Chimera Investment (CIM) 10-K 17 Feb 23 2022 FY Annual report Financial data

COVER PAGE

COVER PAGE - USD ($)	12 Months Ended
	Dec. 31, 2022	Jan. 31, 2023	Jun. 30, 2022
Entity Information [Line Items]
Document Type	10-K
Document Annual Report	true
Document Period End Date	Dec. 31, 2022
Current Fiscal Year End Date	--12-31
Document Transition Report	false
Entity File Number	1-33796
Entity Registrant Name	CHIMERA INVESTMENT CORPORATION
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-0630461
Entity Address, Address Line One	630 Fifth Avenue
Entity Address, Address Line Two	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 Well-known Seasoned Issuer	Yes
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
ICFR Auditor Attestation Flag	true
Entity Shell Company	false
Entity Public Float			$ 2,010,886,935
Entity Common Stock, Shares Outstanding (in shares)		231,826,520
Documents Incorporated by Reference	DOCUMENTS INCORPORATED BY REFERENCE Portions of the registrant’s definitive Proxy Statement for the 2023 Annual Meeting of Stockholders, which will be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report, are incorporated by reference into Part III.
Entity Central Index Key	0001409493
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	FY
Amendment Flag	false
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	CIM
Security Exchange Name	NYSE
Series A Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRA
Security Exchange Name	NYSE
Series B Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series B 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

Audit Information

Audit Information	12 Months Ended
	Dec. 31, 2022
Auditor Information [Abstract]
Auditor Firm ID	42
Auditor Name	Ernst & Young LLP
Auditor Location	New York, New York

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Dec. 31, 2022	Dec. 31, 2021
Cash and cash equivalents		$ 264,600	$ 385,741
Non-Agency RMBS, at fair value (net of allowance for credit losses of $7 million and $213 thousand, respectively)		1,147,481	1,810,208
Agency RMBS, at fair value		15,148	60,487
Agency CMBS, at fair value		415,796	761,208
Loans held for investment, at fair value		11,359,236	12,261,926
Accrued interest receivable		61,768	69,513
Other assets		133,866	58,320
Derivatives, at fair value		4,096	0
Total assets	[1]	13,401,991	15,407,403
Liabilities:
Secured financing agreements		3,434,765	3,261,613
Securitized debt, collateralized by Non-Agency RMBS ($276 million and $365 million pledged as collateral, respectively)		78,542	87,999
Securitized debt at fair value, collateralized by Loans held for investment ($10.0 billion and $11.0 billion pledged as collateral, respectively)		7,100,742	7,726,043
Payable for investments purchased		9,282	477,415
Accrued interest payable		30,696	20,416
Dividends payable		64,545	86,152
Accounts payable and other liabilities		16,616	11,574
Total liabilities	[1]	10,735,188	11,671,212
Commitments and Contingencies
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		4,318,388	4,359,045
Accumulated other comprehensive income		229,345	405,054
Cumulative earnings		4,038,942	4,552,008
Cumulative distributions to stockholders		(5,922,562)	(5,582,658)
Total stockholders' equity		2,666,803	3,736,191
Total liabilities and stockholders' equity		13,401,991	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 December 31, 2022, and December 31, 2021, total assets of consolidate d VIEs were $10,199,266 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $6,772,125 and $7,223,655, respectively. See Note 9 for further discussion.

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2022	Dec. 31, 2022	Dec. 31, 2021
Allowance for credit losses		$ 7,188,000	$ 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)		231,824,192	236,951,266
Common stock, shares outstanding (shares)		231,824,192	236,951,266
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		7,000,000	213,000
Non-Agency RMBS | Variable Interest Entities, Primary Beneficiary
Allowance for credit losses		2,000,000
Non-Agency RMBS | Asset Pledged as Collateral | Securitized Loans
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		276,000,000	365,000,000
Residential Mortgage-Backed Securities
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		374,000,000	0
Residential Mortgage-Backed Securities | Asset Pledged as Collateral
Liabilities:
MBS pledged as collateral at fair value on Secured financing agreements		4,700,000,000	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		$ 10,000,000,000	$ 11,000,000,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Net interest income:
Interest income	[1]	$ 773,121	$ 937,546	$ 1,030,250
Interest expense	[2]	333,293	326,628	516,181
Net interest income		439,828	610,918	514,069
Increase/(decrease) in provision for credit losses		7,037	33
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		(1,482)	0	201,000
Realized gains (losses) on terminations of interest rate swaps		(561)	0	(463,966)
Periodic interest cost of swaps, net		(1,752)	0	(41,086)
Net gains (losses) on derivatives		(3,795)	0	(304,052)
Net unrealized gains (losses) on financial instruments at fair value		(736,899)	437,357	(110,664)
Net realized gains (losses) on sales of investments		(76,473)	45,313	166,946
Gains (losses) on extinguishment of debt		(2,897)	(283,556)	(54,418)
Other investment gains (losses)		(1,866)	0	0
Total other gains (losses)		(821,930)	199,114	(302,188)
Other expenses:
Compensation and benefits		49,378	46,823	44,811
General and administrative expenses		22,651	22,246	22,914
Servicing and asset manager fees		36,005	36,555	39,896
Transaction expenses		16,146	29,856	15,068
Total other expenses		124,180	135,480	122,689
Income (loss) before income taxes		(513,319)	674,519	89,012
Income tax expense (benefit)		(253)	4,405	158
Net income (loss)		(513,066)	670,114	88,854
Dividends on preferred stock		73,765	73,764	73,750
Net income (loss) available to common shareholders		(586,831)	596,350
Net income (loss) available to common shareholders		$ (586,831)	$ 596,350	$ 15,104
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ (2.51)	$ 2.55	$ 0.07
Diluted (usd per share)		$ (2.51)	$ 2.44	$ 0.07
Weighted average number of common shares outstanding:
Basic (shares)		233,938,745	233,770,474	212,995,533
Diluted (shares)		233,938,745	245,496,926	226,438,341
[1]Includes interest income of consolidated VIEs of $551,253, $586,580, and $683,456 for the years ended December 31, 2022, 2021, and 2020, respectively. See accompanying notes to consolidated financial statements for further discussion.[2]Includes interest expense of consolidated VIEs of $197,823, $203,135, and $285,142 for the years ended December 31, 2022, 2021, and 2020, respectively.

CONSOLIDATED STATEMENTS OF OP_2

CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Interest income, Assets of consolidated VIEs	$ 551,253	$ 586,580	$ 683,456
Interest expense, Non-recourse liabilities of VIEs	$ 197,823	$ 203,135	$ 285,142

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Comprehensive income (loss):
Net income (loss)	$ (513,066)	$ 670,114	$ 88,854
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(175,709)	(115,926)	(94,136)
Reclassification adjustment for net realized losses (gains) included in net income	0	(37,116)	(56,104)
Other comprehensive income (loss)	(175,709)	(153,042)	(150,240)
Comprehensive income (loss) before preferred stock dividends	(688,775)	517,072	(61,386)
Dividends on preferred stock	73,765	73,764	73,750
Comprehensive income (loss) available to common stock shareholders	$ (762,540)	$ 443,308	$ (135,136)

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, 2019	$ 3,953,293	$ 1,873	$ 4,275,963	$ 708,336	$ 3,793,040	$ (4,826,291)		$ 58		$ 130		$ 104		$ 80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	88,854				88,854
Other comprehensive income (loss)	(150,240)			(150,240)
Repurchase of Common Stock	(22,066)	(15)	(22,051)
Settlement of warrants	313,298	494	312,804
Settlement of convertible debt	(33,750)	(47)	(33,703)
Stock based compensation	5,017	1	5,016
Common dividends declared	(301,270)					(301,270)
Preferred dividends declared	(73,750)					(73,750)
Ending Balance at Dec. 31, 2020	3,779,386	2,306	4,538,029	558,096	3,881,894	(5,201,311)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	670,114				670,114
Other comprehensive income (loss)	(153,042)			(153,042)
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	6,513	8	6,505
Common dividends declared	(307,583)					(307,583)
Preferred dividends declared	(73,764)					(73,764)	$ (12,000)		$ (26,000)		$ (20,000)		$ (16,000)
Ending 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)	(513,066)				(513,066)
Other comprehensive income (loss)	(175,709)			(175,709)
Repurchase of Common Stock	(48,886)	(54)	(48,832)
Stock based compensation	8,177	2	8,175
Common dividends declared	(266,139)					(266,139)
Preferred dividends declared	(73,765)					(73,765)	$ (12,000)		$ (26,000)		$ (20,000)		$ (16,000)
Ending Balance at Dec. 31, 2022	$ 2,666,803	$ 2,318	$ 4,318,388	$ 229,345	$ 4,038,942	$ (5,922,562)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Cash Flows From Operating Activities:
Net income (loss)	$ (513,066)	$ 670,114	$ 88,854
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	61,488	70,584	102,564
Accretion (amortization) of deferred financing costs, debt issuance costs, and Securitized debt discounts/premiums, net	(258)	8,625	(39,647)
Net unrealized losses (gains) on derivatives	1,482	0	(201,000)
Proceeds (payments) for derivative settlements	(6,200)	0	0
Margin (paid) received on derivatives	(40,234)	0	325,594
Net unrealized losses (gains) on financial instruments at fair value	736,899	(437,357)	110,664
Net realized losses (gains) on sales of investments	76,473	(45,313)	(166,946)
Other investment (gains) losses	1,866	0	0
Net increase (decrease) in provision for credit losses	7,037	33	180
(Gain) loss on extinguishment of debt	2,897	283,556	54,418
Equity-based compensation expense	8,177	6,513	5,017
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	7,745	11,643	35,950
Decrease (increase) in other assets	(33,476)	(36,013)	(32,275)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	5,041	6,903	(322)
Increase (decrease) in accrued interest payable, net	9,851	(20,106)	(25,148)
Net cash provided by (used in) operating activities	325,722	519,182	257,903
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	509,841	2,548,237	8,330,397
Cash Flows From Financing Activities:
Proceeds from secured financing agreements	37,815,611	45,623,033	87,550,016
Payments on secured financing agreements	(37,637,975)	(47,001,449)	(96,378,688)
Payments on repurchase of common stock	(48,886)	(1,828)	(22,066)
Proceeds from securitized debt borrowings, collateralized by Loans held for investment	1,122,982	5,521,953	3,043,257
Payments on securitized debt borrowings, collateralized by Loans held for investment	(1,844,033)	(6,440,480)	(2,535,782)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(2,892)	(21,752)	(16,839)
Payments on convertible debt purchases	0	(36,892)	0
Net proceeds from issuance of convertible debt	0	0	361,139
Purchase of capped call	0	0	(33,750)
Settlement of warrants	0	(220,945)	0
Common dividends paid	(287,746)	(298,644)	(322,625)
Preferred dividends paid	(73,765)	(73,764)	(73,750)
Net cash provided by (used in) financing activities	(956,704)	(2,950,768)	(8,429,088)
Net increase (decrease) in cash and cash equivalents	(121,141)	116,651	159,212
Cash and cash equivalents at beginning of period	385,741	269,090	109,878
Cash and cash equivalents at end of period	264,600	385,741	269,090
Supplemental disclosure of cash flow information:
Interest received	842,354	1,019,773	1,168,080
Interest paid	323,271	338,538	578,477
Income taxes paid (received)	(253)	4,405	158
Non-cash investing activities:
Payable for investments purchased	9,282	477,415	106,169
Net change in unrealized gain (loss) on available-for sale securities	(175,709)	(153,042)	(150,240)
Retained beneficial interests	0	24,891	21,943
Non-cash financing activities:
Dividends declared, not yet paid	64,545	86,152	77,213
Conversion of convertible debt	0	37,339	309,820
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	1,904	(117)	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	0
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(57,931)	(217,263)	(432,822)
Sales	42,503	201,653	7,201,313
Principal payments	253,815	773,381	715,931
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(23,000)	(9,766)	(32,859)
Sales	23,056	47,674	166,786
Principal payments	178,305	299,332	261,737
Transfer of investments due to consolidation
Non-Agency RMBS, at fair value	(218,276)	0	0
Loans held for investment
Cash Flows From Investing Activities:
Sales	0	1,653,260	1,042,664
Principal payments	2,160,445	2,652,767	1,966,590
Purchases	(2,067,352)	(2,852,801)	(2,558,943)
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	12 Months Ended
	Dec. 31, 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 Annual Report on Form 10-K: 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 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 December 31, 2022. Kah Capital Holdings, LLC is the parent of Kah Capital Management, LLC. The Company paid $250 thousand, $1 million and $1 million during the years ended December 31, 2022, 2021 and 2020, respectively, in fees to Kah Capital Management, LLC. These fees were 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 December 31, 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	12 Months Ended
	Dec. 31, 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) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2022 and December 31, 2021. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company’s investments in MBS includes investments in both Agency MBS and Non-Agency MBS. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. The Company classifies its MBS as available-for-sale sale (AFS) or in accordance with the fair-value option (FVO). MBS classified as AFS are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in Other comprehensive income (OCI). MBS classified as FVO are recorded on the Consolidated Statements of Financial Condition at fair value with changes in fair value recorded in earnings. See Note 5 of these consolidated financial statements for further discussion of MBS carried at FVO and how the Company determines fair value. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and an allowance for credit losses related to its MBS is as follows: Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests give the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC), 325-40, Beneficial Interests in Securitized Financial Assets, (ASC 325-40) as amended by the accounting standards update (ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments (ASU 2016-13). Interest income on the Company’s beneficial interests is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If there is no allowance for credit losses, or if the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition, the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on beneficial interests will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all beneficial interests when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in the Company's estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a monthly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes its investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk). Interest income on Agency Securities for which changes in fair value are recorded in earnings is recognized using the interest method based on the Company's estimates of cash flows expected to be collected. The effective interest rate on these securities is based on the Company's estimate of the projected cash flows. Changes in the amount or timing of cash flows as a result of changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis. (e) Loans Held for Investment The Company's Loans held for investments is primarily comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned Real estate owned, or REO, represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are initially measured at the estimated fair value less the estimated cost to sell. At the time the asset is re-categorized, any excess of the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. REO assets are subsequently measured at the lower of its carrying amount of fair value less cost to sell. The carrying value of REO assets at December 31, 2022 and 2021 was $21 million and $15 million, respectively, and were recorded in Other Assets on the Company’s Consolidated Statements of Financial Condition. (f) Secured Financing Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with secured financing agreements. The Company has evaluated each agreement and has determined that each of the secured financing agreements be accounted for as secured borrowings, which is recourse to the Company. The Company has elected the fair value option on certain of its secured financing agreements. These agreements are reported at their fair value, with changes in fair value being recorded in earnings each period, fees paid at inception related to secured financing agreements at fair value are expensed as incurred. Interest expense is recorded based on the current interest rate in effect for the related agreement. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Long Term Debt The Company's Long Term Debt is comprised of Convertible Senior Notes. Convertible notes include unsecured convertible debt that are carried at their unpaid principal balance net of any unamortized deferred issuance costs. Interest on the notes is payable semiannually until such time the notes mature or are converted or exchanged into shares. Any debt discounts or premiums are reported as an adjustment to the carrying amount of the debt liability and amortized into interest expense using the effective interest method. If converted by a holder, the holder of the notes would receive shares of our common stock. Deferred debt issuance costs are expenses associated with the issuance of long-term debt. These expenses typically include underwriting, legal, accounting, and other fees. Deferred debt issuance costs are included in the carrying value of the related long-term debt issued and are amortized as an adjustment to interest expense using the effective interest method, based upon the actual and estimated repayment schedules of the related long-term debt issued. When the conversion of debt occurs in accordance with debt terms, the unpaid principal balance of the convertible debt is recorded as additional paid in capital and the outstanding debt is considered repaid. Any unamortized issuance costs and unpaid accrued interest related to the converted notes are also credited to the additional paid in capital. (i) Fair Value The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments, secured financing agreements and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. All Agency MBS investments acquired prior to July 1, 2017 are carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Secured Financing Agreements: Certain of the Company's secured financing agreements are carried at fair value with changes in fair value reflected in earnings. These secured financing agreements were entered to finance certain Loans held for investments which are carried at fair value with changes in fair value reflected in earnings. The fair value option allows both the loans and secured financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (j) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 10 Derivative Instruments for further details. (k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. (l) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of December 31, 2022 and 2021. (m) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock and warrants. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion options is in or out of the money) to the denominator for the purposes of calculating diluted EPS. Refer to Note 11 Capital Stock for further information. (n) Sto

