average loan to value 82.6 % 84.2 % Weighted average FICO 654 656 Weighted average loan balance (in thousands) $ 102 $ 96 Weighted average percentage owner occupied 87.5 % 88.8 % Weighted average percentage single family residence 80.4 % 82.2 % Weighted average geographic concentration of top five states CA 14.5 % CA 13.9 % NY 8.7 % FL 8.1 % FL 8.4 % NY 8.0 % PA 4.7 % VA 4.8 % VA 4.4 % PA 4.8 % (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates.
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, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. September 30, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.8 % 1.0 % 3.3 % 1.2 % 3.1 % 0.6 % 12.0 % December 31, 2021 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 3.4 % 1.3 % 5.5 % 1.3 % 2.6 % 0.4 % 14.5 % 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, 2022 and December 31, 2021, respectively. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal Balance (dollars in thousands) September 30, 2022 (1) $716,864 $235,250 $419,543 $217,730 $401,387 $30,869 $2,021,643 $11,794,116 % of Unpaid Principal Balance 6.1% 2.0% 3.6% 1.8% 3.4% 0.3% 17.2% December 31, 2021 (1) $959,481 $227,593 $582,311 $215,669 $260,888 $27,712 $2,273,654 $11,082,096 % of Unpaid Principal Balance 8.7% 2.1% 5.3% 1.9% 2.4% 0.3% 20.7% (1) The above table excludes approximately $687 million and $437 million of Loans held for investment for September 30, 2022 and December 31, 2021, which were purchased prior to the reporting dates and settled subsequent to the reporting dates.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021, respectively: September 30, 2022 December 31, 2021 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior 18,890 17,374 — — Subordinated 322,086 196,759 653,616 500,288 Interest-only 3,363,236 96,228 3,904,665 172,501 Agency RMBS Interest-only 1,229,240 38,470 992,978 60,487 Agency CMBS Project loans 268,609 263,865 499,186 549,529 Interest-only 2,704,539 130,725 2,578,640 146,789 Loans held for investment, at fair value 12,481,055 11,707,299 11,519,255 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 8,096,536 7,354,311 7,762,864 7,726,043 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 for the quarters and nine months ended September 30, 2022 and 2021: For the Quarter Ended For the Nine Months Ended September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (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 (144) — (1,529) — Subordinated (30,295) 23,228 (75,569) 56,638 Interest-only (15,948) 630 (51,546) (26,941) Agency RMBS Interest-only 23,472 (7,134) 13,548 (12,460) Agency CMBS Project loans (16,595) (17,129) (51,627) (72,013) Interest-only (4,870) (463) (13,704) 1,777 Loans held for investment, at fair value (353,650) 248,244 (1,402,683) 348,971 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment 158,517 (7,852) 679,133 249,671
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, 2022 and December 31, 2021 are presented below. September 30, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,191,298 $ — $ 1,191,298 Agency RMBS, at fair value — 38,470 — — 38,470 Agency CMBS, at fair value — 427,984 — — 427,984 Loans held for investment, at fair value — 236,074 11,471,225 — 11,707,299 Derivatives, at fair value — 15,359 — (10,970) 4,389 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,354,311 — 7,354,311 Derivatives, at fair value — 470 — (470) — December 31, 2021 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 1,810,208 $ — $ 1,810,208 Agency RMBS, at fair value — 60,487 — — 60,487 Agency CMBS, at fair value — 761,208 — — 761,208 Loans held for investment, at fair value — 229,627 12,032,299 — 12,261,926 Liabilities: Securitized debt at fair value, collateralized by Loans held for investment — — 7,726,043 — 7,726,043
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, 2022 and December 31, 2021. Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2022 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043 Transfers into Level 3 — — — Transfers out of Level 3 — — — Transfer due to consolidation (218,276) 1,047,838 774,514 Purchases of assets/ issuance of debt 23,187 1,439,348 1,029,050 Principal payments (159,149) (1,587,269) (1,498,635) Sales and Settlements — (3,585) — Net accretion (amortization) 24,026 (57,717) 2,464 Gains (losses) included in net income (Increase) decrease in provision for credit losses (3,201) — — Realized gains (losses) on sales and settlements — — — Net unrealized gains (losses) included in income (128,644) (1,399,689) (679,125) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (156,853) — — Ending balance Level 3 $ 1,191,298 $ 11,471,225 $ 7,354,311 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 3,248,683 5,521,953 Principal payments (299,330) (2,495,015) (2,247,983) Sales and Settlements (47,674) (1,679,280) (4,192,295) Net accretion (amortization) 57,473 (79,223) 12,010 Gains (losses) included in net income Other than temporary credit impairment losses (33) — — Realized gains (losses) on sales and settlements 32,807 — 258,903 Net unrealized gains (losses) included in income 31,358 197,203 (338,222) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (149,763) — — Ending balance Level 3 $ 1,810,208 $ 12,032,299 $ 7,726,043
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, 2022 and December 31, 2021 follows. The weighted average discount rates are based on fair value. September 30, 2022 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 6%-13% 6.5% 1%-20% 8.1% 0%-7% 1.6% 26%-79% 32.4% Subordinated 6%-15% 8.2% 2%-17% 9.6% 0%-6% 0.4% 10%-45% 37.8% Interest-only 0%-55% 10.1% 2%-35% 12.4% 0%-9% 1.1% 0%-87% 30.1% December 31, 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% -10% 3.9% 1% -30% 11.4% 0% -7% 1.8% 26% -78% 36.6% Subordinated 2% -10% 5.6% 6% -45% 17.8% 0% -6% 1.1% 10% -55% 40.1% Interest-only 0% -100% 10.3% 6% -55% 24.9% 0% -9% 1.3% 26% -84% 33.0% 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, 2022 and December 31, 2021 follows: September 30, 2022 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% 6.3% 0%-18% 11.7% 0%-10% 1.1% 0%-70% 49.3% December 31, 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% 2.6% 6% - 20% 15.1% 0% - 11% 1.4% 30% - 75% 56.1% September 30, 2022 December 31, 2021 Factor: Coupon Base Rate 6.5% 3.1% Actual 5.8% 6.1% FICO Base Rate 640 640 Actual 652 654 Loan-to-value (LTV) Base Rate 87% 87% Actual 83% 84% Loan Characteristics: Occupancy Owner Occupied 89% 91% Investor 5% 3% Secondary 6% 6% Property Type Single family 81% 83% Manufactured housing 3% 4% Multi-family/mixed use/other 16% 13%
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, 2022 and December 31, 2021. September 30, 2022 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 2,820,931 2,827,976 Securitized debt, collateralized by Non-Agency RMBS 3 79,967 55,952 Equity method investments 3 27,907 27,907 December 31, 2021 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Secured financing agreements 2 3,261,613 3,265,577 Securitized debt, collateralized by Non-Agency RMBS 3 87,999 72,505