Mortgage-Backed Securities

Mortgage-Backed Securities	12 Months Ended
	Dec. 31, 2022
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed SecuritiesThe Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. The tables below present amortized cost, allowance for credit losses, fair value and unrealized gain/losses of the Company's MBS investments as of December 31, 2022 and December 31, 2021. December 31, 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 $ 1,153,458 $ 7,377 $ (624,803) $ 536,032 $ (4,418) $ 761,808 $ 237,127 $ (6,933) $ 230,194 Subordinated 439,591 3,872 (139,142) 304,321 (2,770) 286,909 22,035 (36,677) (14,642) Interest-only 3,286,545 162,820 — 162,820 — 98,764 15,968 (80,024) (64,056) Agency RMBS Interest-only 409,940 18,768 — 18,768 — 15,148 1,371 (4,991) (3,620) Agency CMBS Project loans 302,685 5,805 (192) 308,298 — 289,418 — (18,880) (18,880) Interest-only 2,669,396 139,738 — 139,738 — 126,378 1,654 (15,014) (13,360) Total $ 8,261,615 $ 338,380 $ (764,137) $ 1,469,977 $ (7,188) $ 1,578,425 $ 278,155 $ (162,519) $ 115,636 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 December 31, 2022 and December 31, 2021. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. December 31, 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 $ 83,553 $ (6,170) 13 $ 7,577 $ (763) 1 $ 91,130 $ (6,933) 14 Subordinated 161,959 (27,120) 28 37,025 (9,557) 8 198,984 (36,677) 36 Interest-only 41,890 (24,411) 79 15,213 (55,613) 50 57,103 (80,024) 129 Agency RMBS Interest-only 6,062 (500) 4 2,825 (4,491) 4 8,887 (4,991) 8 Agency CMBS Project loans 281,307 (18,880) 131 — — — 281,307 (18,880) 131 Interest-only 81,472 (10,503) 5 35,234 (4,511) 3 116,706 (15,014) 8 Total $ 656,243 $ (87,584) 260 $ 97,874 $ (74,935) 66 $ 754,117 $ (162,519) 326 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 December 31, 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 December 31, 2022. The Company had $3 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 December 31, 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 December 31, 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 $20 million and $506 thousand, at December 31, 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 years ended December 31, 2022 and 2021 is presented below. For the Year Ended December 31, 2022 December 31, 2021 (dollars in thousands) Beginning allowance for credit losses $ 213 $ 180 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 3,515 475 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 4,525 (830) Write-offs charged against the allowance (1,204) (86) Recoveries of amounts previously written off 139 474 Ending allowance for credit losses $ 7,188 $ 213 The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2022 and December 31, 2021. December 31, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 88,062 7.5% 2.4% 39.7% Subordinated 66,914 9.2% 0.4% 40.9% 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 year ended December 31, 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 December 31, 2022 and December 31, 2021. December 31, 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 $ 237,127 $ — $ 237,127 $ (5,132) $ (1,801) $ (6,933) Subordinated 14,600 7,435 22,035 (14,418) (22,259) (36,677) Interest-only — 15,968 15,968 — (80,024) (80,024) Agency RMBS Interest-only — 1,371 1,371 — (4,991) (4,991) Agency CMBS Project loans — — — (2,832) (16,048) (18,880) Interest-only — 1,654 1,654 — (15,014) (15,014) Total $ 251,727 $ 26,428 $ 278,155 $ (22,382) $ (140,137) $ (162,519) 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 December 31, 2022 and December 31, 2021. December 31, 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 $ 1,153,458 $ 46.09 66.05 5.3 % 16.4 % Subordinated 439,591 68.60 65.27 4.2 % 6.8 % Interest-only 3,286,545 4.95 3.01 0.6 % 5.3 % Agency RMBS Interest-only 409,940 4.58 3.70 0.9 % 5.0 % Agency CMBS Project loans 302,685 101.85 95.62 4.3 % 4.1 % Interest-only 2,669,396 5.23 4.73 0.7 % 3.4 % (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 December 31, 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. December 31, 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 $ 6,727 $ 152,811 $ 308,351 $ 293,919 $ 761,808 Subordinated 3,957 6,829 113,903 162,220 286,909 Interest-only 205 30,780 65,038 2,741 98,764 Agency RMBS Interest-only — — 15,148 — 15,148 Agency CMBS Project loans 8,112 — — 281,306 289,418 Interest-only 139 126,239 — — 126,378 Total fair value $ 19,140 $ 316,659 $ 502,440 $ 740,186 $ 1,578,425 Amortized cost Non-Agency RMBS Senior $ 6,336 $ 122,916 $ 206,615 $ 200,165 $ 536,032 Subordinated 1,184 5,008 118,700 179,429 304,321 Interest-only 6,249 64,172 89,266 3,133 162,820 Agency RMBS Interest-only — — 18,768 — 18,768 Agency CMBS Project loans 8,112 — — 300,186 308,298 Interest-only 200 139,538 — — 139,738 Total amortized cost $ 22,081 $ 331,634 $ 433,349 $ 682,913 $ 1,469,977 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 December 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.3 % 3.3 % 1.3 % 3.0 % 0.6 % 12.4 % 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 December 31, 2022 and December 31, 2021. December 31, 2022 December 31, 2021 Weighted average maturity (years) 21.4 21.4 Weighted average amortized loan to value (1) 58.2 % 60.3 % Weighted average FICO (2) 713 706 Weighted average loan balance (in thousands) $ 258 $ 259 Weighted average percentage owner-occupied 84.4 % 84.0 % Weighted average percentage single family residence 61.4 % 62.7 % Weighted average current credit enhancement 1.1 % 1.2 % Weighted average geographic concentration of top four states CA 32.7 % CA 31.2 % NY 11.3 % NY 10.4 % FL 7.6 % FL 8.0 % NJ 4.5 % 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 December 31, 2022 and December 31, 2021. Origination Year December 31, 2022 December 31, 2021 2003 and prior 0.7 % 1.4 % 2004 1.1 % 1.2 % 2005 9.0 % 8.6 % 2006 45.0 % 53.7 % 2007 30.8 % 25.3 % 2008 and later 13.4 % 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 years ended December 31, 2022, 2021, and 2020 are as follows: For the Year Ended December 31, 2022 December 31, 2021 December 31, 2020 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 23,056 47,877 166,747 Agency RMBS 42,502 626 5,710,134 Agency CMBS — 201,037 1,060,987 Gross realized gains: Non-Agency RMBS — 37,742 22,021 Agency RMBS — — 74,264 Agency CMBS — 13,735 88,929 Gross realized losses: Non-Agency RMBS (15,595) (4,955) (9,470) Agency RMBS (60,878) (1,209) (5,816) Agency CMBS — — (2,982) Net realized gain (loss) $ (76,473) $ 45,313 $ 166,946

Loans Held for Investment

Loans Held for Investment	12 Months Ended
	Dec. 31, 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 December 31, 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 $11.9 billion and $11.4 billion as of December 31, 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 December 31, 2022 and December 31, 2021: For the Year Ended For the Year Ended December 31, 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 1,615,377 3,364,609 Principal paydowns (2,160,445) (2,652,767) Sales and settlements (5,369) (1,679,280) Net periodic accretion (amortization) (52,616) (79,368) Change in fair value (1,347,475) 196,603 Balance, end of period $ 11,359,236 $ 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 year ended December 31, 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 December 31, 2022 December 31, 2021 (1) 2002 and prior 6.0 % 6.6 % 2003 5.0 % 5.7 % 2004 9.7 % 11.7 % 2005 16.3 % 18.6 % 2006 20.3 % 22.7 % 2007 21.5 % 22.6 % 2008 6.6 % 6.2 % 2009 1.5 % 1.2 % 2010 and later 13.1 % 4.7 % Total 100.0 % 100.0 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date. The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2022 and December 31, 2021: December 31, 2022 December 31, 2021 (1) Number of loans 116,876 114,946 Weighted average maturity (years) 20.9 19.3 Weighted average loan to value 82.2 % 84.2 % Weighted average FICO 658 656 Weighted average loan balance (in thousands) $ 103 $ 96 Weighted average percentage owner occupied 87.5 % 88.8 % Weighted average percentage single family residence 79.3 % 82.2 % Weighted average geographic concentration of top five states CA 14.6 % CA 13.9 % FL 8.5 % FL 8.1 % NY 8.5 % NY 8.0 % PA 4.5 % VA 4.8 % VA 4.4 % PA 4.8 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date. 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 December 31, 2022 and December 31, 2021, respectively. December 31, 2022 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 5,861 1.88% to 21.49% 7/9/1996 - 8/1/2057 439,907 34,921 24,712 $250 to $500 493 1.25% to 12.50% 11/1/2028 - 1/1/2057 170,897 8,843 8,191 $500 to $750 141 2.50% to 8.13% 3/1/2034 - 8/1/2059 85,028 2,962 4,758 $750 to $1,000 41 2.63% to 8.50% 5/1/2035 - 2/1/2059 35,365 1,704 — Over $1,000 34 2.38% to 7.25% 10/1/2034 - 2/1/2052 52,930 — — 6,570 784,127 48,430 37,661 Fixed loans: $1 to $250 102,055 0.00% to 21.20% 7/1/2000 - 1/1/2099 7,552,526 736,212 585,967 $250 to $500 6,474 0.00% to 11.50% 12/1/2005 - 6/1/2062 2,161,707 224,457 215,280 $500 to $750 971 1.99% to 10.99% 6/1/2021 - 5/1/2062 580,883 38,338 51,582 $750 to $1,000 363 2.00% to 9.99% 3/1/2013 - 11/1/2061 311,895 9,563 20,676 Over $1,000 443 1.73% to 10.69% 1/1/2021 - 11/1/2061 669,392 6,944 21,800 110,306 11,276,403 1,015,514 895,305 Total 116,876 12,060,530 1,063,944 932,966 The foreclosure, bankruptcy, and REO principal balances on our loans were $392 million, $211 million and $34 million, respectively, as of December 31, 2022, which are included in the table above. December 31, 2021 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,651 0.50% to 17.74% 7/9/1996 - 8/1/2057 521,020 60,329 32,575 $250 to $500 608 1.25% to 10.50% 11/1/2028 - 2/1/2057 211,276 21,468 11,586 $500 to $750 129 2.13% to 9.13% 9/1/2033 - 10/1/2056 77,678 7,923 5,392 $750 to $1,000 28 2.38% to 6.25% 2/1/2035 - 2/1/2052 23,390 3,176 — Over $1,000 22 2.13% to 6.63% 12/1/2021 - 10/1/2048 41,950 3,787 6,040 7,438 875,314 96,683 55,593 Fixed loans: $1 to $250 100,857 0.00% to21.20% 7/1/2000 - 1/1/2099 7,520,209 853,015 593,872 $250 to $500 5,610 0.00% to 11.50% 12/1/2005 - 11/1/2061 1,880,177 204,071 211,034 $500 to $750 746 1.00% to 10.14% 3/1/2021 - 7/1/2061 440,377 43,088 58,657 $750 to $1,000 151 2.00% to 9.00% 3/1/2013 - 5/1/2061 129,173 8,544 21,221 Over $1,000 144 2.00% to 10.69% 7/1/2020 - 7/1/2061 236,845 23,930 29,968 107,508 10,206,781 1,132,648 914,752 Total 114,946 11,082,095 1,229,331 970,345 (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date. The foreclosure, bankruptcy, and REO principal balances on our loans were $261 million, $216 million and $28 million, respectively, as of December 31, 2021, which are included in the table above. The fair value of residential mortgage loans 90 days or more past due was $717 million and $830 million as of December 31, 2022 and December 31, 2021, respectively.

Fair Value Measurements

Fair Value Measurements	12 Months Ended
	Dec. 31, 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 December 31, 2022, fourteen investment holdings with an internally developed fair value of $96 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 $14 million higher, in the aggregate, than the third-party prices provided of $82 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, 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 prime, jumbo, investor owned and 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 December 31, 2022, eight loan pools with an internally developed fair value of $2.1 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 $122 million higher than the third-party prices provided of $2.0 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, 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 $205 million and $230 million as of December 31, 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 December 31, 2022, six securitized debt collateralized by loans held for investment positions with an internally developed fair value of $35 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 $3 million higher on a net basis than the third-party prices provided of $32 million. After review and discussion, the Company affirmed and valued the securitized debt positions at the higher internally developed prices. No other differences were noted at December 31, 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 December 31, 2022 and December 31, 2021, respectively: December 31, 2022 December 31, 2021 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior 18,513 16,731 — — Subordinated 257,658 175,603 653,616 500,288 Interest-only 3,286,545 98,764 3,904,665 172,501 Agency RMBS Interest-only 409,940 15,148 992,978 60,487 Agency CMBS Project loans 268,078 256,950 499,186 549,529 Interest-only 2,669,396 126,378 2,578,640 146,789 Loans held for investment, at fair value 12,060,631 11,359,236 11,519,255 12,261,926 Liabilities: Secured Financing Agreements, at fair value 382,838 374,172 — — Securitized debt at fair value, collateralized by Loans held for investment 7,856,140 7,100,742 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 years ended December 31, 2022 and 2021: For the Year Ended December 31, 2022 December 31, 2021 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior (1,801) — Subordinated (57,503) 62,736 Interest-only (45,330) (31,378) Agency RMBS Interest-only 38,826 (14,318) Agency CMBS Project loans (57,910) (111,963) Interest-only (13,125) (2,548) Loans held for investment, at fair value (1,347,558) 196,602 Liabilities: Secured Financing Agreements, at fair value 8,666 — Securitized debt at fair value, collateralized by Loans held for investment 683,784 338,226 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. Secured Financing Agreements, at fair value Fair value for certain secured financing agreements which are carried at fair value with changes in fair value reported in earnings are valued at the price that the Company would pay to transfer the liability to a market participant at the reporting date in an orderly transaction. The Company evaluates recent trades of financial liabilities made by the Company, which includes an element of non-performance risk, as well as changes in market interest rates to determine the fair value of the secured financing agreements. The primary factor in determining the fair value at December 31, 2022 is the change in market interest rates from the transaction date of the secured financing agreements and the reporting date. As these rates are observable, the secured financing agreements are reported 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 December 31, 2022 and December 31, 2021 are presented below. December 31, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,147,481 $ — $ 1,147,481 Agency RMBS, at fair value — 15,148 — — 15,148 Agency CMBS, at fair value — 415,796 — — 415,796 Loans held for investment, at fair value — 204,636 11,154,600 — 11,359,236 Derivatives, at fair value — 18,793 — (14,697) 4,096 Liabilities: Secured Financing Agreement, at fair value — 374,172 — — 374,172 Securitized debt at fair value, collateralized by Loans held for investment — — 7,100,742 — 7,100,742 Derivatives, at fair value — 14,074 — (14,074) — 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 December 31, 2022 and December 31, 2021. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 23,589 1,429,503 1,122,982 Principal payments (178,300) (1,953,098) (1,844,397) Sales and Settlements (23,056) (5,368) — Net accretion (amortization) 31,387 (52,767) 5,021 Gains (losses) included in net income (Increase) decrease in provision for credit losses (7,036) — — Realized gains (losses) on sales and settlements (15,594) — — Net unrealized gains (losses) included in income (104,631) (1,343,807) (683,421) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (170,810) — — Ending balance Level 3 $ 1,147,481 $ 11,154,600 $ 7,100,742 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 year ended December 31, 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 December 31, 2022 and December 31, 2021 follows. The weighted average discount rates are based on fair value. December 31, 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%-25% 6.5% 1%-20% 7.7% 0%-10% 1.5% 26%-80% 31.8% Subordinated 6%-12% 7.6% 4%-15% 8.6% 0%-6% 0.5% 10%-81% 32.8% Interest-only 0%-85% 10.2% 6%-30% 9.7% 0%-7% 1.0% 0%-86% 29.1% 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 December 31, 2022 and December 31, 2021 follows: December 31, 2022 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighte

Secured Financing Agreements

Secured Financing Agreements	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021, the Company has $1.2 billion 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 December 31, 2022 and December 31, 2021, the Company has $365 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. At December 31, 2022 and December 31, 2021, we pledged $33 million and $19 million, respectively, of margin cash collateral to the Company's secured financing agreement counterparties. 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 $1.9 billion unused uncommitted warehouse credit facilities as of December 31, 2022. At December 31, 2022, the Company had amounts at risk with Nomura of 12% of its equity related to the collateral posted on secured financing agreements. The weighted average maturities of the secured financing agreements with Nomura were 582 days. The amount at risk with Nomura were $308 million. At December 31, 2021, there was no amount at risk with any counterparty greater than 10% of the Company's equity. The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of December 31, 2022 and December 31, 2021 were: December 31, 2022 December 31, 2021 Secured financing agreements outstanding principal secured by: Agency RMBS (in thousands) $ 3,946 $ 23,170 Agency CMBS (in thousands) 355,934 589,535 Non-Agency RMBS and Loans held for investment (in thousands) (1) 3,083,551 2,648,908 Total: $ 3,443,431 $ 3,261,613 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 6,662 $ 28,320 Agency CMBS (in thousands) 382,547 617,457 Non-Agency RMBS and Loans held for investment (in thousands) 4,310,513 3,747,573 Total: $ 4,699,722 $ 4,393,350 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 11,714 $ 47,155 Agency CMBS (in thousands) 376,551 963,894 Non-Agency RMBS and Loans held for investment (in thousands) 2,819,871 2,926,880 Total: $ 3,208,136 $ 3,937,929 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 4.70 % 0.68 % Agency CMBS 4.49 % 0.21 % Non-Agency RMBS and Loans held for investment 6.86 % 2.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 17 Days 4 Days Agency CMBS 25 Days 13 Days Non-Agency RMBS and Loans held for investment 474 Days 257 Days Average original maturity of Secured financing agreements secured by: Agency RMBS 60 Days 61 Days Agency CMBS 42 Days 35 Days Non-Agency RMBS and Loans held for investment 499 Days 283 Days (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively. At December 31, 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. December 31, 2022 December 31, 2021 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — N/A N/A $ — NA NA 1 to 29 days $ 493,918 4.66% 3.63% - 6.16% $ 1,018,670 0.73% 0.11% - 1.95% 30 to 59 days 762,768 6.14% 4.60% - 7.34% 379,031 1.66% 1.55% - 1.70% 60 to 89 days 225,497 6.04% 4.70% - 7.12% 342,790 1.86% 0.90% - 2.35% 90 to 119 days 43,180 6.54% 5.50% - 6.70% 67,840 1.66% 1.66% - 1.66% 120 to 180 days 401,638 5.88% 5.57% - 6.92% 157,944 1.38% 0.95% - 1.45% 180 days to 1 year 402,283 6.06% 5.63% - 6.64% 895,210 3.70% 1.95% - 4.38% 1 to 2 years 251,286 13.98% 13.98% - 13.98% 143,239 3.05% 3.05% - 3.05% 2 to 3 years 480,022 8.07% 8.07% - 8.07% — NA NA Greater than 3 years 382,839 5.14% 5.10% - 6.07% 256,889 5.56% 5.56% - 5.56% Total $ 3,443,431 6.61% $ 3,261,613 2.30% (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively. Secured Financing Agreements at fair value The Company entered into a secured financing agreement during fourth quarter of 2022 for which the Company has elected fair value option. The Company believes electing fair value for this financial instrument better reflect the transactional economics. The total principal balance outstanding on this secured financing is $383 million and the fair value of collateral pledged is $418 million. The Company carries this secured financing instrument at fair value of $374 million. At December 31, 2022, the weighted average borrowing rate on secured financing agreements at fair value was 5.14%. At December 31, 2022, the haircut for the secured financing agreements at fair value was 7.5%. At December 31, 2022, the maturity on the secured financing agreements at fair value was five years.

Securitized Debt

Securitized Debt	12 Months Ended
	Dec. 31, 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 December 31, 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 December 31, 2022 and December 31, 2021, the debt carried a weighted average coupon of 6.7%. As of December 31, 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 year ended December 31, 2022. During the year ended December 31, 2021, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $370 thousand for $478 thousand. This transaction resulted in net loss on extinguishment of debt of $108 thousand. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 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. December 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 640 $ 4,374 One to Three Years 523 2,361 Three to Five Years 71 949 Greater Than Five Years 92 82 Total $ 1,326 $ 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 December 31, 2022 and December 31, 2021, the Company’s securitized debt collateralized by Loans held for investment had a principal balance of $7.9 billion and $7.8 billion, respectively. At December 31, 2022 and December 31, 2021, the total securitized debt collateralized by Loans held for investment carried a weighted average coupon of 2.8% and 2.4%, respectively. As of December 31, 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 year ended December 31, 2022. During the year ended December 31, 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 December 31, 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. December 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 1,636,544 $ 2,031,445 One to Three Years 2,535,642 2,886,255 Three to Five Years 1,733,022 1,697,760 Greater Than Five Years 1,949,240 1,145,995 Total $ 7,854,448 $ 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 manage. The following table presents the par value of the callable debt by year as of December 31, 2022, excluding any debt issued by the Company where the Company only has a clean-up call. December 31, 2022 (dollars in thousands) Year Principal Currently callable $ 1,518,136 2023 1,394,285 2024 1,225,292 2025 1,944,737 2026 238,492 2027 838,700 Total $ 7,159,642

Long Term Debt

Long Term Debt	12 Months Ended
	Dec. 31, 2022
Debt Disclosure [Abstract]
Long Term Debt	Long Term Debt Convertible Senior Notes As of December 31, 2022 and 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, 2022 and 2021, there was no outstanding principal amount, unamortized deferred debt issuance cost and accrued interest payable on these Notes. There was no interest expense on the Notes for the year ended December 31, 2022. The net interest expense for the year ended December 31, 2021, and 2020 was $2 million, and 7 million, respectively. There was no interest expense on the Notes for the year ended December 31, 2022.

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	12 Months Ended
	Dec. 31, 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 year ended December 31, 2022, the Company consolidated approximately $2.7 billion unpaid principal balance of seasoned residential reperforming residential mortgage loans. During the year ended December 31, 2021, the Company securitized and consolidated approximately $6.6 billion, 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 December 31, 2022 and December 31, 2021. December 31, 2022 December 31, 2021 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 276,030 $ 399,048 Loans held for investment, at fair value 9,855,390 10,205,587 Accrued interest receivable 47,553 47,237 Other assets 20,293 14,719 Total Assets: $ 10,199,266 $ 10,666,591 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 78,542 $ 87,999 Securitized debt at fair value, collateralized by Loans held for investment 6,673,917 7,118,374 Accrued interest payable 17,427 15,101 Other liabilities 2,239 2,181 Total Liabilities: 6,772,125 7,223,655 (1) December 31, 2022 balance includes allowance for credit losses of $2 million. Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Year ended December 31, 2022 December 31, 2021 December 31, 2020 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 551,253 $ 586,580 $ 683,456 Interest expense, Non-recourse liabilities of VIEs 197,823 203,135 285,142 Net interest income $ 353,430 $ 383,445 $ 398,314 (Increase) decrease in provision for credit losses $ (1,904) $ 117 $ (117) Servicing fees $ 26,964 $ 26,818 $ 32,479 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	12 Months Ended
	Dec. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	Derivative Instruments In connection with the Company’s interest rate risk strategy, the Company may economically 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 weighted average pay rate on the Company’s interest rate swaps at December 31, 2022 was 4.07% and the weighted average receive rate was 4.30%. The weighted average maturity on the Company’s interest rate swaps at December 31, 2022 was 4 years. The company paid $561 thousand to terminate interest rate swaps with a notional value of $1.0 billion during the year ended December 31, 2022. The terminated swaps had original maturity of 2024. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2022. The Company did not have any derivative instruments as of December 31, 2021. December 31, 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 1,485,000 Derivatives, at fair value $ 3,716 Derivatives, at fair value $ — Swaptions 1,000,000 Derivatives, at fair value $ 380 Derivatives, at fair value $ — Total $ 2,485,000 $ 4,096 $ — December 31, 2021 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations the years ended December 31, 2022, 2021, and 2020, respectively is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2022 December 31, 2021 December 30, 2020 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (10,358) $ — $ 204,611 Interest Rate Swaps Periodic interest cost of interest rate swaps, net (1) (2,313) — (470,352) Treasury Futures Net unrealized gains (losses) on derivatives — — (3,611) Treasury Futures Net realized gains (losses) on derivatives — — (34,700) Swaptions Net unrealized gains (losses) on derivatives 8,876 — — Total $ (3,795) $ — $ (304,052) (1) Includes loss on termination of interest rate swaps of $561 thousand and $464 million during the years ended December 31, 2022 and 2020, respectively. 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	12 Months Ended
	Dec. 31, 2022
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $12 million, or $2.00 per preferred share, during the years ended December 31, 2022 and 2021, respectively. The Company declared dividends to Series B preferred stockholders of $26 million, or $2.00 per preferred share, during the years ended December 31, 2022 and 2021, respectively. The Company declared dividends to Series C preferred stockholders of $20 million, or $1.937500 per preferred share, during the years ended December 31, 2022 and 2021, respectively. The Company declared dividends to Series D preferred stockholders of $16 million, or $2.00 per preferred share, during the years ended December 31, 2022 and 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 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 year ended December 31, 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 year ended December 31, 2021. The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $177 million as of December 31, 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 year ended December 31, 2022, the Company did not issue any shares under the at-the-market sales program. The Company declared dividends to common shareholders of $266 million, or $1.12 per share, and $308 million, or $1.29 per share, during the years ended December 31, 2022 and 2021, respectively. Earnings per Share (EPS) EPS for the years ended December 31, 2022, 2021, and 2020 are computed as follows: For the Year Ended December 31, 2022 December 31, 2021 December 31, 2020 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (586,831) $ 596,350 $ 15,104 Effect of dilutive securities: Interest expense attributable to convertible notes — 2,274 — Net income (loss) available to common shareholders - Diluted $ (586,831) $ 598,624 $ 15,104 Denominator: Weighted average basic shares 233,938,745 233,770,474 212,995,533 Effect of dilutive securities — 11,726,452 13,442,808 Weighted average dilutive shares 233,938,745 245,496,926 226,438,341 Net income (loss) per average share attributable to common stockholders - Basic $ (2.51) $ 2.55 $ 0.07 Net income (loss) per average share attributable to common stockholders - Diluted $ (2.51) $ 2.44 $ 0.07

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	12 Months Ended
	Dec. 31, 2022
Equity [Abstract]
Accumulated Other Comprehensive Income	Accumulated Other Comprehensive IncomeThe following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the years ended December 31, 2022 and 2021: December 31, 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 (175,709) (175,709) Amounts reclassified from AOCI — — Net current period OCI (175,709) (175,709) Balance as of December 31, 2022 $ 229,345 $ 229,345 December 31, 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 (115,926) (115,926) Amounts reclassified from AOCI (37,116) (37,116) Net current period OCI (153,042) (153,042) Balance as of December 31, 2021 $ 405,054 $ 405,054 There were no amounts reclassified from AOCI during the year ended December 31, 2022. The amounts reclassified from AOCI balance comprised of $37 million net unrealized gains on available-for-sale securities sold for the year ended December 31, 2021.

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	12 Months Ended
	Dec. 31, 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 December 31, 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 December 31, 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 December 31, 2022 and December 31, 2021, there are approximately 1 million and 699 thousand dividend equivalent rights earned but not yet delivered. Grants of Restricted Stock Units, or RSUs During the years ended December 31, 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 396 thousand RSU awards during the year ended December 31, 2022 with a grant date fair value of $4 million for the 2022 performance year. The Company granted 393 thousand RSU awards during the year ended December 31, 2021, with a grant date fair value of $5 million for the 2021 performance year. In addition, during the year ended December 31, 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 year ended December 31, 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. During the year ended December 31, 2022, the Company granted 128 thousand PSU awards to senior management with a grant date fair value of $2 million. During the year ended December 31, 2021, the Company granted 182 thousand PSU awards to senior management with a grant date fair value of $2 million. For the Year Ended December 31, 2022 December 31, 2021 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 2,816,848 $ 13.37 2,143,868 $ 16.51 Granted 523,957 $ 10.94 1,575,137 $ 10.57 Vested (178,261) $ 16.66 (264,917) $ 14.87 Forfeited (132,557) $ 15.52 (637,240) $ 16.41 Unvested shares outstanding - end of period 3,029,987 $ 12.66 2,816,848 $ 13.37 The forfeited amounts above include shares forfeited by employees to pay taxes of approximately 129 thousand shares and 632 thousand shares for the years ended December 31, 2022 and 2021 respectively. The Company recognized stock based compensation expenses of $9 million and $12 million for the year ended December 31, 2022 and 2021, respectively.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2022
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the year ended December 31, 2022, the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to U.S. federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions in which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT and, therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRSs are subject to U.S. federal, state and local taxes. The Company recorded a current income tax benefit of $253 thousand and current income tax expense of $4 million as of December 31, 2022 and 2021, respectively. The Company recorded a gross deferred tax asset of $66 million and $10 million for the years ended December 31, 2022 and 2021, respectively, relating to the activities of its TRSs. Of these amounts, the amount related to cumulative net operating losses was $65 million and $9 million as of December 31, 2022 and 2021, respectively. The amount related to interest disallowed under Code Section 163(j) was $1 million as of December 31, 2022 and 2021. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $66 million and $10 million for the years ended December 31, 2022 and 2021, respectively. The Company’s effective tax rate differs from its combined U.S. federal, state and local 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, 2019 remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021. December 31, 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 $ (3,434,765) $ — $ (3,434,765) $ 4,699,722 $ 33,415 $ 1,298,373 Interest Rate Swaps - Gross Assets 3,716 — 3,716 — 13,179 16,895 Interest Rate Swaps - Gross Liabilities (14,074) 14,074 — — 27,678 27,678 Swaptions - Gross Assets 15,077 (14,697) 380 — — 380 Swaptions - Gross Liabilities — — — — — — Total $ (3,430,046) $ (623) $ (3,430,669) $ 4,699,722 $ 74,271 $ 1,343,326 (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	12 Months Ended
	Dec. 31, 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	12 Months Ended
	Dec. 31, 2022
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Subsequent to December 31, 2022, the Company exercised its call option to retire securitized debt, collateralized by loans held for investment with an unpaid principal amount of $337 million at par.