Secured Financing Agreements (T

Secured Financing Agreements (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021 were: September 30, 2022 December 31, 2021 Secured financing agreements outstanding secured by: Agency RMBS (in thousands) $ 6,141 $ 23,170 Agency CMBS (in thousands) 368,554 589,535 Non-Agency RMBS and Loans held for investment (in thousands) (1) 2,446,236 2,648,908 Total: $ 2,820,931 $ 3,261,613 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 8,048 $ 28,320 Agency CMBS (in thousands) 395,286 617,457 Non-Agency RMBS and Loans held for investment (in thousands) 3,314,176 3,747,573 Total: $ 3,717,510 $ 4,393,350 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 14,024 $ 47,155 Agency CMBS (in thousands) 382,806 963,894 Non-Agency RMBS and Loans held for investment (in thousands) 2,806,481 2,926,880 Total: $ 3,203,311 $ 3,937,929 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 3.10 % 0.68 % Agency CMBS 3.12 % 0.21 % Non-Agency RMBS and Loans held for investment 5.03 % 2.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 18 Days 4 Days Agency CMBS 24 Days 13 Days Non-Agency RMBS and Loans held for investment 301 Days 257 Days Average original maturity of Secured financing agreements secured by: Agency RMBS 92 Days 61 Days Agency CMBS 35 Days 35 Days Non-Agency RMBS and Loans held for investment 327 Days 283 Days (1) The outstanding balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of December 31, 2021. At September 30, 2022 and December 31, 2021, we pledged $56 million and $19 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. At September 30, 2022 and December 31, 2021, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates. September 30, 2022 December 31, 2021 (dollars in thousands) Principal Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates 1 to 29 days $ 425,202 3.84% 2.77% - 6.11% $ 1,018,670 0.73% 0.11% - 1.95% 30 to 59 days 434,926 3.40% 2.74% - 4.13% 379,031 1.66% 1.55% - 1.70% 60 to 89 days 181,282 4.26% 2.45% - 4.93% 342,790 1.86% 0.90% - 2.35% 90 to 119 days 146,780 4.36% 3.63% - 5.96% 67,840 1.66% 1.66% - 1.66% 120 to 180 days 546,867 5.18% 3.98% - 6.06% 157,944 1.38% 0.95% - 1.45% 180 days to 1 year 596,387 4.67% 4.33% - 5.33% 895,210 3.70% 1.95% - 4.38% 1 to 2 years — NA NA 143,239 3.05% 3.05% - 3.05% 2 to 3 years 489,487 6.79% 6.79% - 6.79% — NA NA Greater than 3 years — NA NA 256,889 5.56% 5.56% - 5.56% Total $ 2,820,931 4.77% $ 3,261,613 2.30% (1) The principal balance for secured financing agreements in the table above is net of $3 million of deferred financing cost as of and December 31, 2021.

Securitized Debt (Tables)

Securitized Debt (Tables)	9 Months Ended
	Sep. 30, 2022
Debt Disclosure [Abstract]
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, 2022 and December 31, 2021, 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, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 751 $ 4,374 One to Three Years 533 2,361 Three to Five Years 88 949 Greater Than Five Years 84 82 Total $ 1,456 $ 7,766 The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at September 30, 2022 and December 31, 2021, 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, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 1,799,830 $ 2,031,445 One to Three Years 2,705,792 2,886,255 Three to Five Years 1,767,557 1,697,760 Greater Than Five Years 1,821,698 1,145,995 Total $ 8,094,877 $ 7,761,455
Schedule of Callable Debt	September 30, 2022 (dollars in thousands) Year Principal Currently callable $ 1,222,913 2022 382,093 2023 1,436,331 2024 1,274,530 2025 1,939,919 2026 246,769 2027 871,390 Total $ 7,373,945

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and December 31, 2021. September 30, 2022 December 31, 2021 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 281,055 $ 399,048 Loans held for investment, at fair value 10,437,514 10,205,587 Accrued interest receivable 53,259 47,237 Other assets 18,177 14,719 Total Assets: $ 10,790,005 $ 10,666,591 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 79,967 $ 87,999 Securitized debt at fair value, collateralized by Loans held for investment 6,905,913 7,118,374 Accrued interest payable 17,526 15,101 Other liabilities 2,311 2,181 Total Liabilities: 7,005,717 7,223,655 (1) September 30, 2022 balance includes allowance for credit losses of $1 million.
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, 2022 September 30, 2021 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 139,598 $ 138,984 Interest expense, Non-recourse liabilities of VIEs 50,030 43,525 Net interest income $ 89,568 $ 95,459 (Increase) decrease in provision for credit losses $ 2,284 $ (365) Servicing fees $ 6,701 $ 6,561 For the Nine Months ended September 30, 2022 September 30, 2021 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 410,873 $ 446,198 Interest expense, Non-recourse liabilities of VIEs 142,714 159,666 Net interest income $ 268,159 $ 286,532 (Increase) decrease in provision for credit losses $ (859) $ (117) Servicing fees $ 20,256 $ 20,244

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Notional Amounts of Outstanding Derivative Positions	The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of September 30, 2022. The Company did not have any derivative instruments as of December 31, 2021. September 30, 2022 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps 885,000 Derivatives, at fair value $ 4,187 Derivatives, at fair value $ — Swaptions 1,000,000 Derivatives, at fair value $ 202 Derivatives, at fair value $ — Total $ 1,885,000 $ 4,389 $ —
Schedule of Derivative Instruments, Gains (Losses)	The effect of the Company’s derivatives on the Consolidated Statements of Operations for the quarter and the nine months ended September 30, 2022 and September 30, 2021, respectively is presented below. Net gains (losses) on derivatives Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021 (dollars in thousands) (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives 3,718 $ — 3,718 $ — Interest Rate Swaps Periodic interest cost of interest rate swaps, net (122) — (122) — Swaptions Net unrealized gains (losses) on derivatives 6,589 — 4,971 — Total $ 10,185 $ — $ 8,567 $ —

Capital Stock (Tables)

Capital Stock (Tables)	9 Months Ended
	Sep. 30, 2022
Equity [Abstract]
Schedule of Earnings Per Share	EPS for the quarter and nine months ended September 30, 2022 and 2021, are computed as follows: For the Quarters Ended September 30, 2022 September 30, 2021 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (204,583) $ 313,030 Effect of dilutive securities: Interest expense attributable to convertible notes — 238 Net income (loss) available to common shareholders - Diluted $ (204,583) $ 313,268 Denominator: Weighted average basic shares 231,750,422 235,887,296 Effect of dilutive securities — 4,475,306 Weighted average dilutive shares 231,750,422 240,362,602 Net income (loss) per average share attributable to common stockholders - Basic $ (0.88) $ 1.33 Net income (loss) per average share attributable to common stockholders - Diluted $ (0.88) $ 1.30 For the Nine Months Ended September 30, 2022 September 30, 2021 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (665,549) $ 597,067 Effect of dilutive securities: Interest expense attributable to convertible notes — 2,274 Net income (loss) available to common shareholders - Diluted $ (665,549) $ 599,341 Denominator: Weighted average basic shares 234,671,912 232,717,010 Effect of dilutive securities — 14,641,813 Weighted average dilutive shares 234,671,912 247,358,823 Net income (loss) per average share attributable to common stockholders - Basic $ (2.84) $ 2.57 Net income (loss) per average share attributable to common stockholders - Diluted $ (2.84) $ 2.42

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	9 Months Ended
	Sep. 30, 2022
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, 2022 and 2021: September 30, 2022 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2021 $ 405,054 $ 405,054 OCI before reclassifications (160,850) (160,850) Amounts reclassified from AOCI — — Net current period OCI (160,850) (160,850) Balance as of September 30, 2022 $ 244,204 $ 244,204 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

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	9 Months Ended
	Sep. 30, 2022
Offsetting [Abstract]
Schedule of Offsetting Assets and Liabilities	The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of September 30, 2022 and December 31, 2021. September 30, 2022 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (2,820,931) $ — $ (2,820,931) $ 3,717,510 $ 55,642 $ 952,221 Interest Rate Swaps - Gross Assets 4,187 — 4,187 — 5,679 9,866 Interest Rate Swaps - Gross Liabilities (470) 470 — — 7,123 7,123 Swaptions - Gross Assets 11,172 (10,970) 202 — — 202 Swaptions - Gross Liabilities — — — — — — Total $ (2,806,042) $ (10,500) $ (2,816,542) $ 3,717,510 $ 68,444 $ 969,412 (1) Included in other assets December 31, 2021 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Cash Collateral (Received) Pledged (1) Net Amount Secured financing agreements $ (3,261,613) $ — $ (3,261,613) $ 4,393,350 $ 19,078 $ 1,149,815 Total $ (3,261,613) $ — $ (3,261,613) $ 4,393,350 $ 19,078 $ 1,149,815 (1) Included in other assets

Organization (Details)

Organization (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022 USD ($)	Sep. 30, 2021 USD ($)	Sep. 30, 2022 USD ($) subsidiary	Sep. 30, 2021 USD ($)
Schedule of Equity Method Investments [Line Items]
Number of wholly owned direct subsidiaries | subsidiary			12
Kah Capital Management
Schedule of Equity Method Investments [Line Items]
Payments for equity method investment fees	$ 0	$ 321	$ 250	$ 1,000
Capital commitment			75,000
Capital commitment, amount funded	$ 27,000		$ 27,000

Summary of the Significant Ac_3

Summary of the Significant Accounting Policies (Details) - USD ($)	Sep. 30, 2022	Dec. 31, 2021
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 ($) $ in Thousands	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020
Investment Holdings [Line Items]
Principal or Notional Value	$ 9,279,044		$ 10,166,068
Total Premium	395,137		463,085
Total Discount	(802,817)		(948,929)
Amortized Cost	1,574,349		2,203,941
Allowance for credit losses	(3,355)	$ (4,890)	(213)	$ (122)	$ (508)	$ (180)
Fair Value	1,657,752		2,631,903
Gross Unrealized Gains	288,185		552,630
Gross Unrealized Losses	(201,427)		(124,455)
Net Unrealized Gain/(Loss)	86,758		428,175
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	1,171,759		1,283,788
Total Premium	6,702		5,906
Total Discount	(635,696)		(673,207)
Amortized Cost	542,765		616,487
Allowance for credit losses	(1,745)		(212)
Fair Value	786,378		985,682
Gross Unrealized Gains	251,616		369,913
Gross Unrealized Losses	(6,258)		(506)
Net Unrealized Gain/(Loss)	245,358		369,407
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	506,901		845,432
Total Premium	3,970		5,179
Total Discount	(166,925)		(274,843)
Amortized Cost	343,946		575,768
Allowance for credit losses	(1,610)		(1)
Fair Value	308,692		652,025
Gross Unrealized Gains	18,980		99,240
Gross Unrealized Losses	(52,624)		(22,982)
Net Unrealized Gain/(Loss)	(33,644)		76,258
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,363,236		3,904,665
Total Premium	166,502		191,230
Total Discount	0		0
Amortized Cost	166,502		191,230
Allowance for credit losses	0		0
Fair Value	96,228		172,501
Gross Unrealized Gains	15,459		36,512
Gross Unrealized Losses	(85,733)		(55,241)
Net Unrealized Gain/(Loss)	(70,274)		(18,729)
Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,229,240		992,978
Total Premium	67,368		102,934
Total Discount	0		0
Amortized Cost	67,368		102,934
Allowance for credit losses	0		0
Fair Value	38,470		60,487
Gross Unrealized Gains	479		0
Gross Unrealized Losses	(29,377)		(42,447)
Net Unrealized Gain/(Loss)	(28,898)		(42,447)
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	303,369		560,565
Total Premium	5,931		10,812
Total Discount	(196)		(879)
Amortized Cost	309,104		570,498
Allowance for credit losses	0		0
Fair Value	297,259		614,419
Gross Unrealized Gains	0		43,921
Gross Unrealized Losses	(11,845)		0
Net Unrealized Gain/(Loss)	(11,845)		43,921
Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	2,704,539		2,578,640
Total Premium	144,664		147,024
Total Discount	0		0
Amortized Cost	144,664		147,024
Allowance for credit losses	0		0
Fair Value	130,725		146,789
Gross Unrealized Gains	1,651		3,044
Gross Unrealized Losses	(15,590)		(3,279)
Net Unrealized Gain/(Loss)	(13,939)		(235)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value			1,283,788
Gross Unrealized Gains	251,616		369,913
Gross Unrealized Losses	(6,258)		(506)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value			845,432
Gross Unrealized Gains	18,980		99,240
Gross Unrealized Losses	(52,624)		(22,982)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,363,236		3,904,665
Gross Unrealized Gains	15,459		36,512
Gross Unrealized Losses	(85,733)		(55,241)
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value			992,978
Gross Unrealized Gains	479		0
Gross Unrealized Losses	(29,377)		(42,447)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value			560,565
Gross Unrealized Gains	0		43,921
Gross Unrealized Losses	(11,845)		0
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value			2,578,640
Gross Unrealized Gains	1,651		3,044
Gross Unrealized Losses	$ (15,590)		$ (3,279)

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands	Sep. 30, 2022 USD ($) security	Dec. 31, 2021 USD ($) security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 720,285	$ 216,214
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (114,540)	$ (7,500)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	273	44
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 62,847	$ 114,822
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (86,887)	$ (116,955)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	77	87
Total, Estimated Fair Value	$ 783,132	$ 331,036
Total, Unrealized Losses	$ (201,427)	$ (124,455)
Total, Number of Positions | security	350	131
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 52,192	$ 30,846
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (6,258)	$ (506)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	8	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	$ 52,192	$ 30,846
Total, Unrealized Losses	$ (6,258)	$ (506)
Total, Number of Positions | security	8	2
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 199,709	$ 36,942
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (43,400)	$ (657)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	34	7
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 32,543	$ 28,371
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (9,224)	$ (22,325)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	12	9
Total, Estimated Fair Value	$ 232,252	$ 65,313
Total, Unrealized Losses	$ (52,624)	$ (22,982)
Total, Number of Positions | security	46	16
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	$ 40,402	$ 11,872
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (29,741)	$ (1,958)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	82	24
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 14,061	$ 30,474
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (55,992)	$ (53,283)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	51	56
Total, Estimated Fair Value	$ 54,463	$ 42,346
Total, Unrealized Losses	$ (85,733)	$ (55,241)
Total, Number of Positions | security	133	80
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 16,787	$ 5,003
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (7,934)	$ (1,215)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	14	4
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 15,986	$ 55,486
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (21,443)	$ (41,232)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	12	21
Total, Estimated Fair Value	$ 32,773	$ 60,489
Total, Unrealized Losses	$ (29,377)	$ (42,447)
Total, Number of Positions | security	26	25
Commercial Mortgage Backed Securities | Agency MBS - Project Loans
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 289,078
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (11,845)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	127
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0
Total, Estimated Fair Value	$ 289,078
Total, Unrealized Losses	$ (11,845)
Total, Number of Positions | security	127
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 122,117	$ 131,551
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (15,362)	$ (3,164)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	8	7
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 257	$ 491
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (228)	$ (115)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	2	1
Total, Estimated Fair Value	$ 122,374	$ 132,042
Total, Unrealized Losses	$ (15,590)	$ (3,279)
Total, Number of Positions | security	10	8

Mortgage-Backed Securities - Na

Mortgage-Backed Securities - Narrative (Details) - USD ($)	Sep. 30, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Gross Unrealized Losses	$ (201,427,000)	$ (124,455,000)
Agency MBS
Investment Holdings [Line Items]
Gross Unrealized Losses	(2,000,000)	0
Non-Agency RMBS
Investment Holdings [Line Items]
Gross Unrealized Losses	$ (18,000,000)	$ (506,000)

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 4,890	$ 508	$ 213	$ 180
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	851	7	2,443	475
Allowance on purchased financial assets with credit deterioration	0	0	0	0
Reductions for the securities sold during the period	0	0	0	0
Increase/(decrease) on securities with an allowance in the prior period	(2,385)	(544)	636	(721)
Write-offs charged against the allowance	(1)	(23)	(77)	(86)
Recoveries of amounts previously written off	0	174	140	274
Ending allowance for credit losses	$ 3,355	$ 122	$ 3,355	$ 122

Mortgage-Backed Securities - Si

Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) $ in Thousands	Sep. 30, 2022 USD ($)	Dec. 31, 2021 USD ($)
Investment Holdings [Line Items]
Amortized Cost	$ 1,574,349	$ 2,203,941
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	542,765	616,487
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly
Investment Holdings [Line Items]
Amortized Cost	$ 52,377	$ 6,941
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.069	0.024
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.028	0.051
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.381	0.609
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Amortized Cost	$ 343,946	$ 575,768
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly
Investment Holdings [Line Items]
Amortized Cost	$ 49,765	$ 1
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.085	0.100
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.005	0.003
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.394	0.300