Summarized Quarterly Results (U

Summarized Quarterly Results (Unaudited)	12 Months Ended
	Dec. 31, 2022
Quarterly Financial Information Disclosure [Abstract]
Summarized Quarterly Results (Unaudited)	Summarized Quarterly Results (Unaudited)The following is a presentation of the results of operations for the quarters ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022. For the Quarter Ended December 31, 2022 September 30, 2022 June 30, 2022 March 31, 2022 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 187,286 $ 188,303 $ 195,357 $ 202,175 Interest expense 106,891 83,464 78,467 64,473 Net interest income 80,395 104,839 116,890 137,702 Increase/(decrease) in provision for credit losses 3,834 (1,534) 4,497 240 Other investment gains (losses): — Net unrealized gains (losses) on derivatives (10,171) 10,307 (1,618) — Realized gains (losses) on terminations of interest rate swaps (561) — — — Periodic interest cost of swaps, net (1,629) (122) — — Net gains (losses) on derivatives (12,362) 10,185 (1,618) — Net unrealized gains (losses) on financial instruments at fair value 112,026 (239,513) (239,246) (370,167) Net realized gains (losses) on sales of investments (39,443) (37,031) — — Gain (loss) on Extinguishment of Debt — — (2,897) — Other Investment Gains (2,383) (462) 980 — Total other expenses 37,482 25,693 30,845 30,159 Net income (loss) $ 97,199 $ (186,145) $ (161,327) $ (262,794) Dividend on preferred stock $ 18,483 $ 18,438 $ 18,438 $ 18,408 Net income (loss) available to common shareholders $ 78,716 $ (204,583) $ (179,765) $ (281,202) Net income (loss) per common share-basic $ 0.34 $ (0.88) $ (0.76) $ (1.19) The following is a presentation of the results of operations for the quarters ended December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021. For the Quarter Ended December 31, 2021 September 30, 2021 June 30, 2021 March 31, 2021 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 221,162 $ 220,579 $ 252,677 $ 243,127 Interest expense 66,598 71,353 80,610 108,066 Net interest income 154,564 149,226 172,067 135,061 Increase/(decrease) in provision for credit losses 92 (386) 453 (126) Net unrealized gains (losses) on financial instruments at fair value (108,286) 239,524 36,108 270,012 Net realized gains (losses) on sales of investments — — 7,517 37,796 Gain (loss) on Extinguishment of Debt 980 (25,622) (21,777) (237,137) Total other expenses 30,175 30,723 30,229 44,355 Net income (loss) $ 17,734 $ 331,468 $ 163,321 $ 157,591 Dividend on preferred stock $ 18,452 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ (718) $ 313,030 $ 144,883 $ 139,153 Net income (loss) per common share-basic $ (0.00) $ 1.33 $ 0.63 $ 0.60

Summary of the Significant Ac_2

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

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021. December 31, 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 $ 1,153,458 $ 7,377 $ (624,803) $ 536,032 $ (4,418) $ 761,808 $ 237,127 $ (6,933) $ 230,194 Subordinated 439,591 3,872 (139,142) 304,321 (2,770) 286,909 22,035 (36,677) (14,642) Interest-only 3,286,545 162,820 — 162,820 — 98,764 15,968 (80,024) (64,056) Agency RMBS Interest-only 409,940 18,768 — 18,768 — 15,148 1,371 (4,991) (3,620) Agency CMBS Project loans 302,685 5,805 (192) 308,298 — 289,418 — (18,880) (18,880) Interest-only 2,669,396 139,738 — 139,738 — 126,378 1,654 (15,014) (13,360) Total $ 8,261,615 $ 338,380 $ (764,137) $ 1,469,977 $ (7,188) $ 1,578,425 $ 278,155 $ (162,519) $ 115,636 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 December 31, 2022 and December 31, 2021. All Non-Agency RMBS held as available-for-sale, and not accounted under the fair value option election in an unrealized loss position have been evaluated by the Company for current expected credit losses. December 31, 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 $ 83,553 $ (6,170) 13 $ 7,577 $ (763) 1 $ 91,130 $ (6,933) 14 Subordinated 161,959 (27,120) 28 37,025 (9,557) 8 198,984 (36,677) 36 Interest-only 41,890 (24,411) 79 15,213 (55,613) 50 57,103 (80,024) 129 Agency RMBS Interest-only 6,062 (500) 4 2,825 (4,491) 4 8,887 (4,991) 8 Agency CMBS Project loans 281,307 (18,880) 131 — — — 281,307 (18,880) 131 Interest-only 81,472 (10,503) 5 35,234 (4,511) 3 116,706 (15,014) 8 Total $ 656,243 $ (87,584) 260 $ 97,874 $ (74,935) 66 $ 754,117 $ (162,519) 326 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 years ended December 31, 2022 and 2021 is presented below. For the Year Ended December 31, 2022 December 31, 2021 (dollars in thousands) Beginning allowance for credit losses $ 213 $ 180 Additions to the allowance for credit losses on securities for which credit losses were not previously recorded 3,515 475 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 4,525 (830) Write-offs charged against the allowance (1,204) (86) Recoveries of amounts previously written off 139 474 Ending allowance for credit losses $ 7,188 $ 213
Schedule of Significant Credit Quality Indicators	The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of December 31, 2022 and December 31, 2021. December 31, 2022 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 88,062 7.5% 2.4% 39.7% Subordinated 66,914 9.2% 0.4% 40.9% 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 December 31, 2022 and December 31, 2021. December 31, 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 $ 237,127 $ — $ 237,127 $ (5,132) $ (1,801) $ (6,933) Subordinated 14,600 7,435 22,035 (14,418) (22,259) (36,677) Interest-only — 15,968 15,968 — (80,024) (80,024) Agency RMBS Interest-only — 1,371 1,371 — (4,991) (4,991) Agency CMBS Project loans — — — (2,832) (16,048) (18,880) Interest-only — 1,654 1,654 — (15,014) (15,014) Total $ 251,727 $ 26,428 $ 278,155 $ (22,382) $ (140,137) $ (162,519) 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 December 31, 2022 and December 31, 2021. December 31, 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 $ 1,153,458 $ 46.09 66.05 5.3 % 16.4 % Subordinated 439,591 68.60 65.27 4.2 % 6.8 % Interest-only 3,286,545 4.95 3.01 0.6 % 5.3 % Agency RMBS Interest-only 409,940 4.58 3.70 0.9 % 5.0 % Agency CMBS Project loans 302,685 101.85 95.62 4.3 % 4.1 % Interest-only 2,669,396 5.23 4.73 0.7 % 3.4 % (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 December 31, 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. December 31, 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 $ 6,727 $ 152,811 $ 308,351 $ 293,919 $ 761,808 Subordinated 3,957 6,829 113,903 162,220 286,909 Interest-only 205 30,780 65,038 2,741 98,764 Agency RMBS Interest-only — — 15,148 — 15,148 Agency CMBS Project loans 8,112 — — 281,306 289,418 Interest-only 139 126,239 — — 126,378 Total fair value $ 19,140 $ 316,659 $ 502,440 $ 740,186 $ 1,578,425 Amortized cost Non-Agency RMBS Senior $ 6,336 $ 122,916 $ 206,615 $ 200,165 $ 536,032 Subordinated 1,184 5,008 118,700 179,429 304,321 Interest-only 6,249 64,172 89,266 3,133 162,820 Agency RMBS Interest-only — — 18,768 — 18,768 Agency CMBS Project loans 8,112 — — 300,186 308,298 Interest-only 200 139,538 — — 139,738 Total amortized cost $ 22,081 $ 331,634 $ 433,349 $ 682,913 $ 1,469,977 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 December 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.3 % 3.3 % 1.3 % 3.0 % 0.6 % 12.4 % 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 December 31, 2022 and December 31, 2021, respectively. December 31, 2022 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 5,861 1.88% to 21.49% 7/9/1996 - 8/1/2057 439,907 34,921 24,712 $250 to $500 493 1.25% to 12.50% 11/1/2028 - 1/1/2057 170,897 8,843 8,191 $500 to $750 141 2.50% to 8.13% 3/1/2034 - 8/1/2059 85,028 2,962 4,758 $750 to $1,000 41 2.63% to 8.50% 5/1/2035 - 2/1/2059 35,365 1,704 — Over $1,000 34 2.38% to 7.25% 10/1/2034 - 2/1/2052 52,930 — — 6,570 784,127 48,430 37,661 Fixed loans: $1 to $250 102,055 0.00% to 21.20% 7/1/2000 - 1/1/2099 7,552,526 736,212 585,967 $250 to $500 6,474 0.00% to 11.50% 12/1/2005 - 6/1/2062 2,161,707 224,457 215,280 $500 to $750 971 1.99% to 10.99% 6/1/2021 - 5/1/2062 580,883 38,338 51,582 $750 to $1,000 363 2.00% to 9.99% 3/1/2013 - 11/1/2061 311,895 9,563 20,676 Over $1,000 443 1.73% to 10.69% 1/1/2021 - 11/1/2061 669,392 6,944 21,800 110,306 11,276,403 1,015,514 895,305 Total 116,876 12,060,530 1,063,944 932,966 The foreclosure, bankruptcy, and REO principal balances on our loans were $392 million, $211 million and $34 million, respectively, as of December 31, 2022, which are included in the table above. December 31, 2021 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,651 0.50% to 17.74% 7/9/1996 - 8/1/2057 521,020 60,329 32,575 $250 to $500 608 1.25% to 10.50% 11/1/2028 - 2/1/2057 211,276 21,468 11,586 $500 to $750 129 2.13% to 9.13% 9/1/2033 - 10/1/2056 77,678 7,923 5,392 $750 to $1,000 28 2.38% to 6.25% 2/1/2035 - 2/1/2052 23,390 3,176 — Over $1,000 22 2.13% to 6.63% 12/1/2021 - 10/1/2048 41,950 3,787 6,040 7,438 875,314 96,683 55,593 Fixed loans: $1 to $250 100,857 0.00% to21.20% 7/1/2000 - 1/1/2099 7,520,209 853,015 593,872 $250 to $500 5,610 0.00% to 11.50% 12/1/2005 - 11/1/2061 1,880,177 204,071 211,034 $500 to $750 746 1.00% to 10.14% 3/1/2021 - 7/1/2061 440,377 43,088 58,657 $750 to $1,000 151 2.00% to 9.00% 3/1/2013 - 5/1/2061 129,173 8,544 21,221 Over $1,000 144 2.00% to 10.69% 7/1/2020 - 7/1/2061 236,845 23,930 29,968 107,508 10,206,781 1,132,648 914,752 Total 114,946 11,082,095 1,229,331 970,345 (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date.
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio	The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2022 and December 31, 2021. December 31, 2022 December 31, 2021 Weighted average maturity (years) 21.4 21.4 Weighted average amortized loan to value (1) 58.2 % 60.3 % Weighted average FICO (2) 713 706 Weighted average loan balance (in thousands) $ 258 $ 259 Weighted average percentage owner-occupied 84.4 % 84.0 % Weighted average percentage single family residence 61.4 % 62.7 % Weighted average current credit enhancement 1.1 % 1.2 % Weighted average geographic concentration of top four states CA 32.7 % CA 31.2 % NY 11.3 % NY 10.4 % FL 7.6 % FL 8.0 % NJ 4.5 % 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 December 31, 2022 and December 31, 2021. Origination Year December 31, 2022 December 31, 2021 2003 and prior 0.7 % 1.4 % 2004 1.1 % 1.2 % 2005 9.0 % 8.6 % 2006 45.0 % 53.7 % 2007 30.8 % 25.3 % 2008 and later 13.4 % 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 years ended December 31, 2022, 2021, and 2020 are as follows: For the Year Ended December 31, 2022 December 31, 2021 December 31, 2020 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 23,056 47,877 166,747 Agency RMBS 42,502 626 5,710,134 Agency CMBS — 201,037 1,060,987 Gross realized gains: Non-Agency RMBS — 37,742 22,021 Agency RMBS — — 74,264 Agency CMBS — 13,735 88,929 Gross realized losses: Non-Agency RMBS (15,595) (4,955) (9,470) Agency RMBS (60,878) (1,209) (5,816) Agency CMBS — — (2,982) Net realized gain (loss) $ (76,473) $ 45,313 $ 166,946