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($)	Sep. 30, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 264,578,000	$ 405,560,000
Gross Unrealized Gain Included in Cumulative Earnings	23,607,000	147,070,000
Total Gross Unrealized Gain	288,185,000	552,630,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(20,374,000)	(506,000)
Gross Unrealized Loss Included in Cumulative Earnings	(181,053,000)	(123,949,000)
Total Gross Unrealized Loss	(201,427,000)	(124,455,000)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Total Gross Unrealized Gain	251,616,000	369,913,000
Total Gross Unrealized Loss	(6,258,000)	(506,000)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Total Gross Unrealized Gain	18,980,000	99,240,000
Total Gross Unrealized Loss	(52,624,000)	(22,982,000)
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Total Gross Unrealized Gain	15,459,000	36,512,000
Total Gross Unrealized Loss	(85,733,000)	(55,241,000)
Agency RMBS - Interest-only
Investment Holdings [Line Items]
Total Gross Unrealized Gain	479,000	0
Total Gross Unrealized Loss	(29,377,000)	(42,447,000)
Agency MBS - Commercial
Investment Holdings [Line Items]
Total Gross Unrealized Gain	0	43,921,000
Total Gross Unrealized Loss	(11,845,000)	0
Agency CMBS - Interest-only
Investment Holdings [Line Items]
Total Gross Unrealized Gain	1,651,000	3,044,000
Total Gross Unrealized Loss	(15,590,000)	(3,279,000)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	251,616,000	369,913,000
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	251,616,000	369,913,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(4,729,000)	(506,000)
Gross Unrealized Loss Included in Cumulative Earnings	(1,529,000)	0
Total Gross Unrealized Loss	(6,258,000)	(506,000)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	12,962,000	33,587,000
Gross Unrealized Gain Included in Cumulative Earnings	6,018,000	65,653,000
Total Gross Unrealized Gain	18,980,000	99,240,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(13,566,000)	0
Gross Unrealized Loss Included in Cumulative Earnings	(39,058,000)	(22,982,000)
Total Gross Unrealized Loss	(52,624,000)	(22,982,000)
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	15,459,000	36,512,000
Total Gross Unrealized Gain	15,459,000	36,512,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(85,733,000)	(55,241,000)
Total Gross Unrealized Loss	(85,733,000)	(55,241,000)
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	479,000	0
Total Gross Unrealized Gain	479,000	0
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(29,377,000)	(42,447,000)
Total Gross Unrealized Loss	(29,377,000)	(42,447,000)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	2,060,000
Gross Unrealized Gain Included in Cumulative Earnings	0	41,861,000
Total Gross Unrealized Gain	0	43,921,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(2,079,000)	0
Gross Unrealized Loss Included in Cumulative Earnings	(9,766,000)	0
Total Gross Unrealized Loss	(11,845,000)	0
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	1,651,000	3,044,000
Total Gross Unrealized Gain	1,651,000	3,044,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(15,590,000)	(3,279,000)
Total Gross Unrealized Loss	(15,590,000)	(3,279,000)
Agency MBS
Investment Holdings [Line Items]
Total Gross Unrealized Loss	$ (2,000,000)	$ 0

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 9,279,044	$ 10,166,068
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	1,171,759	1,283,788
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	506,901	845,432
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	3,363,236	3,904,665
Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	1,229,240	992,978
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	303,369	560,565
Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,704,539	2,578,640
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)		$ 1,283,788
Weighted Average Amortized Cost Basis (in dollars per share)	$ 46.17	$ 48.02
Weighted Average Fair Value (in dollars per share)	$ 67.11	$ 76.78
Weighted Average Coupon	5%	4.50%
Weighted Average Yield at Period-End	16.80%	18%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)		$ 845,432
Weighted Average Amortized Cost Basis (in dollars per share)	$ 67.54	$ 68.10
Weighted Average Fair Value (in dollars per share)	$ 60.90	$ 77.12
Weighted Average Coupon	4.60%	3.80%
Weighted Average Yield at Period-End	6.90%	7.10%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 3,363,236	$ 3,904,665
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.95	$ 4.90
Weighted Average Fair Value (in dollars per share)	$ 2.86	$ 4.42
Weighted Average Coupon	1%	1.70%
Weighted Average Yield at Period-End	7.40%	13.20%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)		$ 992,978
Weighted Average Amortized Cost Basis (in dollars per share)	$ 5.48	$ 10.37
Weighted Average Fair Value (in dollars per share)	$ 3.13	$ 6.09
Weighted Average Coupon	0.80%	1.30%
Weighted Average Yield at Period-End	1.60%	0.30%
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)		$ 560,565
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.89	$ 101.77
Weighted Average Fair Value (in dollars per share)	$ 97.99	$ 109.61
Weighted Average Coupon	4.30%	4.30%
Weighted Average Yield at Period-End	4.10%	4.10%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)		$ 2,578,640
Weighted Average Amortized Cost Basis (in dollars per share)	$ 5.35	$ 5.70
Weighted Average Fair Value (in dollars per share)	$ 4.83	$ 5.69
Weighted Average Coupon	0.70%	0.70%
Weighted Average Yield at Period-End	3.80%	4.60%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Fair value
Less than one year, at fair value	$ 27,571	$ 18,512
Greater than one year and less than five years, at fair value	341,960	710,866
Greater than five years and less than ten years, at fair value	510,618	689,249
Greater than ten years, at fair value	777,603	1,213,276
Total maturities, at fair value	1,657,752	2,631,903
Amortized cost
Less than one year, at amortized cost	27,263	40,042
Greater than one year and less than five years, at amortized cost	363,961	606,616
Greater than five years and less than ten years, at amortized cost	458,031	562,909
Greater than ten years, at amortized cost	725,094	994,374
Amortized Cost	1,574,349	2,203,941
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	14,897	3,186
Greater than one year and less than five years, at fair value	164,597	279,222
Greater than five years and less than ten years, at fair value	295,320	318,684
Greater than ten years, at fair value	311,564	384,590
Total maturities, at fair value	786,378	985,682
Amortized cost
Less than one year, at amortized cost	5,197	2,349
Greater than one year and less than five years, at amortized cost	138,794	194,506
Greater than five years and less than ten years, at amortized cost	189,007	190,030
Greater than ten years, at amortized cost	209,767	229,602
Amortized Cost	542,765	616,487
Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	4,175	3,303
Greater than one year and less than five years, at fair value	7,683	149,089
Greater than five years and less than ten years, at fair value	122,733	276,979
Greater than ten years, at fair value	174,101	222,654
Total maturities, at fair value	308,692	652,025
Amortized cost
Less than one year, at amortized cost	1,428	1
Greater than one year and less than five years, at amortized cost	5,250	129,063
Greater than five years and less than ten years, at amortized cost	133,297	244,103
Greater than ten years, at amortized cost	203,971	202,601
Amortized Cost	343,946	575,768
Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	140	2,300
Greater than one year and less than five years, at fair value	33,929	140,558
Greater than five years and less than ten years, at fair value	59,298	29,642
Greater than ten years, at fair value	2,861	1
Total maturities, at fair value	96,228	172,501
Amortized cost
Less than one year, at amortized cost	11,937	27,764
Greater than one year and less than five years, at amortized cost	69,251	140,757
Greater than five years and less than ten years, at amortized cost	74,880	22,648
Greater than ten years, at amortized cost	10,434	61
Amortized Cost	166,502	191,230
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	5,203	0
Greater than five years and less than ten years, at fair value	33,267	60,487
Greater than ten years, at fair value	0	0
Total maturities, at fair value	38,470	60,487
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	6,521	0
Greater than five years and less than ten years, at amortized cost	60,847	102,934
Greater than ten years, at amortized cost	0	0
Amortized Cost	67,368	102,934
Agency MBS - Commercial
Fair value
Less than one year, at fair value	8,182	8,388
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	289,077	606,031
Total maturities, at fair value	297,259	614,419
Amortized cost
Less than one year, at amortized cost	8,182	8,388
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	300,922	562,110
Amortized Cost	309,104	570,498
Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	177	1,335
Greater than one year and less than five years, at fair value	130,548	141,997
Greater than five years and less than ten years, at fair value	0	3,457
Greater than ten years, at fair value	0	0
Total maturities, at fair value	130,725	146,789
Amortized cost
Less than one year, at amortized cost	519	1,540
Greater than one year and less than five years, at amortized cost	144,145	142,290
Greater than five years and less than ten years, at amortized cost	0	3,194
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 144,664	$ 147,024

Mortgage-Backed Securities - Lo

Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS	Sep. 30, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	12%	14.50%
Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1.20%	1.30%
Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.10%	2.60%
REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	0.60%	0.40%
30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	2.80%	3.40%
60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	1%	1.30%
90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
% of Unpaid Principal Balance	3.30%	5.50%