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021: For the Year Ended For the Year Ended December 31, 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 1,615,377 3,364,609 Principal paydowns (2,160,445) (2,652,767) Sales and settlements (5,369) (1,679,280) Net periodic accretion (amortization) (52,616) (79,368) Change in fair value (1,347,475) 196,603 Balance, end of period $ 11,359,236 $ 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 December 31, 2022 December 31, 2021 (1) 2002 and prior 6.0 % 6.6 % 2003 5.0 % 5.7 % 2004 9.7 % 11.7 % 2005 16.3 % 18.6 % 2006 20.3 % 22.7 % 2007 21.5 % 22.6 % 2008 6.6 % 6.2 % 2009 1.5 % 1.2 % 2010 and later 13.1 % 4.7 % Total 100.0 % 100.0 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date.
Schedule of Key Characteristics of Residential Loan Portfolio	The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2022 and December 31, 2021: December 31, 2022 December 31, 2021 (1) Number of loans 116,876 114,946 Weighted average maturity (years) 20.9 19.3 Weighted average loan to value 82.2 % 84.2 % Weighted average FICO 658 656 Weighted average loan balance (in thousands) $ 103 $ 96 Weighted average percentage owner occupied 87.5 % 88.8 % Weighted average percentage single family residence 79.3 % 82.2 % Weighted average geographic concentration of top five states CA 14.6 % CA 13.9 % FL 8.5 % FL 8.1 % NY 8.5 % NY 8.0 % PA 4.5 % VA 4.8 % VA 4.4 % PA 4.8 % (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date.
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 December 31, 2022 and December 31, 2021. When delinquency rates increase, it is expected that the Company will incur additional credit losses. December 31, 2022 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total % of Unpaid Principal Balance 2.9 % 1.3 % 3.3 % 1.3 % 3.0 % 0.6 % 12.4 % 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 December 31, 2022 and December 31, 2021, respectively. December 31, 2022 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 5,861 1.88% to 21.49% 7/9/1996 - 8/1/2057 439,907 34,921 24,712 $250 to $500 493 1.25% to 12.50% 11/1/2028 - 1/1/2057 170,897 8,843 8,191 $500 to $750 141 2.50% to 8.13% 3/1/2034 - 8/1/2059 85,028 2,962 4,758 $750 to $1,000 41 2.63% to 8.50% 5/1/2035 - 2/1/2059 35,365 1,704 — Over $1,000 34 2.38% to 7.25% 10/1/2034 - 2/1/2052 52,930 — — 6,570 784,127 48,430 37,661 Fixed loans: $1 to $250 102,055 0.00% to 21.20% 7/1/2000 - 1/1/2099 7,552,526 736,212 585,967 $250 to $500 6,474 0.00% to 11.50% 12/1/2005 - 6/1/2062 2,161,707 224,457 215,280 $500 to $750 971 1.99% to 10.99% 6/1/2021 - 5/1/2062 580,883 38,338 51,582 $750 to $1,000 363 2.00% to 9.99% 3/1/2013 - 11/1/2061 311,895 9,563 20,676 Over $1,000 443 1.73% to 10.69% 1/1/2021 - 11/1/2061 669,392 6,944 21,800 110,306 11,276,403 1,015,514 895,305 Total 116,876 12,060,530 1,063,944 932,966 The foreclosure, bankruptcy, and REO principal balances on our loans were $392 million, $211 million and $34 million, respectively, as of December 31, 2022, which are included in the table above. December 31, 2021 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,651 0.50% to 17.74% 7/9/1996 - 8/1/2057 521,020 60,329 32,575 $250 to $500 608 1.25% to 10.50% 11/1/2028 - 2/1/2057 211,276 21,468 11,586 $500 to $750 129 2.13% to 9.13% 9/1/2033 - 10/1/2056 77,678 7,923 5,392 $750 to $1,000 28 2.38% to 6.25% 2/1/2035 - 2/1/2052 23,390 3,176 — Over $1,000 22 2.13% to 6.63% 12/1/2021 - 10/1/2048 41,950 3,787 6,040 7,438 875,314 96,683 55,593 Fixed loans: $1 to $250 100,857 0.00% to21.20% 7/1/2000 - 1/1/2099 7,520,209 853,015 593,872 $250 to $500 5,610 0.00% to 11.50% 12/1/2005 - 11/1/2061 1,880,177 204,071 211,034 $500 to $750 746 1.00% to 10.14% 3/1/2021 - 7/1/2061 440,377 43,088 58,657 $750 to $1,000 151 2.00% to 9.00% 3/1/2013 - 5/1/2061 129,173 8,544 21,221 Over $1,000 144 2.00% to 10.69% 7/1/2020 - 7/1/2061 236,845 23,930 29,968 107,508 10,206,781 1,132,648 914,752 Total 114,946 11,082,095 1,229,331 970,345 (1) The above table excludes approximately $437 million of Loans held for investment for December 31, 2021, which were purchased prior to the reporting date and settled subsequent to the reporting date.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021, respectively: December 31, 2022 December 31, 2021 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-Agency RMBS Senior 18,513 16,731 — — Subordinated 257,658 175,603 653,616 500,288 Interest-only 3,286,545 98,764 3,904,665 172,501 Agency RMBS Interest-only 409,940 15,148 992,978 60,487 Agency CMBS Project loans 268,078 256,950 499,186 549,529 Interest-only 2,669,396 126,378 2,578,640 146,789 Loans held for investment, at fair value 12,060,631 11,359,236 11,519,255 12,261,926 Liabilities: Secured Financing Agreements, at fair value 382,838 374,172 — — Securitized debt at fair value, collateralized by Loans held for investment 7,856,140 7,100,742 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 years ended December 31, 2022 and 2021: For the Year Ended December 31, 2022 December 31, 2021 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-Agency RMBS Senior (1,801) — Subordinated (57,503) 62,736 Interest-only (45,330) (31,378) Agency RMBS Interest-only 38,826 (14,318) Agency CMBS Project loans (57,910) (111,963) Interest-only (13,125) (2,548) Loans held for investment, at fair value (1,347,558) 196,602 Liabilities: Secured Financing Agreements, at fair value 8,666 — Securitized debt at fair value, collateralized by Loans held for investment 683,784 338,226
Schedule of Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2022 and December 31, 2021 are presented below. December 31, 2022 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 1,147,481 $ — $ 1,147,481 Agency RMBS, at fair value — 15,148 — — 15,148 Agency CMBS, at fair value — 415,796 — — 415,796 Loans held for investment, at fair value — 204,636 11,154,600 — 11,359,236 Derivatives, at fair value — 18,793 — (14,697) 4,096 Liabilities: Secured Financing Agreement, at fair value — 374,172 — — 374,172 Securitized debt at fair value, collateralized by Loans held for investment — — 7,100,742 — 7,100,742 Derivatives, at fair value — 14,074 — (14,074) — 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 December 31, 2022 and December 31, 2021. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 23,589 1,429,503 1,122,982 Principal payments (178,300) (1,953,098) (1,844,397) Sales and Settlements (23,056) (5,368) — Net accretion (amortization) 31,387 (52,767) 5,021 Gains (losses) included in net income (Increase) decrease in provision for credit losses (7,036) — — Realized gains (losses) on sales and settlements (15,594) — — Net unrealized gains (losses) included in income (104,631) (1,343,807) (683,421) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (170,810) — — Ending balance Level 3 $ 1,147,481 $ 11,154,600 $ 7,100,742 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 December 31, 2022 and December 31, 2021 follows. The weighted average discount rates are based on fair value. December 31, 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%-25% 6.5% 1%-20% 7.7% 0%-10% 1.5% 26%-80% 31.8% Subordinated 6%-12% 7.6% 4%-15% 8.6% 0%-6% 0.5% 10%-81% 32.8% Interest-only 0%-85% 10.2% 6%-30% 9.7% 0%-7% 1.0% 0%-86% 29.1% 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 December 31, 2022 and December 31, 2021 follows: December 31, 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 5%-10% 6.4% 6%-15% 10.4% 0%-7% 1.2% 30%-60% 45.8% 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% December 31, 2022 December 31, 2021 Factor: Coupon Base Rate 6.3% 3.1% Actual 5.8% 6.1% FICO Base Rate 640 640 Actual 656 654 Loan-to-value (LTV) Base Rate 87% 87% Actual 82% 84% Loan Characteristics: Occupancy Owner Occupied 89% 91% Investor 5% 3% Secondary 6% 6% Property Type Single family 80% 83% Manufactured housing 3% 4% Multi-family/mixed use/other 17% 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 December 31, 2022 and December 31, 2021. December 31, 2022 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Equity method investments (1) 3 25,538 25,538 Secured financing agreements 2 3,060,592 3,080,982 Securitized debt, collateralized by Non-Agency RMBS 3 78,542 54,590 (1) Included in Other Assets on the Consolidated Statements of Financial Condition 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)	12 Months Ended
	Dec. 31, 2022
Disclosure of Repurchase Agreements [Abstract]
Schedule of Secured Financing Agreements and Maturities	The secured financing agreements principal outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of the collateral pledged as of December 31, 2022 and December 31, 2021 were: December 31, 2022 December 31, 2021 Secured financing agreements outstanding principal secured by: Agency RMBS (in thousands) $ 3,946 $ 23,170 Agency CMBS (in thousands) 355,934 589,535 Non-Agency RMBS and Loans held for investment (in thousands) (1) 3,083,551 2,648,908 Total: $ 3,443,431 $ 3,261,613 MBS pledged as collateral at fair value on Secured financing agreements: Agency RMBS (in thousands) $ 6,662 $ 28,320 Agency CMBS (in thousands) 382,547 617,457 Non-Agency RMBS and Loans held for investment (in thousands) 4,310,513 3,747,573 Total: $ 4,699,722 $ 4,393,350 Average balance of Secured financing agreements secured by: Agency RMBS (in thousands) $ 11,714 $ 47,155 Agency CMBS (in thousands) 376,551 963,894 Non-Agency RMBS and Loans held for investment (in thousands) 2,819,871 2,926,880 Total: $ 3,208,136 $ 3,937,929 Average borrowing rate of Secured financing agreements secured by: Agency RMBS 4.70 % 0.68 % Agency CMBS 4.49 % 0.21 % Non-Agency RMBS and Loans held for investment 6.86 % 2.78 % Average remaining maturity of Secured financing agreements secured by: Agency RMBS 17 Days 4 Days Agency CMBS 25 Days 13 Days Non-Agency RMBS and Loans held for investment 474 Days 257 Days Average original maturity of Secured financing agreements secured by: Agency RMBS 60 Days 61 Days Agency CMBS 42 Days 35 Days Non-Agency RMBS and Loans held for investment 499 Days 283 Days (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively. At December 31, 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. December 31, 2022 December 31, 2021 (dollars in thousands) Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Principal (1) Weighted Average Borrowing Rates Range of Borrowing Rates Overnight $ — N/A N/A $ — NA NA 1 to 29 days $ 493,918 4.66% 3.63% - 6.16% $ 1,018,670 0.73% 0.11% - 1.95% 30 to 59 days 762,768 6.14% 4.60% - 7.34% 379,031 1.66% 1.55% - 1.70% 60 to 89 days 225,497 6.04% 4.70% - 7.12% 342,790 1.86% 0.90% - 2.35% 90 to 119 days 43,180 6.54% 5.50% - 6.70% 67,840 1.66% 1.66% - 1.66% 120 to 180 days 401,638 5.88% 5.57% - 6.92% 157,944 1.38% 0.95% - 1.45% 180 days to 1 year 402,283 6.06% 5.63% - 6.64% 895,210 3.70% 1.95% - 4.38% 1 to 2 years 251,286 13.98% 13.98% - 13.98% 143,239 3.05% 3.05% - 3.05% 2 to 3 years 480,022 8.07% 8.07% - 8.07% — NA NA Greater than 3 years 382,839 5.14% 5.10% - 6.07% 256,889 5.56% 5.56% - 5.56% Total $ 3,443,431 6.61% $ 3,261,613 2.30% (1) The outstanding balance for secured financing agreements in the table above is net of $1 million and $3 million of deferred financing cost as of December 31, 2022 and 2021, respectively.

Securitized Debt (Tables)

Securitized Debt (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 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. December 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 640 $ 4,374 One to Three Years 523 2,361 Three to Five Years 71 949 Greater Than Five Years 92 82 Total $ 1,326 $ 7,766 The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Loans held for investment at December 31, 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. December 31, 2022 December 31, 2021 (dollars in thousands) Within One Year $ 1,636,544 $ 2,031,445 One to Three Years 2,535,642 2,886,255 Three to Five Years 1,733,022 1,697,760 Greater Than Five Years 1,949,240 1,145,995 Total $ 7,854,448 $ 7,761,455
Schedule of Callable Debt	December 31, 2022 (dollars in thousands) Year Principal Currently callable $ 1,518,136 2023 1,394,285 2024 1,225,292 2025 1,944,737 2026 238,492 2027 838,700 Total $ 7,159,642

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021. December 31, 2022 December 31, 2021 (dollars in thousands) Assets: Non-Agency RMBS, at fair value (1) $ 276,030 $ 399,048 Loans held for investment, at fair value 9,855,390 10,205,587 Accrued interest receivable 47,553 47,237 Other assets 20,293 14,719 Total Assets: $ 10,199,266 $ 10,666,591 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 78,542 $ 87,999 Securitized debt at fair value, collateralized by Loans held for investment 6,673,917 7,118,374 Accrued interest payable 17,427 15,101 Other liabilities 2,239 2,181 Total Liabilities: 6,772,125 7,223,655
Schedule of Income, OTTI and Expense Amounts Related to Consolidated VIEs	Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Year ended December 31, 2022 December 31, 2021 December 31, 2020 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 551,253 $ 586,580 $ 683,456 Interest expense, Non-recourse liabilities of VIEs 197,823 203,135 285,142 Net interest income $ 353,430 $ 383,445 $ 398,314 (Increase) decrease in provision for credit losses $ (1,904) $ 117 $ (117) Servicing fees $ 26,964 $ 26,818 $ 32,479

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022. The Company did not have any derivative instruments as of December 31, 2021. December 31, 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 1,485,000 Derivatives, at fair value $ 3,716 Derivatives, at fair value $ — Swaptions 1,000,000 Derivatives, at fair value $ 380 Derivatives, at fair value $ — Total $ 2,485,000 $ 4,096 $ — December 31, 2021 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ —
Schedule of Derivative Instruments, Gains (Losses)	The effect of the Company’s derivatives on the Consolidated Statements of Operations the years ended December 31, 2022, 2021, and 2020, respectively is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2022 December 31, 2021 December 30, 2020 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (10,358) $ — $ 204,611 Interest Rate Swaps Periodic interest cost of interest rate swaps, net (1) (2,313) — (470,352) Treasury Futures Net unrealized gains (losses) on derivatives — — (3,611) Treasury Futures Net realized gains (losses) on derivatives — — (34,700) Swaptions Net unrealized gains (losses) on derivatives 8,876 — — Total $ (3,795) $ — $ (304,052) (1) Includes loss on termination of interest rate swaps of $561 thousand and $464 million during the years ended December 31, 2022 and 2020, respectively.

Capital Stock (Tables)

Capital Stock (Tables)	12 Months Ended
	Dec. 31, 2022
Equity [Abstract]
Schedule of Earnings Per Share	EPS for the years ended December 31, 2022, 2021, and 2020 are computed as follows: For the Year Ended December 31, 2022 December 31, 2021 December 31, 2020 (dollars in thousands) Numerator: Net income (loss) available to common shareholders - Basic $ (586,831) $ 596,350 $ 15,104 Effect of dilutive securities: Interest expense attributable to convertible notes — 2,274 — Net income (loss) available to common shareholders - Diluted $ (586,831) $ 598,624 $ 15,104 Denominator: Weighted average basic shares 233,938,745 233,770,474 212,995,533 Effect of dilutive securities — 11,726,452 13,442,808 Weighted average dilutive shares 233,938,745 245,496,926 226,438,341 Net income (loss) per average share attributable to common stockholders - Basic $ (2.51) $ 2.55 $ 0.07 Net income (loss) per average share attributable to common stockholders - Diluted $ (2.51) $ 2.44 $ 0.07

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	12 Months Ended
	Dec. 31, 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 years ended December 31, 2022 and 2021: December 31, 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 (175,709) (175,709) Amounts reclassified from AOCI — — Net current period OCI (175,709) (175,709) Balance as of December 31, 2022 $ 229,345 $ 229,345 December 31, 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 (115,926) (115,926) Amounts reclassified from AOCI (37,116) (37,116) Net current period OCI (153,042) (153,042) Balance as of December 31, 2021 $ 405,054 $ 405,054

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans (Tables)	12 Months Ended
	Dec. 31, 2022
Compensation Related Costs [Abstract]
Schedule of Stock Awards	For the Year Ended December 31, 2022 December 31, 2021 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 2,816,848 $ 13.37 2,143,868 $ 16.51 Granted 523,957 $ 10.94 1,575,137 $ 10.57 Vested (178,261) $ 16.66 (264,917) $ 14.87 Forfeited (132,557) $ 15.52 (637,240) $ 16.41 Unvested shares outstanding - end of period 3,029,987 $ 12.66 2,816,848 $ 13.37

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2022 and December 31, 2021. December 31, 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 $ (3,434,765) $ — $ (3,434,765) $ 4,699,722 $ 33,415 $ 1,298,373 Interest Rate Swaps - Gross Assets 3,716 — 3,716 — 13,179 16,895 Interest Rate Swaps - Gross Liabilities (14,074) 14,074 — — 27,678 27,678 Swaptions - Gross Assets 15,077 (14,697) 380 — — 380 Swaptions - Gross Liabilities — — — — — — Total $ (3,430,046) $ (623) $ (3,430,669) $ 4,699,722 $ 74,271 $ 1,343,326 (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