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Collateral Characteristics of Non-Agency Residential MBS (Details) - Non-Agency RMBS - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Weighted average maturity (years)	19 years 7 months 6 days	21 years 4 months 24 days
Weighted average amortized loan to value	58.70%	60.30%
Weighted average FICO	712	706
Weighted average loan balance (in thousands)	$ 259	$ 259
Weighted average percentage owner-occupied	84.50%	84%
Weighted average percentage single family residence	61.60%	62.70%
Weighted average current credit enhancement	1.10%	1.20%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	32.40%	31.20%
NY
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	11.10%	10.40%
FL
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	7.80%	8%
NJ
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	4.60%	4.60%

Mortgage-Backed Securities - Pe

Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS	Sep. 30, 2022	Dec. 31, 2021
Origination Year as a Percentage of Outstanding Principal Balance:
2003 and prior	1.20%	1.40%
2004	1%	1.20%
2005	8.70%	8.60%
2006	46%	53.70%
2007	30.80%	25.30%
2008 and later	12.30%	9.80%
Total	100%	100%

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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Investment Holdings [Line Items]
Net realized gain (loss)	$ (37,031)	$ 0	$ (37,031)	$ 45,313
Non-Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	0	0	0	47,877
Gross realized gains:	0	0	0	37,742
Gross realized losses:	0	0	0	(4,955)
Agency MBS - Residential
Investment Holdings [Line Items]
Proceeds from sales:	18,378	0	18,378	626
Gross realized losses:	(37,031)	0	(37,031)	(1,209)
Agency MBS - Project Loans
Investment Holdings [Line Items]
Proceeds from sales:		0	0	201,037
Gross realized gains:	$ 0	$ 0	$ 0	$ 13,735

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Details) - USD ($)	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Sep. 30, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 12,300,000,000	$ 12,300,000,000	$ 11,400,000,000
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Purchases			450,000,000
Retained balance	0	0	25,000,000
Seasoned Subprime Residential Mortgage Loans | Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loans 90 or more days past due	$ 705,000,000	$ 705,000,000	$ 830,000,000

Loans Held for Investment - Cha

Loans Held for Investment - Changes in Carrying Value of Securitized Loans Held For Investment Carried at Fair Value (Details) - Loans Held for Investment at Fair Value - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	9 Months Ended		12 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 12,261,926	$ 13,112,129	$ 13,112,129
Transfer due to consolidation	1,047,838	$ 0	0
Purchases	1,625,222		3,364,609
Principal paydowns	(1,764,067)		(2,652,767)
Sales and settlements	(3,586)		(1,679,280)
Net periodic accretion (amortization)	(57,434)		(79,368)
Change in fair value	(1,402,600)		196,603
Balance, end of period	$ 11,707,299		$ 12,261,926

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, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	6.20%	6.60%
2003	5.30%	5.70%
2004	10.20%	11.70%
2005	17%	18.60%
2006	21%	22.70%
2007	22.10%	22.60%
2008	6.70%	6.20%
2009	1.50%	1.20%
2010 and later	10%	4.70%
Total	100%	100%
Underlying mortgages excluded from portfolio	$ 687	$ 437

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, 2022 USD ($) loan	Dec. 31, 2021 USD ($) loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	115,248	114,946
Weighted average maturity (years)	20 years 8 months 12 days	19 years 3 months 18 days
Weighted average loan to value	82.60%	84.20%
Weighted average FICO	654	656
Weighted average loan balance (in thousands)	$ 102	$ 96
Weighted average percentage owner-occupied	87.50%	88.80%
Weighted average percentage single family residence	80.40%	82.20%
Underlying mortgages excluded from portfolio	$ 687,000	$ 437,000
CA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	14.50%	13.90%
NY
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.70%	8%
FL
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.40%	8.10%
PA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.70%	4.80%
VA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.40%	4.80%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid principal balance	$ 11,794,116	$ 11,082,096
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	687,000	437,000
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 2,021,643	$ 2,273,654
% of Unpaid Principal Balance	17.20%	20.70%
Residential Portfolio Segment | Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 217,730	$ 215,669
% of Unpaid Principal Balance	1.80%	1.90%
Residential Portfolio Segment | Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 401,387	$ 260,888
% of Unpaid Principal Balance	3.40%	2.40%
Residential Portfolio Segment | REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 30,869	$ 27,712
% of Unpaid Principal Balance	0.30%	0.30%
Residential Portfolio Segment | 30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 716,864	$ 959,481
% of Unpaid Principal Balance	6.10%	8.70%
Residential Portfolio Segment | 60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 235,250	$ 227,593
% of Unpaid Principal Balance	2%	2.10%
Residential Portfolio Segment | 90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 419,543	$ 582,311
% of Unpaid Principal Balance	3.60%	5.30%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2022 USD ($) loan	Sep. 30, 2022 USD ($) loan	Dec. 31, 2021 USD ($) loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	$ 11,707,299	$ 11,707,299	$ 12,261,926
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	11,707,299	11,707,299	12,261,926
Level 3 | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	11,471,225	11,471,225	12,032,299
Level 2 | Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans held for investment, at fair value	236,074	236,074	$ 229,627
Investments with Difference Between Model Price and Third-Party Price | Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price, assets	$ 164	$ 164
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	3	3	7
Excess (deficit) of third party prices over internally developed price, assets	$ (510)	$ (510)	$ 8,000
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	$ 69,000	$ 69,000	97,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt
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	$ 11,800	$ 11,800
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	$ 8,700	$ 8,700	$ 50,000
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	4	4	3
Assets, fair value disclosure	$ 1,400,000	$ 1,400,000	$ 3,500,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price, assets	11,600	11,600
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	9,200	9,200	42,000
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	1,300,000	1,300,000	3,400,000
Non-Agency RMBS | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3		0	0
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	$ 0	$ 0	$ 272,000

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	Sep. 30, 2022	Dec. 31, 2021
Assets:
Unpaid Principal/ Notional	$ 9,279,044	$ 10,166,068
Loans held for investment, fair value	11,707,299	12,261,926
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,354,311	7,726,043
Non-Agency RMBS | Senior
Assets:
Unpaid Principal/ Notional	18,890	0
Fair Value	17,374	0
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	322,086	653,616
Fair Value	196,759	500,288
Non-Agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	3,363,236	3,904,665
Fair Value	96,228	172,501
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,229,240	992,978
Fair Value	38,470	60,487
Agency MBS - Project Loans
Assets:
Unpaid Principal/ Notional	303,369	560,565
Agency MBS - Project Loans | Interest-only
Assets:
Unpaid Principal/ Notional	2,704,539	2,578,640
Fair Value	130,725	146,789
Agency MBS - Project Loans | Project loans
Assets:
Unpaid Principal/ Notional	268,609	499,186
Fair Value	263,865	549,529
Loans held for investment
Assets:
Loans held for investment, Unpaid Principal/Notional	12,481,055	11,519,255
Loans held for investment, fair value	11,707,299	12,261,926
Securitized debt
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	8,096,536	7,762,864
Securitized debt at fair value, collateralized by loans held for investment, Fair value	$ 7,354,311	$ 7,726,043

Fair Value Measurements - Impac

Fair Value Measurements - Impact of Change in Fair Value on Each of the Financial Instruments Carried at Fair Value (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Non-Agency RMBS | Senior
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ (144)	$ 0	$ (1,529)	$ 0
Non-Agency RMBS | Subordinated
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(30,295)	23,228	(75,569)	56,638
Non-Agency RMBS | Senior, interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(15,948)	630	(51,546)	(26,941)
Agency MBS - Residential | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	23,472	(7,134)	13,548	(12,460)
Agency MBS - Project Loans | Interest-only
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(4,870)	(463)	(13,704)	1,777
Agency MBS - Project Loans | Project loans
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(16,595)	(17,129)	(51,627)	(72,013)
Loans held for investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(353,650)	248,244	(1,402,683)	348,971
Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ 158,517	$ (7,852)	$ 679,133	$ 249,671

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, 2022	Dec. 31, 2021
Assets:
Non-Agency RMBS, at fair value	$ 1,191,298	$ 1,810,208
Agency RMBS, at fair value	38,470	60,487
Agency CMBS, at fair value	427,984	761,208
Loans held for investment, at fair value	11,707,299	12,261,926
Derivatives, at fair value	4,389	0
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,354,311	7,726,043
Derivative liabilities, at fair value	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	1,191,298	1,810,208
Agency RMBS, at fair value	38,470	60,487
Agency CMBS, at fair value	427,984
Loans held for investment, at fair value	11,707,299	12,261,926
Counterparty and Cash Collateral, netting	(10,970)
Derivatives, at fair value	4,389
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,354,311	7,726,043
Counterparty and Cash Collateral, netting	(470)
Derivative liabilities, at fair value	0
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
Derivatives, at fair value	0
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Derivatives	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value	0	0
Agency RMBS, at fair value	38,470	60,487
Agency CMBS, at fair value	427,984	761,208
Loans held for investment, at fair value	236,074	229,627
Derivatives, at fair value	15,359
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Derivatives	470
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	1,191,298	1,810,208
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	11,471,225	12,032,299
Derivatives, at fair value	0
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,354,311	$ 7,726,043
Derivatives	$ 0

Fair Value Measurements - Chang

Fair Value Measurements - Changes in the Fair Value of Securities Classified as Level 3 (Details) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended	12 Months Ended
	Sep. 30, 2022	Sep. 30, 2022	Dec. 31, 2021
Securitized Debt | Variable Interest Entities, Primary Beneficiary | Level 3
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3		$ 7,726,043	$ 8,711,677
Securitized Debt, Transfers in to Level 3 assets		0	0
Securitized Debt, Transfers out of Level 3 assets		0	0
Securitized Debt, Transfer due to consolidation		774,514
Securitized Debt, Purchases of assets/ issuance of debt		1,029,050	5,521,953
Securitized Debt, Principal payments		(1,498,635)	(2,247,983)
Securitized Debt, Sales and Settlements		0	(4,192,295)
Securitized Debt, Net accretion (amortization)		2,464	12,010
Securitized Debt, Other than temporary credit impairment losses		0	0
Securitized Debt, Realized gains (losses) on sales and settlements		0	258,903
Securitized Debt, Net unrealized gains (losses) included in income		(679,125)	(338,222)
Securitized Debt, Gains (losses) included in other comprehensive income		0	0
Securitized Debt, Ending balance, Level 3	$ 7,354,311	7,354,311	7,726,043
Non-Agency RMBS | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		1,810,208	2,150,714
Transfers into Level 3		0	0
Transfers out of Level 3		0	0
Transfer due to consolidation		(218,276)
Purchases of assets/ issuance of debt		23,187	34,656
Principal payments		(159,149)	(299,330)
Sales and settlements		0	(47,674)
Net accretion (amortization)		24,026	57,473
Gains (losses) included in net income
(Increase) decrease in provision for credit losses		(3,201)	(33)
Realized gains (losses) on sales and settlements		0	32,807
Net unrealized gains (losses) included in income		(128,644)	31,358
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period		(156,853)	(149,763)
Ending balance Level 3	1,191,298	1,191,298	1,810,208
Loans held for investment
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Transfers out of Level 3	0	0	(272,000)
Loans held for investment | Variable Interest Entities, Primary Beneficiary
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Sales and settlements		(3,586)	(1,679,280)
Gains (losses) included in net income
Net unrealized gains (losses) included in income		(1,402,600)	196,603
Loans held for investment | Variable Interest Entities, Primary Beneficiary | Level 3
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3		12,032,299	13,112,129
Transfers into Level 3		0	0
Transfers out of Level 3		0	(272,198)
Transfer due to consolidation		1,047,838
Purchases of assets/ issuance of debt		1,439,348	3,248,683
Principal payments		(1,587,269)	(2,495,015)
Sales and settlements		(3,585)	(1,679,280)
Net accretion (amortization)		(57,717)	(79,223)
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		(1,399,689)	197,203
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period		0	0
Ending balance Level 3	$ 11,471,225	$ 11,471,225	$ 12,032,299

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3	Sep. 30, 2022	Dec. 31, 2021
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.01
Discount Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	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	0.13	0.10
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.10
Discount Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.55	1
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.065	0.039
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.082	0.056
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.101	0.103
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	0.02	0.06
Prepay Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.02	0.06
Prepay Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.20	0.30
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.17	0.45
Prepay Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.35	0.55
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.081	0.114
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.096	0.178
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.124	0.249
CDR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.07	0.07
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	0.09	0.09
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.016	0.018
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.004	0.011
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.011	0.013
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	0.26
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.79	0.78
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.45	0.55
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.87	0.84
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.324	0.366
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.378	0.401
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.301	0.330

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, 2022	Dec. 31, 2021
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.01
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.07
Discount Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.063	0.026
Prepay Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.06
Prepay Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.18	0.20
Prepay Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.117	0.151
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	0.10	0.11
CDR | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.011	0.014
Loss Severity | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.30
Loss Severity | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.70	0.75
Loss Severity | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.493	0.561

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, 2022	Dec. 31, 2021
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.80%	6.10%
FICO	652	654
Loan-to-value (LTV)	83%	84%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	81%	83%
Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	3%	4%
Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	16%	13%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	89%	91%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	5%	3%
Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	6%	6%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.50%	3.10%
FICO	640	640
Loan-to-value (LTV)	87%	87%

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, 2022	Dec. 31, 2021
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 79,967	$ 87,999
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	2,820,931	3,261,613
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	79,967	87,999
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	2,827,976	3,265,577
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	55,952	$ 72,505
Equity method investments	$ 27,907

Secured Financing Agreements -

Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2022	Dec. 31, 2021
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 2,820,931	$ 3,261,613
Margin cash collateral pledged to repurchase agreement counterparties	$ 55,642	19,078
Decrease in share price (as a percent)	50%
Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Unused warehouse credit facilities	$ 2,000,000
Minimum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	30 days
Maximum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility	1 year
Not Subject to Additional Margin Requirements Upon Change in Fair Value of Collateral Pledged
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 737,000	1,200,000
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 476,000	$ 113,000

Secured Financing Agreements _2

Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	$ 2,820,931	$ 3,261,613
Debt issuance costs, net		3,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	2,820,931	3,261,613
Average balance of Secured financing agreements secured by:	3,203,311	3,937,929
Repurchase Agreements | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements	3,717,510	4,393,350
Repurchase Agreements | Agency RMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	6,141	23,170
Average balance of Secured financing agreements secured by:	$ 14,024	$ 47,155
Average borrowing rate of Secured financing agreements secured by:	3.10%	0.68%
Average remaining maturity of Secured financing agreements secured by:	18 days	4 days
Average original maturity of Secured financing agreements secured by:	92 days	61 days
Repurchase Agreements | Agency RMBS | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements	$ 8,048	$ 28,320
Repurchase Agreements | Agency MBS - Project Loans
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	368,554	589,535
Average balance of Secured financing agreements secured by:	$ 382,806	$ 963,894
Average borrowing rate of Secured financing agreements secured by:	3.12%	0.21%
Average remaining maturity of Secured financing agreements secured by:	24 days	13 days
Average original maturity of Secured financing agreements secured by:	35 days	35 days
Repurchase Agreements | Agency MBS - Project Loans | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements	$ 395,286	$ 617,457
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding secured by:	2,446,236	2,648,908
Average balance of Secured financing agreements secured by:	$ 2,806,481	$ 2,926,880
Average borrowing rate of Secured financing agreements secured by:	5.03%	2.78%
Average remaining maturity of Secured financing agreements secured by:	301 days	257 days
Average original maturity of Secured financing agreements secured by:	327 days	283 days
Repurchase Agreements | Non-agency MBS and Loans held for investment | Asset Pledged as Collateral
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Secured financing agreements	$ 3,314,176	$ 3,747,573