Summarized Quarterly Results _2

Summarized Quarterly Results (Unaudited) (Tables)	12 Months Ended
	Dec. 31, 2022
Quarterly Financial Information Disclosure [Abstract]
Quarterly Financial Information	The following is a presentation of the results of operations for the quarters ended December 31, 2022, September 30, 2022, June 30, 2022 and March 31, 2022. For the Quarter Ended December 31, 2022 September 30, 2022 June 30, 2022 March 31, 2022 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 187,286 $ 188,303 $ 195,357 $ 202,175 Interest expense 106,891 83,464 78,467 64,473 Net interest income 80,395 104,839 116,890 137,702 Increase/(decrease) in provision for credit losses 3,834 (1,534) 4,497 240 Other investment gains (losses): — Net unrealized gains (losses) on derivatives (10,171) 10,307 (1,618) — Realized gains (losses) on terminations of interest rate swaps (561) — — — Periodic interest cost of swaps, net (1,629) (122) — — Net gains (losses) on derivatives (12,362) 10,185 (1,618) — Net unrealized gains (losses) on financial instruments at fair value 112,026 (239,513) (239,246) (370,167) Net realized gains (losses) on sales of investments (39,443) (37,031) — — Gain (loss) on Extinguishment of Debt — — (2,897) — Other Investment Gains (2,383) (462) 980 — Total other expenses 37,482 25,693 30,845 30,159 Net income (loss) $ 97,199 $ (186,145) $ (161,327) $ (262,794) Dividend on preferred stock $ 18,483 $ 18,438 $ 18,438 $ 18,408 Net income (loss) available to common shareholders $ 78,716 $ (204,583) $ (179,765) $ (281,202) Net income (loss) per common share-basic $ 0.34 $ (0.88) $ (0.76) $ (1.19) The following is a presentation of the results of operations for the quarters ended December 31, 2021, September 30, 2021, June 30, 2021 and March 31, 2021. For the Quarter Ended December 31, 2021 September 30, 2021 June 30, 2021 March 31, 2021 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 221,162 $ 220,579 $ 252,677 $ 243,127 Interest expense 66,598 71,353 80,610 108,066 Net interest income 154,564 149,226 172,067 135,061 Increase/(decrease) in provision for credit losses 92 (386) 453 (126) Net unrealized gains (losses) on financial instruments at fair value (108,286) 239,524 36,108 270,012 Net realized gains (losses) on sales of investments — — 7,517 37,796 Gain (loss) on Extinguishment of Debt 980 (25,622) (21,777) (237,137) Total other expenses 30,175 30,723 30,229 44,355 Net income (loss) $ 17,734 $ 331,468 $ 163,321 $ 157,591 Dividend on preferred stock $ 18,452 $ 18,438 $ 18,438 $ 18,438 Net income (loss) available to common shareholders $ (718) $ 313,030 $ 144,883 $ 139,153 Net income (loss) per common share-basic $ (0.00) $ 1.33 $ 0.63 $ 0.60

Organization (Details)

Organization (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2022 USD ($) subsidiary	Dec. 31, 2021 USD ($)	Dec. 31, 2020 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	$ 250	$ 1,000	$ 1,000
Capital commitment	75,000
Capital commitment, amount funded	$ 27,000

Summary of the Significant Ac_3

Summary of the Significant Accounting Policies (Details) - USD ($)	Dec. 31, 2022	Dec. 31, 2021
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Accruals for penalties and interest	$ 0	$ 0
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
Fair Value, Investments, Entities that Calculate Net Asset Value Per Share [Line Items]
Real estate acquired through foreclosure	$ 21,000,000	$ 15,000,000

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	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Investment Holdings [Line Items]
Principal or Notional Value	$ 8,261,615	$ 10,166,068
Total Premium	338,380	463,085
Total Discount	(764,137)	(948,929)
Amortized Cost	1,469,977	2,203,941
Allowance for credit losses	(7,188)	(213)	$ (180)
Fair Value	1,578,425	2,631,903
Gross Unrealized Gains	278,155	552,630
Gross Unrealized Losses	(162,519)	(124,455)
Net Unrealized Gain/(Loss)	115,636	428,175
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	1,153,458	1,283,788
Total Premium	7,377	5,906
Total Discount	(624,803)	(673,207)
Amortized Cost	536,032	616,487
Allowance for credit losses	(4,418)	(212)
Fair Value	761,808	985,682
Gross Unrealized Gains	237,127	369,913
Gross Unrealized Losses	(6,933)	(506)
Net Unrealized Gain/(Loss)	230,194	369,407
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	439,591	845,432
Total Premium	3,872	5,179
Total Discount	(139,142)	(274,843)
Amortized Cost	304,321	575,768
Allowance for credit losses	(2,770)	(1)
Fair Value	286,909	652,025
Gross Unrealized Gains	22,035	99,240
Gross Unrealized Losses	(36,677)	(22,982)
Net Unrealized Gain/(Loss)	(14,642)	76,258
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,286,545	3,904,665
Total Premium	162,820	191,230
Total Discount	0	0
Amortized Cost	162,820	191,230
Allowance for credit losses	0	0
Fair Value	98,764	172,501
Gross Unrealized Gains	15,968	36,512
Gross Unrealized Losses	(80,024)	(55,241)
Net Unrealized Gain/(Loss)	(64,056)	(18,729)
Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	409,940	992,978
Total Premium	18,768	102,934
Total Discount	0	0
Amortized Cost	18,768	102,934
Allowance for credit losses	0	0
Fair Value	15,148	60,487
Gross Unrealized Gains	1,371	0
Gross Unrealized Losses	(4,991)	(42,447)
Net Unrealized Gain/(Loss)	(3,620)	(42,447)
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	302,685	560,565
Total Premium	5,805	10,812
Total Discount	(192)	(879)
Amortized Cost	308,298	570,498
Allowance for credit losses	0	0
Fair Value	289,418	614,419
Gross Unrealized Gains	0	43,921
Gross Unrealized Losses	(18,880)	0
Net Unrealized Gain/(Loss)	(18,880)	43,921
Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	2,669,396	2,578,640
Total Premium	139,738	147,024
Total Discount	0	0
Amortized Cost	139,738	147,024
Allowance for credit losses	0	0
Fair Value	126,378	146,789
Gross Unrealized Gains	1,654	3,044
Gross Unrealized Losses	(15,014)	(3,279)
Net Unrealized Gain/(Loss)	(13,360)	(235)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value		1,283,788
Gross Unrealized Gains	237,127	369,913
Gross Unrealized Losses	(6,933)	(506)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value		845,432
Gross Unrealized Gains	22,035	99,240
Gross Unrealized Losses	(36,677)	(22,982)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,286,545	3,904,665
Gross Unrealized Gains	15,968	36,512
Gross Unrealized Losses	(80,024)	(55,241)
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value		992,978
Gross Unrealized Gains	1,371	0
Gross Unrealized Losses	(4,991)	(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	(18,880)	0
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value		2,578,640
Gross Unrealized Gains	1,654	3,044
Gross Unrealized Losses	$ (15,014)	$ (3,279)

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Details) $ in Thousands	Dec. 31, 2022 USD ($) security	Dec. 31, 2021 USD ($) security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 656,243	$ 216,214
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (87,584)	$ (7,500)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	260	44
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 97,874	$ 114,822
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (74,935)	$ (116,955)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	66	87
Total, Estimated Fair Value	$ 754,117	$ 331,036
Total, Unrealized Losses	$ (162,519)	$ (124,455)
Total, Number of Positions | security	326	131
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 83,553	$ 30,846
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (6,170)	$ (506)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	13	2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 7,577	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (763)	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	1	0
Total, Estimated Fair Value	$ 91,130	$ 30,846
Total, Unrealized Losses	$ (6,933)	$ (506)
Total, Number of Positions | security	14	2
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 161,959	$ 36,942
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (27,120)	$ (657)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	28	7
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 37,025	$ 28,371
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (9,557)	$ (22,325)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	8	9
Total, Estimated Fair Value	$ 198,984	$ 65,313
Total, Unrealized Losses	$ (36,677)	$ (22,982)
Total, Number of Positions | security	36	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	$ 41,890	$ 11,872
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (24,411)	$ (1,958)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	79	24
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 15,213	$ 30,474
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (55,613)	$ (53,283)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	50	56
Total, Estimated Fair Value	$ 57,103	$ 42,346
Total, Unrealized Losses	$ (80,024)	$ (55,241)
Total, Number of Positions | security	129	80
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 6,062	$ 5,003
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (500)	$ (1,215)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	4	4
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 2,825	$ 55,486
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (4,491)	$ (41,232)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	4	21
Total, Estimated Fair Value	$ 8,887	$ 60,489
Total, Unrealized Losses	$ (4,991)	$ (42,447)
Total, Number of Positions | security	8	25
Commercial Mortgage Backed Securities | Agency MBS - Project Loans
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 281,307
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (18,880)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	131
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	$ 281,307
Total, Unrealized Losses	$ (18,880)
Total, Number of Positions | security	131
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 81,472	$ 131,551
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (10,503)	$ (3,164)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	5	7
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 35,234	$ 491
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (4,511)	$ (115)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	3	1
Total, Estimated Fair Value	$ 116,706	$ 132,042
Total, Unrealized Losses	$ (15,014)	$ (3,279)
Total, Number of Positions | security	8	8

Mortgage-Backed Securities - Na

Mortgage-Backed Securities - Narrative (Details) - USD ($)	Dec. 31, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Gross Unrealized Losses	$ (162,519,000)	$ (124,455,000)
Agency MBS
Investment Holdings [Line Items]
Gross Unrealized Losses	(3,000,000)	0
Non-Agency RMBS
Investment Holdings [Line Items]
Gross Unrealized Losses	$ (20,000,000)	$ (506,000)

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ 213	$ 180
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	3,515	475
Allowance on purchased financial assets with credit deterioration	0	0
Reductions for the securities sold during the period	0	0
Increase/(decrease) on securities with an allowance in the prior period	4,525	(830)
Write-offs charged against the allowance	(1,204)	(86)
Recoveries of amounts previously written off	139	474
Ending allowance for credit losses	$ 7,188	$ 213

Mortgage-Backed Securities - Si

Mortgage-Backed Securities - Significant Credit Quality Indicators (Details) $ in Thousands	Dec. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)
Investment Holdings [Line Items]
Amortized Cost	$ 1,469,977	$ 2,203,941
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	536,032	616,487
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly
Investment Holdings [Line Items]
Amortized Cost	$ 88,062	$ 6,941
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.075	0.024
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.024	0.051
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.397	0.609
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Amortized Cost	$ 304,321	$ 575,768
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly
Investment Holdings [Line Items]
Amortized Cost	$ 66,914	$ 1
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.092	0.100
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | CDR
Investment Holdings [Line Items]
Significant Inputs	0.004	0.003
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average Borrowing Rates | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.409	0.300

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Details) - USD ($)	Dec. 31, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 251,727,000	$ 405,560,000
Gross Unrealized Gain Included in Cumulative Earnings	26,428,000	147,070,000
Total Gross Unrealized Gain	278,155,000	552,630,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(22,382,000)	(506,000)
Gross Unrealized Loss Included in Cumulative Earnings	(140,137,000)	(123,949,000)
Total Gross Unrealized Loss	(162,519,000)	(124,455,000)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Total Gross Unrealized Gain	237,127,000	369,913,000
Total Gross Unrealized Loss	(6,933,000)	(506,000)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Total Gross Unrealized Gain	22,035,000	99,240,000
Total Gross Unrealized Loss	(36,677,000)	(22,982,000)
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Total Gross Unrealized Gain	15,968,000	36,512,000
Total Gross Unrealized Loss	(80,024,000)	(55,241,000)
Agency RMBS - Interest-only
Investment Holdings [Line Items]
Total Gross Unrealized Gain	1,371,000	0
Total Gross Unrealized Loss	(4,991,000)	(42,447,000)
Agency MBS - Commercial
Investment Holdings [Line Items]
Total Gross Unrealized Gain	0	43,921,000
Total Gross Unrealized Loss	(18,880,000)	0
Agency CMBS - Interest-only
Investment Holdings [Line Items]
Total Gross Unrealized Gain	1,654,000	3,044,000
Total Gross Unrealized Loss	(15,014,000)	(3,279,000)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	237,127,000	369,913,000
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	237,127,000	369,913,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(5,132,000)	(506,000)
Gross Unrealized Loss Included in Cumulative Earnings	(1,801,000)	0
Total Gross Unrealized Loss	(6,933,000)	(506,000)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	14,600,000	33,587,000
Gross Unrealized Gain Included in Cumulative Earnings	7,435,000	65,653,000
Total Gross Unrealized Gain	22,035,000	99,240,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(14,418,000)	0
Gross Unrealized Loss Included in Cumulative Earnings	(22,259,000)	(22,982,000)
Total Gross Unrealized Loss	(36,677,000)	(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	15,968,000	36,512,000
Total Gross Unrealized Gain	15,968,000	36,512,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(80,024,000)	(55,241,000)
Total Gross Unrealized Loss	(80,024,000)	(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	1,371,000	0
Total Gross Unrealized Gain	1,371,000	0
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(4,991,000)	(42,447,000)
Total Gross Unrealized Loss	(4,991,000)	(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	(2,832,000)	0
Gross Unrealized Loss Included in Cumulative Earnings	(16,048,000)	0
Total Gross Unrealized Loss	(18,880,000)	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	1,654,000	3,044,000
Total Gross Unrealized Gain	1,654,000	3,044,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(15,014,000)	(3,279,000)
Total Gross Unrealized Loss	(15,014,000)	(3,279,000)
Agency MBS
Investment Holdings [Line Items]
Total Gross Unrealized Loss	$ (3,000,000)	$ 0

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Details) - USD ($) $ / shares in Units, $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 8,261,615	$ 10,166,068
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	1,153,458	1,283,788
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	439,591	845,432
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	3,286,545	3,904,665
Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	409,940	992,978
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	302,685	560,565
Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,669,396	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)	$ 46.09	$ 48.02
Weighted Average Fair Value (in dollars per share)	$ 66.05	$ 76.78
Weighted Average Coupon	5.30%	4.50%
Weighted Average Yield at Period-End	16.40%	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)	$ 68.60	$ 68.10
Weighted Average Fair Value (in dollars per share)	$ 65.27	$ 77.12
Weighted Average Coupon	4.20%	3.80%
Weighted Average Yield at Period-End	6.80%	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)	$ 3,286,545	$ 3,904,665
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.95	$ 4.90
Weighted Average Fair Value (in dollars per share)	$ 3.01	$ 4.42
Weighted Average Coupon	0.60%	1.70%
Weighted Average Yield at Period-End	5.30%	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)	$ 4.58	$ 10.37
Weighted Average Fair Value (in dollars per share)	$ 3.70	$ 6.09
Weighted Average Coupon	0.90%	1.30%
Weighted Average Yield at Period-End	5%	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)	$ 101.85	$ 101.77
Weighted Average Fair Value (in dollars per share)	$ 95.62	$ 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)	$ 5.23	$ 5.70
Weighted Average Fair Value (in dollars per share)	$ 4.73	$ 5.69
Weighted Average Coupon	0.70%	0.70%
Weighted Average Yield at Period-End	3.40%	4.60%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities of MBS by Estimated Weighted Average Life Classification (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Fair value
Less than one year, at fair value	$ 19,140	$ 18,512
Greater than one year and less than five years, at fair value	316,659	710,866
Greater than five years and less than ten years, at fair value	502,440	689,249
Greater than ten years, at fair value	740,186	1,213,276
Total maturities, at fair value	1,578,425	2,631,903
Amortized cost
Less than one year, at amortized cost	22,081	40,042
Greater than one year and less than five years, at amortized cost	331,634	606,616
Greater than five years and less than ten years, at amortized cost	433,349	562,909
Greater than ten years, at amortized cost	682,913	994,374
Amortized Cost	1,469,977	2,203,941
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	6,727	3,186
Greater than one year and less than five years, at fair value	152,811	279,222
Greater than five years and less than ten years, at fair value	308,351	318,684
Greater than ten years, at fair value	293,919	384,590
Total maturities, at fair value	761,808	985,682
Amortized cost
Less than one year, at amortized cost	6,336	2,349
Greater than one year and less than five years, at amortized cost	122,916	194,506
Greater than five years and less than ten years, at amortized cost	206,615	190,030
Greater than ten years, at amortized cost	200,165	229,602
Amortized Cost	536,032	616,487
Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	3,957	3,303
Greater than one year and less than five years, at fair value	6,829	149,089
Greater than five years and less than ten years, at fair value	113,903	276,979
Greater than ten years, at fair value	162,220	222,654
Total maturities, at fair value	286,909	652,025
Amortized cost
Less than one year, at amortized cost	1,184	1
Greater than one year and less than five years, at amortized cost	5,008	129,063
Greater than five years and less than ten years, at amortized cost	118,700	244,103
Greater than ten years, at amortized cost	179,429	202,601
Amortized Cost	304,321	575,768
Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	205	2,300
Greater than one year and less than five years, at fair value	30,780	140,558
Greater than five years and less than ten years, at fair value	65,038	29,642
Greater than ten years, at fair value	2,741	1
Total maturities, at fair value	98,764	172,501
Amortized cost
Less than one year, at amortized cost	6,249	27,764
Greater than one year and less than five years, at amortized cost	64,172	140,757
Greater than five years and less than ten years, at amortized cost	89,266	22,648
Greater than ten years, at amortized cost	3,133	61
Amortized Cost	162,820	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	0	0
Greater than five years and less than ten years, at fair value	15,148	60,487
Greater than ten years, at fair value	0	0
Total maturities, at fair value	15,148	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	0	0
Greater than five years and less than ten years, at amortized cost	18,768	102,934
Greater than ten years, at amortized cost	0	0
Amortized Cost	18,768	102,934
Agency MBS - Commercial
Fair value
Less than one year, at fair value	8,112	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	281,306	606,031
Total maturities, at fair value	289,418	614,419
Amortized cost
Less than one year, at amortized cost	8,112	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	300,186	562,110
Amortized Cost	308,298	570,498
Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	139	1,335
Greater than one year and less than five years, at fair value	126,239	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	126,378	146,789
Amortized cost
Less than one year, at amortized cost	200	1,540
Greater than one year and less than five years, at amortized cost	139,538	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	$ 139,738	$ 147,024

Mortgage-Backed Securities - Lo

Mortgage-Backed Securities - Loan Products Type and Characteristics (Details) - Non-Agency RMBS	Dec. 31, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	12.40%	14.50%
Bankruptcy
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	1.30%	1.30%
Foreclosure
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	3%	2.60%
REO
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	0.60%	0.40%
30 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	2.90%	3.40%
60 Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	1.30%	1.30%
90+ Days Delinquent
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Financing Receivable, Excluding Accrued Interest, Recorded Investment, Past Due, Percent Of Total Amount Outstanding	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	Dec. 31, 2022	Dec. 31, 2021
Investment Holdings [Line Items]
Weighted average maturity (years)	21 years 4 months 24 days	21 years 4 months 24 days
Weighted average amortized loan to value	58.20%	60.30%
Weighted average FICO	713	706
Weighted average loan balance (in thousands)	$ 258	$ 259
Weighted average percentage owner-occupied	84.40%	84%
Weighted average percentage single family residence	61.40%	62.70%
Weighted average current credit enhancement	1.10%	1.20%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	32.70%	31.20%
NY
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	11.30%	10.40%
FL
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	7.60%	8%
NJ
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	4.50%	4.60%

Mortgage-Backed Securities - Pe

Mortgage-Backed Securities - Percentage of Non-Agency RMBS By Year Originated (Details) - Non-Agency RMBS	Dec. 31, 2022	Dec. 31, 2021
Origination Year as a Percentage of Outstanding Principal Balance:
2003 and prior	0.70%	1.40%
2004	1.10%	1.20%
2005	9%	8.60%
2006	45%	53.70%
2007	30.80%	25.30%
2008 and later	13.40%	9.80%
Total	100%	100%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Investment Holdings [Line Items]
Net realized gain (loss)	$ (76,473)	$ 45,313	$ 166,946
Non-Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	23,056	47,877	166,747
Gross realized gains:	0	37,742	22,021
Gross realized losses:	(15,595)	(4,955)	(9,470)
Agency MBS - Residential
Investment Holdings [Line Items]
Proceeds from sales:	42,502	626	5,710,134
Gross realized gains:	0	0	74,264
Gross realized losses:	(60,878)	(1,209)	(5,816)
Agency MBS - Project Loans
Investment Holdings [Line Items]
Proceeds from sales:	0	201,037	1,060,987
Gross realized gains:	0	13,735	88,929
Gross realized losses:	$ 0	$ 0	$ (2,982)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Details) - USD ($)	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 11,900,000,000	$ 11,400,000,000
90+ Days Delinquent	932,966,000	970,345,000
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	25,000,000
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loans subject to bankruptcy protection	392,000,000	261,000,000
Underlying mortgages excluded from portfolio	211,000,000	216,000,000
Real estate acquired, loan value	34,000,000	28,000,000
Seasoned Subprime Residential Mortgage Loans | Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90+ Days Delinquent	$ 717,000,000	$ 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	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 12,261,926	$ 13,112,129
Transfer due to consolidation	1,047,838	0	$ 0
Purchases	1,615,377	3,364,609
Principal paydowns	(2,160,445)	(2,652,767)
Sales and settlements	(5,369)	(1,679,280)
Net periodic accretion (amortization)	(52,616)	(79,368)
Change in fair value	(1,347,475)	196,603
Balance, end of period	$ 11,359,236	$ 12,261,926	$ 13,112,129

Loans Held for Investment - Per

Loans Held for Investment - Percentage of Securitized Loans Held For Investment Carried at Fair Value by Year Originated (Details) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans - USD ($) $ in Millions	Dec. 31, 2022	Dec. 31, 2021
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	6%	6.60%
2003	5%	5.70%
2004	9.70%	11.70%
2005	16.30%	18.60%
2006	20.30%	22.70%
2007	21.50%	22.60%
2008	6.60%	6.20%
2009	1.50%	1.20%
2010 and later	13.10%	4.70%
Total	100%	100%
Underlying mortgages excluded from portfolio		$ 437

Loans Held for Investment - Key

Loans Held for Investment - Key Characteristics of Residential Loan Portfolio (Details) $ in Thousands	Dec. 31, 2022 USD ($) loan	Dec. 31, 2021 USD ($) loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	116,876	114,946
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	116,876	114,946
Weighted average maturity (years)	20 years 10 months 24 days	19 years 3 months 18 days
Weighted average loan to value	82.20%	84.20%
Weighted average FICO	658	656
Weighted average loan balance (in thousands) | $	$ 103	$ 96
Weighted average percentage owner-occupied	87.50%	88.80%
Weighted average percentage single family residence	79.30%	82.20%
Underlying mortgages excluded from portfolio | $		$ 437,000
Loans Held for Investment at Fair Value | CA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	14.60%	13.90%
Loans Held for Investment at Fair Value | NY | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.50%	8%
Loans Held for Investment at Fair Value | FL | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	8.50%	8.10%
Loans Held for Investment at Fair Value | PA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.50%	4.80%
Loans Held for Investment at Fair Value | VA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	4.40%	4.80%

Loans Held for Investment - Var

Loans Held for Investment - Various Characteristics of Residential Loan Portfolio (Details) $ in Thousands	Dec. 31, 2022 USD ($) loan	Dec. 31, 2021 USD ($) loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	116,876	114,946
Total Principal	$ 12,060,530	$ 11,082,095
30-89 Days Delinquent	1,063,944	1,229,331
90+ Days Delinquent	$ 932,966	$ 970,345
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	116,876	114,946
Underlying mortgages excluded from portfolio		$ 437,000
Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	6,570	7,438
Total Principal	$ 784,127	$ 875,314
30-89 Days Delinquent	48,430	96,683
90+ Days Delinquent	$ 37,661	$ 55,593
Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	110,306	107,508
Total Principal	$ 11,276,403	$ 10,206,781
30-89 Days Delinquent	1,015,514	1,132,648
90+ Days Delinquent	$ 895,305	$ 914,752
$1 to $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	5,861	6,651
Total Principal	$ 439,907	$ 521,020
30-89 Days Delinquent	34,921	60,329
90+ Days Delinquent	$ 24,712	$ 32,575
$1 to $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	102,055	100,857
Total Principal	$ 7,552,526	$ 7,520,209
30-89 Days Delinquent	736,212	853,015
90+ Days Delinquent	$ 585,967	$ 593,872
$250 to $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	493	608
Total Principal	$ 170,897	$ 211,276
30-89 Days Delinquent	8,843	21,468
90+ Days Delinquent	$ 8,191	$ 11,586
$250 to $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	6,474	5,610
Total Principal	$ 2,161,707	$ 1,880,177
30-89 Days Delinquent	224,457	204,071
90+ Days Delinquent	$ 215,280	$ 211,034
$500 to $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	141	129
Total Principal	$ 85,028	$ 77,678
30-89 Days Delinquent	2,962	7,923
90+ Days Delinquent	$ 4,758	$ 5,392
$500 to $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	971	746
Total Principal	$ 580,883	$ 440,377
30-89 Days Delinquent	38,338	43,088
90+ Days Delinquent	$ 51,582	$ 58,657
$750 to $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	41	28
Total Principal	$ 35,365	$ 23,390
30-89 Days Delinquent	1,704	3,176
90+ Days Delinquent	$ 0	$ 0
$750 to $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	363	151
Total Principal	$ 311,895	$ 129,173
30-89 Days Delinquent	9,563	8,544
90+ Days Delinquent	$ 20,676	$ 21,221
Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	34	22
Total Principal	$ 52,930	$ 41,950
30-89 Days Delinquent	0	3,787
90+ Days Delinquent	$ 0	$ 6,040
Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Underlying Mortgage Loans | loan	443	144
Total Principal	$ 669,392	$ 236,845
30-89 Days Delinquent	6,944	23,930
90+ Days Delinquent	$ 21,800	$ 29,968
Minimum | $1 to $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	1.88%	0.50%
Minimum | $1 to $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	0%	0%
Minimum | $250 to $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	1.25%	1.25%
Minimum | $250 to $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	0%	0%
Minimum | $500 to $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.50%	2.13%
Minimum | $500 to $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	1.99%	1%
Minimum | $750 to $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.63%	2.38%
Minimum | $750 to $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2%	2%
Minimum | Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.38%	2.13%
Minimum | Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	1.73%	2%
Maximum | $1 to $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	21.49%	17.74%
Maximum | $1 to $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	21.20%	21.20%
Maximum | $250 to $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	12.50%	10.50%
Maximum | $250 to $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	11.50%	11.50%
Maximum | $500 to $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	8.13%	9.13%
Maximum | $500 to $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	10.99%	10.14%
Maximum | $750 to $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	8.50%	6.25%
Maximum | $750 to $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	9.99%	9%
Maximum | Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	7.25%	6.63%
Maximum | Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	10.69%	10.69%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	3 Months Ended	12 Months Ended
	Dec. 31, 2022 USD ($) loan	Dec. 31, 2022 USD ($) 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	$ 11,359,236	$ 11,359,236	$ 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	11,359,236	11,359,236	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	11,154,600	11,154,600	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	204,636	204,636	$ 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	$ 3,000	$ 3,000
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan	14	14	7
Excess (deficit) of third party prices over internally developed price, assets	$ 14,000	$ 14,000	$ 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	$ 122,000	$ 122,000	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	6	6
Assets, fair value disclosure	$ 35,000	$ 35,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure	$ 96,000	$ 96,000	$ 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	8	8	3
Assets, fair value disclosure	$ 2,100,000	$ 2,100,000	$ 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	32,000	32,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure	82,000	82,000	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	2,000,000	2,000,000	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	Dec. 31, 2022	Dec. 31, 2021
Assets:
Unpaid Principal/ Notional	$ 8,261,615	$ 10,166,068
Loans held for investment, fair value	11,359,236	12,261,926
Liabilities:
Secured financing agreements	3,434,765	3,261,613
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,100,742	7,726,043
Non-Agency RMBS | Senior
Assets:
Unpaid Principal/ Notional	18,513	0
Fair Value	16,731	0
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	257,658	653,616
Fair Value	175,603	500,288
Non-Agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	3,286,545	3,904,665
Fair Value	98,764	172,501
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	409,940	992,978
Fair Value	15,148	60,487
Agency MBS - Project Loans
Assets:
Unpaid Principal/ Notional	302,685	560,565
Agency MBS - Project Loans | Interest-only
Assets:
Unpaid Principal/ Notional	2,669,396	2,578,640
Fair Value	126,378	146,789
Agency MBS - Project Loans | Project loans
Assets:
Unpaid Principal/ Notional	268,078	499,186
Fair Value	256,950	549,529
Loans held for investment
Assets:
Loans held for investment, Unpaid Principal/Notional	12,060,631	11,519,255
Loans held for investment, fair value	11,359,236	12,261,926
Securitized debt
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	7,856,140	7,762,864
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,100,742	7,726,043
Secured Financing Agreements, at fair value
Liabilities:
Secured financing agreements	382,838	0
Securities sold under agreements to repurchase, Fair value	$ 374,172	$ 0

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	12 Months Ended
	Dec. 31, 2022	Dec. 31, 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	$ (1,801)	$ 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	(57,503)	62,736
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	(45,330)	(31,378)
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	38,826	(14,318)
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	(13,125)	(2,548)
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	(57,910)	(111,963)
Loans held for investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	(1,347,558)	196,602
Secured Financing Agreements, at fair value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	8,666	0
Securitized debt
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Gain/(Loss) on Change in Fair Value	$ 683,784	$ 338,226

Fair Value Measurements - Finan

Fair Value Measurements - Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Assets:
Non-Agency RMBS, at fair value	$ 1,147,481	$ 1,810,208
Agency RMBS, at fair value	15,148	60,487
Agency CMBS, at fair value	415,796	761,208
Loans held for investment, at fair value	11,359,236	12,261,926
Derivatives, at fair value	4,096	0
Liabilities:
Securitized debt at fair value, collateralized by Loans held for investment	7,100,742	7,726,043
Derivative liabilities, at fair value	0	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	1,147,481	1,810,208
Agency RMBS, at fair value	15,148	60,487
Agency CMBS, at fair value	415,796
Loans held for investment, at fair value	11,359,236	12,261,926
Counterparty and Cash Collateral, netting	(14,697)
Derivatives, at fair value	4,096
Liabilities:
Securities sold under agreements to repurchase, Fair value	374,172
Securitized debt at fair value, collateralized by Loans held for investment	7,100,742	7,726,043
Counterparty and Cash Collateral, netting	(14,074)
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:
Securities sold under agreements to repurchase, Fair value	0
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	15,148	60,487
Agency CMBS, at fair value	415,796	761,208
Loans held for investment, at fair value	204,636	229,627
Derivatives, at fair value	18,793
Liabilities:
Securities sold under agreements to repurchase, Fair value	374,172
Securitized debt at fair value, collateralized by Loans held for investment	0	0
Derivatives	14,074
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	1,147,481	1,810,208
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	11,154,600	12,032,299
Derivatives, at fair value	0
Liabilities:
Securities sold under agreements to repurchase, Fair value	0
Securitized debt at fair value, collateralized by Loans held for investment	7,100,742	$ 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	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2022	Dec. 31, 2021
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Asset, Gain (Loss), Statement of Other Comprehensive Income or Comprehensive Income [Extensible Enumeration]		Net unrealized gains (losses) on financial instruments at fair value
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		1,122,982	5,521,953
Securitized Debt, Principal payments		(1,844,397)	(2,247,983)
Securitized Debt, Sales and Settlements		0	(4,192,295)
Securitized Debt, Net accretion (amortization)		5,021	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		(683,421)	(338,222)
Securitized Debt, Gains (losses) included in other comprehensive income		0	0
Securitized Debt, Ending balance, Level 3	$ 7,100,742	7,100,742	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		23,589	34,656
Principal payments		(178,300)	(299,330)
Sales and settlements		(23,056)	(47,674)
Net accretion (amortization)		31,387	57,473
Gains (losses) included in net income
(Increase) decrease in provision for credit losses		(7,036)	(33)
Realized gains (losses) on sales and settlements		(15,594)	32,807
Net unrealized gains (losses) included in income		(104,631)	31,358
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period		(170,810)	(149,763)
Ending balance Level 3	1,147,481	1,147,481	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		(5,369)	(1,679,280)
Gains (losses) included in net income
Net unrealized gains (losses) included in income		(1,347,475)	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		1,429,503	3,248,683
Principal payments		(1,953,098)	(2,495,015)
Sales and settlements		(5,368)	(1,679,280)
Net accretion (amortization)		(52,767)	(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		(1,343,807)	197,203
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period		0	0
Ending balance Level 3	$ 11,154,600	$ 11,154,600	$ 12,032,299