Secured Financing Agreements _3

Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	$ 2,820,931	$ 3,261,613
Debt issuance costs, net		3,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	2,820,931	3,261,613
Repurchase Agreements | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	425,202	1,018,670
Repurchase Agreements | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	434,926	379,031
Repurchase Agreements | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	181,282	342,790
Repurchase Agreements | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	146,780	67,840
Repurchase Agreements | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	546,867	157,944
Repurchase Agreements | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	596,387	895,210
Repurchase Agreements | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	0	143,239
Repurchase Agreements | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	489,487	0
Repurchase Agreements | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	$ 0	$ 256,889
Repurchase Agreements | Weighted Average Borrowing Rates
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.77%	2.30%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.84%	0.73%
Repurchase Agreements | Weighted Average Borrowing Rates | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.40%	1.66%
Repurchase Agreements | Weighted Average Borrowing Rates | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.26%	1.86%
Repurchase Agreements | Weighted Average Borrowing Rates | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.36%	1.66%
Repurchase Agreements | Weighted Average Borrowing Rates | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.18%	1.38%
Repurchase Agreements | Weighted Average Borrowing Rates | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.67%	3.70%
Repurchase Agreements | Weighted Average Borrowing Rates | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		3.05%
Repurchase Agreements | Weighted Average Borrowing Rates | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.79%
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%
Repurchase Agreements | Minimum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.77%	0.11%
Repurchase Agreements | Minimum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.74%	1.55%
Repurchase Agreements | Minimum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	2.45%	0.90%
Repurchase Agreements | Minimum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.63%	1.66%
Repurchase Agreements | Minimum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.98%	0.95%
Repurchase Agreements | Minimum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.33%	1.95%
Repurchase Agreements | Minimum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		3.05%
Repurchase Agreements | Minimum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.79%
Repurchase Agreements | Minimum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		5.56%
Repurchase Agreements | Maximum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.11%	1.95%
Repurchase Agreements | Maximum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.13%	1.70%
Repurchase Agreements | Maximum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.93%	2.35%
Repurchase Agreements | Maximum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.96%	1.66%
Repurchase Agreements | Maximum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.06%	1.45%
Repurchase Agreements | Maximum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.33%	4.38%
Repurchase Agreements | Maximum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		3.05%
Repurchase Agreements | Maximum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.79%
Repurchase Agreements | Maximum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)		5.56%

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 0	$ (25,622,000)	$ (2,897,000)	$ (284,535,000)
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 110,000,000		$ 110,000,000		$ 113,000,000
Weighted average cost of financing (as a percent)	6.70%		6.70%		6.70%
Acquired securitized debt collateral outstanding principal balance		189,000,000		3,900,000,000
Repurchase of non retained secured debt		193,000,000		4,200,000,000
Gains (losses) on extinguishment of debt		$ (4,000,000)		$ (260,000,000)
Variable Interest Entities, Primary Beneficiary | Securitized debt | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 8,100,000,000		$ 8,100,000,000		$ 7,800,000,000
Weighted average cost of financing (as a percent)	2.70%		2.70%		2.40%
Acquired securitized debt collateral outstanding principal balance	$ 0		$ 0

Securitized Debt - Maturities o

Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,799,830	$ 2,031,445
One to Three Years	2,705,792	2,886,255
Three to Five Years	1,767,557	1,697,760
Greater Than Five Years	1,821,698	1,145,995
Total	8,094,877	7,761,455
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	751	4,374
One to Three Years	533	2,361
Three to Five Years	88	949
Greater Than Five Years	84	82
Total	$ 1,456	$ 7,766

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands	Sep. 30, 2022 USD ($)
Debt Instrument, Redemption [Line Items]
Currently callable	$ 1,222,913
2022	382,093
2023	1,436,331
2024	1,274,530
2025	1,939,919
2026	246,769
2027	871,390
Total	$ 7,373,945

Long Term Debt (Details)

Long Term Debt (Details) - Convertible Senior Notes due 2023 - Convertible Debt - USD ($)	3 Months Ended	9 Months Ended
	Sep. 30, 2021	Sep. 30, 2021	Dec. 31, 2021	Apr. 30, 2020
Debt Instrument [Line Items]
Long-term financing agreements, interest rate (as a percent)				7%
Outstanding amount of debt			$ 0
Interest expense	$ 238,000	$ 2,000,000

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Millions	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 865		$ 865		$ 1,200
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	910		910		1,400
Non-Agency RMBS | Minimum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	1		1		1
Non-Agency RMBS | Maximum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	21		21		$ 220
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases	$ 370	$ 450	$ 2,500	$ 6,000

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, 2022	Jun. 30, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Dec. 31, 2020
Assets:
Non-Agency RMBS, at fair value		$ 1,191,298		$ 1,810,208
Loans held for investment, at fair value		11,707,299		12,261,926
Accrued interest receivable		69,330		69,513
Other assets		130,198		58,320
Assets	[1]	13,669,320		15,407,403
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		79,967		87,999
Securitized debt at fair value, collateralized by Loans held for investment		7,354,311		7,726,043
Accrued interest payable		25,773		20,416
Other liabilities		26,654		11,574
Liabilities	[1]	11,015,616		11,671,212
Allowance for credit losses		3,355	$ 4,890	213	$ 122	$ 508	$ 180
Non-Agency RMBS
Liabilities:
Allowance for credit losses		3,000		213
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value		281,055		399,048
Loans held for investment, at fair value		10,437,514		10,205,587
Accrued interest receivable		53,259		47,237
Other assets		18,177		14,719
Assets		10,790,005		10,666,591
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		79,967		87,999
Securitized debt at fair value, collateralized by Loans held for investment		6,905,913		7,118,374
Accrued interest payable		17,526		15,101
Other liabilities		2,311		2,181
Liabilities		7,005,717		$ 7,223,655
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS
Liabilities:
Allowance for credit losses		$ 1,000
[1]The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or V IEs, 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, 2022, and December 31, 2021, total assets of consolidate d VIEs were $10,790,005 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $7,005,717 and $7,223,655, 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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Variable Interest Entity [Line Items]
Net interest income	$ 104,839	$ 149,226	$ 359,432	$ 456,355
(Increase) decrease in provision for credit losses			(3,203)	58
Servicing fees	8,516	9,297	27,122	27,659
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
(Increase) decrease in provision for credit losses	2,284	(365)	(859)	(117)
Servicing fees	6,701	6,561	20,256	20,244
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	139,598	138,984	410,873	446,198
Interest expense, Non-recourse liabilities of VIEs	50,030	43,525	142,714	159,666
Net interest income	$ 89,568	$ 95,459	$ 268,159	$ 286,532

Derivative Instruments - Additi

Derivative Instruments - Additional Information (Details) $ in Thousands	3 Months Ended	9 Months Ended
	Jun. 30, 2022 USD ($)	Sep. 30, 2022 USD ($) swap
Derivative [Line Items]
Notional amount		$ 1,885,000
Derivative termination provision, stockholders' equity threshold		$ 1,000,000
Derivative termination provision, leverage ratio		12
Swaptions
Derivative [Line Items]
Length of contract	1 year
Notional amount	$ 1,000,000	$ 1,000,000
Strike rate	3.26%
Derivative interest rate	3.26%
Premium paid for swaption contract	$ 6,000
Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 885,000
Number of interest rate swaps | swap		2
Derivative weighted average pay rate		3.94%
Derivative weighted average receive rate		2.98%
Derivative weighted average maturity		3 years
Interest Rate Swaps | Minimum
Derivative [Line Items]
Derivative remaining maturity		2 years
Interest Rate Swaps | Maximum
Derivative [Line Items]
Derivative remaining maturity		5 years

Derivative Instruments - Fair V

Derivative Instruments - Fair Value of Reported Derivatives (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Jun. 30, 2022	Dec. 31, 2021
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 1,885,000
Derivative assets, at fair value	4,389		$ 0
Derivative liabilities, at fair value	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	885,000
Derivative assets, at fair value	4,187
Derivative liabilities, at fair value	0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,000,000	$ 1,000,000
Derivative assets, at fair value	202
Derivative liabilities, at fair value	$ 0

Derivative Instruments - Effect

Derivative Instruments - Effect of the Company’s Derivatives on the Consolidated Statements of Operations (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 10,307	$ 0	$ 8,689	$ 0
Periodic interest cost of swaps, net	(122)	0	(122)	0
Net gains (losses) on derivatives	10,185	0	8,567	0
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	3,718	0	3,718	0
Periodic interest cost of swaps, net	(122)	0	(122)	0
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 6,589	$ 0	$ 4,971	$ 0

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021	Oct. 30, 2021
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,438,000	$ 18,438,000	$ 55,283,000	$ 55,313,000
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 3,000,000	$ 3,000,000	$ 9,000,000	$ 9,000,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Preferred stock, shares outstanding (shares)	5,800,000		5,800,000		5,800,000	5,800,000
Preferred Stock, liquidation preference	$ 145,000		$ 145,000		$ 145,000	$ 145,000,000
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 7,000,000	$ 7,000,000	$ 20,000,000	$ 20,000,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Preferred stock, shares outstanding (shares)	13,000,000		13,000,000		13,000,000
Preferred Stock, liquidation preference	$ 325,000		$ 325,000		$ 325,000
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 5,000,000	$ 5,000,000	$ 15,000,000	$ 15,000,000
Preferred stock dividends declared (in USD per share)	$ 0.484375	$ 0.484375	$ 1.453125	$ 1.453125
Preferred stock, shares outstanding (shares)	10,400,000		10,400,000		10,400,000
Preferred Stock, liquidation preference	$ 260,000		$ 260,000		$ 260,000
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 4,000,000	$ 4,000,000	$ 12,000,000	$ 12,000,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Preferred stock, shares outstanding (shares)	8,000,000		8,000,000		8,000,000
Preferred Stock, liquidation preference	$ 200,000		$ 200,000		$ 200,000

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Details) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021	Feb. 28, 2022	Feb. 28, 2021
Class of Stock [Line Items]
Stock repurchase program, authorized amount						$ 250,000,000
Stock repurchased during period (in shares)	0	0	5,400,000	161,000
Stock repurchased during period, average price (in dollars per share)			$ 9.10	$ 11.39
Stock repurchased during period			$ 48,886,000	$ 1,828,000
Stock repurchased during period			48,886,000	1,828,000
Remaining authorized repurchase amount	$ 177,000,000		177,000,000
Common dividends declared	$ 55,525,000	$ 79,268,000	$ 211,933,000	$ 228,284,000
Dividends declared per share of common stock (usd per share)	$ 0.23	$ 0.33	$ 0.89	$ 0.96
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 56,000,000	$ 79,000,000	$ 212,000,000	$ 228,000,000
Sales Agreements
Class of Stock [Line Items]
Aggregate offering price					$ 500,000,000

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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Numerator:
Net income (loss) available to common shareholders - Basic	$ (204,583)	$ 313,030	$ (665,549)	$ 597,067
Effect of dilutive securities:	0	238	0	2,274
Net income (loss) available to common shareholders - Diluted	$ (204,583)	$ 313,268	$ (665,549)	$ 599,341
Denominator:
Weighted average basic shares (shares)	231,750,422	235,887,296	234,671,912	232,717,010
Effect of dilutive securities (shares)		4,475,306	0	14,641,813
Weighted average dilutive shares (shares)	231,750,422	240,362,602	234,671,912	247,358,823
Net income (loss) per average share attributable to common stockholders - Basic (usd per share)	$ (0.88)	$ 1.33	$ (2.84)	$ 2.57
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share)	$ (0.88)	$ 1.30	$ (2.84)	$ 2.42

Capital Stock - Dilutive Securi

Capital Stock - Dilutive Securities (Details) - shares	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Equity [Abstract]
Securities excluded from computation of EPS (in shares)	2,400,000	0	2,400,000	154,000

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, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
AOCI [Roll Forward]
Beginning Balance	$ 2,972,999	$ 3,627,431	$ 3,736,191	$ 3,779,386
OCI before reclassifications			(160,850)	(82,065)
Amounts reclassified from AOCI			0	(37,116)
Other comprehensive income (loss)	(61,526)	(17,198)	(160,850)	(119,181)
Ending Balance	2,653,704	3,848,548	2,653,704	3,848,548
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance			405,054	558,096
OCI before reclassifications			(160,850)	(82,065)
Amounts reclassified from AOCI			0	(37,116)
Other comprehensive income (loss)			(160,850)	(119,181)
Ending Balance	244,204	438,915	244,204	438,915
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	305,730	456,113	405,054	558,096
Other comprehensive income (loss)	(61,526)	(17,198)	(160,850)	(119,181)
Ending Balance	$ 244,204	$ 438,915	$ 244,204	$ 438,915

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Narrative (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021
Accumulated Other Comprehensive Income (Loss) [Line Items]
Amounts reclassified from AOCI	$ 0	$ 37,116
Unrealized gains (losses) on available-for-sale securities, net
Accumulated Other Comprehensive Income (Loss) [Line Items]
Amounts reclassified from AOCI	$ 0	$ 37,116

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details)	3 Months Ended				9 Months Ended
	Sep. 30, 2022 USD ($) shares	Mar. 31, 2022	Sep. 30, 2021 USD ($) shares	Mar. 31, 2021	Sep. 30, 2022 USD ($) installment shares	Sep. 30, 2021 USD ($) tranche shares	Dec. 31, 2021 shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common dividends declared	$ 2,000,000		$ 2,000,000		$ 5,000,000	$ 9,000,000
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	20,500
Maximum catch-up contribution if over the age of 50	6,500
Expense related to qualified plan	$ 95,000		$ 92,000		$ 423,000	$ 328,000
Maximum | 401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Employer matching contribution, percent of match	100%
Employer matching contribution, percent of employees' gross pay	6%
Stock Award Deferral Program
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of installments | installment					5
Restricted Stock | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period					3 years
Shares available for future grants (shares) | shares	1,000,000				1,000,000
Deferred Stock Units | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Awards reserved for future issuance (in shares) | shares	1,000,000				1,000,000		914,000
Dividend Equivalent Rights | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Awards reserved for future issuance (in shares) | shares	945,000				945,000		699,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period					3 years
Granted shares (shares) | shares	0		51,000		221,000	296,000
Grant date fair value			$ 1,000,000		$ 3,000,000	$ 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						1,000,000
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	0		0		128,000	182,000
Grant date fair value					$ 2,000,000	$ 2,000,000
Performance Share Units | Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage					0%
Performance Share Units | Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage					200%
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%
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%

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Income Tax Disclosure [Abstract]
Income tax expense (benefit)	$ 4	$ 1,323	$ 28	$ 5,146

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Secured financing agreements
Gross Amounts of Recognized  Assets (Liabilities)	$ (2,820,931)	$ (3,261,613)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Repurchase agreements outstanding	(2,820,931)	(3,261,613)
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	3,717,510	4,393,350
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	55,642	19,078
Net Amount	952,221	1,149,815
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	4,389	0
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0
Total Repurchase Agreements and Swaptions
Gross Amounts of Recognized  Assets (Liabilities)	(2,806,042)
Gross Amounts Offset in the Consolidated Statements of Financial Position	(10,500)
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,816,542)
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	3,717,510
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	68,444
Net Amount	969,412
Total Derivative Liabilities, Securities Sold and Securities Loaned
Gross Amounts of Recognized  Assets (Liabilities)		(3,261,613)
Gross Amounts Offset in the Consolidated Statements of Financial Position		0
Net Amounts Offset in the Consolidated Statements of Financial Position		(3,261,613)
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments		4,393,350
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged		19,078
Net Amount		$ 1,149,815
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	4,187
Gross Amounts Offset in the Consolidated Statements of Financial Position	0
Net Amounts Offset in the Consolidated Statements of Financial Position	4,187
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	5,679
Net Amount	9,866
Derivative Liability
Gross Amounts of Recognized  Assets (Liabilities)	(470)
Gross Amounts Offset in the Consolidated Statements of Financial Position	470
Net Amounts Offset in the Consolidated Statements of Financial Position	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	7,123
Net Amount	7,123
Swaptions
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	11,172
Gross Amounts Offset in the Consolidated Statements of Financial Position	(10,970)
Net Amounts Offset in the Consolidated Statements of Financial Position	202
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	0
Net Amount	202
Derivative Liability
Gross Amounts of Recognized  Assets (Liabilities)	0
Gross Amounts Offset in the Consolidated Statements of Financial Position	0
Net Amounts Offset in the Consolidated Statements of Financial Position	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	0
Net Amount	$ 0