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Details) - Level 3	Dec. 31, 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	0.25	0.10
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.12	0.10
Discount Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.85	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	0.076	0.056
Discount Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.102	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	0.04	0.06
Prepay Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
Prepay Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.20	0.30
Prepay Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.45
Prepay Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.55
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.077	0.114
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.086	0.178
Prepay Rate | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.097	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	0.10	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	0.07	0.09
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.015	0.018
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.005	0.011
CDR | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.010	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	0.80	0.78
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.81	0.55
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.86	0.84
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.318	0.366
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.328	0.401
Loss Severity | Weighted Average Borrowing Rates | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.291	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	Dec. 31, 2022	Dec. 31, 2021
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.05	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	0.064	0.026
Prepay Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
Prepay Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.20
Prepay Rate | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.104	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	0.07	0.11
CDR | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.012	0.014
Loss Severity | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.30
Loss Severity | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.60	0.75
Loss Severity | Weighted Average Borrowing Rates
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.458	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	Dec. 31, 2022	Dec. 31, 2021
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.80%	6.10%
FICO	656	654
Loan-to-value (LTV)	82%	84%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	80%	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	17%	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	6.30%	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	Dec. 31, 2022	Dec. 31, 2021
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 78,542	$ 87,999
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	3,060,592	3,261,613
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	78,542	87,999
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Secured financing agreements	3,080,982	3,265,577
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Equity method investments	25,538
Securitized debt, collateralized by Non-Agency RMBS	$ 54,590	$ 72,505

Secured Financing Agreements -

Secured Financing Agreements - Narrative (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2022	Dec. 31, 2021
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	$ 3,434,765	$ 3,434,765	$ 3,261,613
Margin cash collateral pledged to repurchase agreement counterparties	$ 33,415	$ 33,415	19,078
Decrease in share price (as a percent)		(50.00%)
Weighted average maturity	5 years
Secured financing agreements	$ 3,434,765	$ 3,434,765	3,261,613
Securities sold under agreements to repurchase, weighted average borrowing rate	5.14%
Securities sold under agreements to repurchase, haircut	7.50%
Nomura
Repurchase Agreement Counterparty [Line Items]
Amount at risk	$ 308,000	308,000
Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Unused warehouse credit facilities	1,900,000	$ 1,900,000
Repurchase Agreements | Nomura | Stockholders' Equity, Total | Credit Concentration Risk | Asset Pledged as Collateral
Repurchase Agreement Counterparty [Line Items]
Concentration risk (as a percent)		12%
Weighted average maturity		582 days
Minimum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility		30 days
Maximum | Warehouse Agreement Borrowings
Repurchase Agreement Counterparty [Line Items]
Maturity dates of credit facility		1 year
Not Subject to Additional Margin Requirements Upon Change in Fair Value of Collateral Pledged
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	1,200,000	$ 1,200,000	1,200,000
Secured financing agreements	1,200,000	1,200,000	1,200,000
Not Subject to Additional Margin Requirements Until Drop in Fair Value of Collateral
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	365,000	365,000	113,000
Secured financing agreements	365,000	365,000	113,000
Secured Financing Agreements, at fair value
Repurchase Agreement Counterparty [Line Items]
Repurchase agreements outstanding	382,838	382,838	0
Secured financing agreements	382,838	382,838	0
Fair value of pledged collateral	418,000	418,000
Securities sold under agreements to repurchase, Fair value	$ 374,172	$ 374,172	$ 0

Secured Financing Agreements _2

Secured Financing Agreements - Schedule of Secured Financing Agreements (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	$ 3,434,765	$ 3,261,613
Debt issuance costs, net	1,000	3,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	3,443,431	3,261,613
Average balance of Secured financing agreements secured by:	3,208,136	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	4,699,722	4,393,350
Repurchase Agreements | Agency RMBS
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	3,946	23,170
Average balance of Secured financing agreements secured by:	$ 11,714	$ 47,155
Average borrowing rate of Secured financing agreements secured by:	4.70%	0.68%
Average remaining maturity of Secured financing agreements secured by:	17 days	4 days
Average original maturity of Secured financing agreements secured by:	60 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	$ 6,662	$ 28,320
Repurchase Agreements | Agency MBS - Project Loans
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	355,934	589,535
Average balance of Secured financing agreements secured by:	$ 376,551	$ 963,894
Average borrowing rate of Secured financing agreements secured by:	4.49%	0.21%
Average remaining maturity of Secured financing agreements secured by:	25 days	13 days
Average original maturity of Secured financing agreements secured by:	42 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	$ 382,547	$ 617,457
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Secured financing agreements outstanding principal secured by:	3,083,551	2,648,908
Average balance of Secured financing agreements secured by:	$ 2,819,871	$ 2,926,880
Average borrowing rate of Secured financing agreements secured by:	6.86%	2.78%
Average remaining maturity of Secured financing agreements secured by:	474 days	257 days
Average original maturity of Secured financing agreements secured by:	499 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	$ 4,310,513	$ 3,747,573

Secured Financing Agreements _3

Secured Financing Agreements - Maturities (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	$ 3,434,765	$ 3,261,613
Debt issuance costs, net	1,000	3,000
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	3,443,431	3,261,613
Repurchase Agreements | Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	0	0
Repurchase Agreements | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	493,918	1,018,670
Repurchase Agreements | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	762,768	379,031
Repurchase Agreements | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	225,497	342,790
Repurchase Agreements | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	43,180	67,840
Repurchase Agreements | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	401,638	157,944
Repurchase Agreements | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	402,283	895,210
Repurchase Agreements | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	251,286	143,239
Repurchase Agreements | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	480,022	0
Repurchase Agreements | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Gross Amounts of Recognized  Assets (Liabilities)	$ 382,839	$ 256,889
Repurchase Agreements | Weighted Average Borrowing Rates
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.61%	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)	4.66%	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)	6.14%	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)	6.04%	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)	6.54%	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)	5.88%	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)	6.06%	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)	13.98%	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)	8.07%
Repurchase Agreements | Weighted Average Borrowing Rates | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.14%	5.56%
Repurchase Agreements | Minimum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	3.63%	0.11%
Repurchase Agreements | Minimum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.60%	1.55%
Repurchase Agreements | Minimum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	4.70%	0.90%
Repurchase Agreements | Minimum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.50%	1.66%
Repurchase Agreements | Minimum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.57%	0.95%
Repurchase Agreements | Minimum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.63%	1.95%
Repurchase Agreements | Minimum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	13.98%	3.05%
Repurchase Agreements | Minimum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.07%
Repurchase Agreements | Minimum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	5.10%	5.56%
Repurchase Agreements | Maximum | 1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.16%	1.95%
Repurchase Agreements | Maximum | 30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.34%	1.70%
Repurchase Agreements | Maximum | 60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	7.12%	2.35%
Repurchase Agreements | Maximum | 90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.70%	1.66%
Repurchase Agreements | Maximum | 120 to 180 days
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.92%	1.45%
Repurchase Agreements | Maximum | 180 days to 1 year
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.64%	4.38%
Repurchase Agreements | Maximum | 1 to 2 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	13.98%	3.05%
Repurchase Agreements | Maximum | 2 to 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	8.07%
Repurchase Agreements | Maximum | Greater than 3 years
Assets Sold under Agreements to Repurchase [Line Items]
Borrowing rates (as a percent)	6.07%	5.56%

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Details) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 0	$ 0	$ (2,897,000)	$ 0	$ 980,000	$ (25,622,000)	$ (21,777,000)	$ (237,137,000)	$ (2,897,000)	$ (283,556,000)	$ (54,418,000)
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 110,000,000				$ 113,000,000				$ 110,000,000	$ 113,000,000
Weighted average cost of financing (as a percent)	6.70%				6.70%				6.70%	6.70%
Acquired securitized debt collateral outstanding principal balance										$ 370,000
Repurchase of non retained secured debt										478,000
Gains (losses) on extinguishment of debt										(108,000)
Variable Interest Entities, Primary Beneficiary | Securitized debt | Securitized Loans
Debt Instrument [Line Items]
Principal balance	$ 7,900,000,000				$ 7,800,000,000				$ 7,900,000,000	$ 7,800,000,000
Weighted average cost of financing (as a percent)	2.80%				2.40%				2.80%	2.40%
Acquired securitized debt collateral outstanding principal balance									$ 0	$ 3,900,000,000
Repurchase of non retained secured debt										4,200,000,000
Gains (losses) on extinguishment of debt										$ (260,000,000)

Securitized Debt - Maturities o

Securitized Debt - Maturities of Long-Term Debt (Details) - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,636,544	$ 2,031,445
One to Three Years	2,535,642	2,886,255
Three to Five Years	1,733,022	1,697,760
Greater Than Five Years	1,949,240	1,145,995
Total	7,854,448	7,761,455
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	640	4,374
One to Three Years	523	2,361
Three to Five Years	71	949
Greater Than Five Years	92	82
Total	$ 1,326	$ 7,766

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Details) - Securitized Loans $ in Thousands	Dec. 31, 2022 USD ($)
Debt Instrument, Redemption [Line Items]
Currently callable	$ 1,518,136
2023	1,394,285
2024	1,225,292
2025	1,944,737
2026	238,492
2027	838,700
Total	$ 7,159,642

Long Term Debt (Details)

Long Term Debt (Details) - Convertible Senior Notes due 2023 - Convertible Debt - USD ($)	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Debt Instrument [Line Items]
Number of Loans		7%
Outstanding amount of debt	$ 0	$ 0
Interest expense	$ 0	$ 2,000,000	$ 7,000,000

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Details) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 813	$ 1,200
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	871	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
Non-Agency RMBS | Maximum | Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	23	220
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases	$ 2,700	$ 6,600

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Assets and Liabilities Related to the Consolidated VIEs (Details) - USD ($) $ in Thousands		Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Assets:
Non-Agency RMBS, at fair value		$ 1,147,481	$ 1,810,208
Loans held for investment, at fair value		11,359,236	12,261,926
Accrued interest receivable		61,768	69,513
Other assets		133,866	58,320
Assets	[1]	13,401,991	15,407,403
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		78,542	87,999
Securitized debt at fair value, collateralized by Loans held for investment		7,100,742	7,726,043
Accrued interest payable		30,696	20,416
Other liabilities		16,616	11,574
Liabilities	[1]	10,735,188	11,671,212
Allowance for credit losses		7,188	213	$ 180
Non-Agency RMBS
Liabilities:
Allowance for credit losses		7,000	213
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value		276,030	399,048
Loans held for investment, at fair value		9,855,390	10,205,587
Accrued interest receivable		47,553	47,237
Other assets		20,293	14,719
Assets		10,199,266	10,666,591
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS		78,542	87,999
Securitized debt at fair value, collateralized by Loans held for investment		6,673,917	7,118,374
Accrued interest payable		17,427	15,101
Other liabilities		2,239	2,181
Liabilities		6,772,125	$ 7,223,655
Variable Interest Entities, Primary Beneficiary | Non-Agency RMBS
Liabilities:
Allowance for credit losses		$ 2,000
[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 December 31, 2022, and December 31, 2021, total assets of consolidate d VIEs were $10,199,266 and $10,666,591, respectively, and total liabilities of consolidated VIEs were $6,772,125 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								12 Months Ended
	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Variable Interest Entity [Line Items]
Net interest income	$ 80,395	$ 104,839	$ 116,890	$ 137,702	$ 154,564	$ 149,226	$ 172,067	$ 135,061	$ 439,828	$ 610,918	$ 514,069
(Increase) decrease in provision for credit losses									(7,037)	(33)	(180)
Servicing and asset manager fees									36,005	36,555	39,896
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
(Increase) decrease in provision for credit losses									(1,904)	117	(117)
Servicing and asset manager fees									26,964	26,818	32,479
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									551,253	586,580	683,456
Interest expense, Non-recourse liabilities of VIEs									197,823	203,135	285,142
Net interest income									$ 353,430	$ 383,445	$ 398,314

Derivative Instruments - Additi

Derivative Instruments - Additional Information (Details) $ in Thousands	3 Months Ended				12 Months Ended
	Dec. 31, 2022 USD ($)	Sep. 30, 2022 USD ($)	Jun. 30, 2022 USD ($)	Mar. 31, 2022 USD ($)	Dec. 31, 2022 USD ($)	Dec. 31, 2021 USD ($)	Dec. 31, 2020 USD ($)
Derivative [Line Items]
Notional amount	$ 2,485,000				$ 2,485,000	$ 0
Derivative termination provision, stockholders' equity threshold					$ 1,000,000
Derivative termination provision, leverage ratio					12
Realized loss on terminations of interest rate swaps	561	$ 0	$ 0	$ 0	$ 561	0	$ 463,966
Interest Rate Swaps
Derivative [Line Items]
Derivative, notional amount of derivative terminated					1,000,000
Swaptions
Derivative [Line Items]
Length of contract			1 year
Notional amount	1,000,000		$ 1,000,000		1,000,000	0
Strike rate			3.26%
Derivative interest rate			3.26%
Premium paid for swaption contract			$ 6,000
Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,485,000				$ 1,485,000	$ 0
Derivative weighted average pay rate	4.07%				4.07%
Derivative weighted average receive rate	4.30%				4.30%
Interest Rate Swaps | Minimum
Derivative [Line Items]
Derivative remaining maturity					4 years

Derivative Instruments - Fair V

Derivative Instruments - Fair Value of Reported Derivatives (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Jun. 30, 2022	Dec. 31, 2021
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 2,485,000		$ 0
Derivative assets, at fair value	4,096		0
Derivative liabilities, at fair value	0		0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,485,000		0
Derivative assets, at fair value	3,716		0
Derivative liabilities, at fair value	0		0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,000,000	$ 1,000,000	0
Derivative assets, at fair value	380		0
Derivative liabilities, at fair value	$ 0		$ 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				12 Months Ended
	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ (10,171)	$ 10,307	$ (1,618)	$ 0	$ (1,482)	$ 0	$ 201,000
Periodic interest cost of swaps, net					(1,752)	0	(41,086)
Net realized gains (losses) on derivatives	(1,629)	(122)	0	0
Net gains (losses) on derivatives	(12,362)	10,185	(1,618)	0	(3,795)	0	(304,052)
Realized loss on terminations of interest rate swaps	$ 561	$ 0	$ 0	$ 0	561	0	463,966
Future
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives					0	0	(3,611)
Net realized gains (losses) on derivatives					0	0	(34,700)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives					(10,358)	0	204,611
Periodic interest cost of swaps, net					(2,313)	0	(470,352)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives					$ 8,876	$ 0	$ 0

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020	Oct. 30, 2021
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,483,000	$ 18,438,000	$ 18,438,000	$ 18,408,000	$ 18,452,000	$ 18,438,000	$ 18,438,000	$ 18,438,000	$ 73,765,000	$ 73,764,000	$ 73,750,000
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 12,000,000	$ 12,000,000
Preferred stock dividends declared (in USD per share)									$ 2	$ 2
Preferred stock, shares outstanding (shares)	5,800,000				5,800,000				5,800,000	5,800,000		5,800,000
Preferred Stock, liquidation preference	$ 145,000				$ 145,000				$ 145,000	$ 145,000		$ 145,000,000
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 26,000,000	$ 26,000,000
Preferred stock dividends declared (in USD per share)									$ 2	$ 2
Preferred stock, shares outstanding (shares)	13,000,000				13,000,000				13,000,000	13,000,000
Preferred Stock, liquidation preference	$ 325,000				$ 325,000				$ 325,000	$ 325,000
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 20,000,000	$ 20,000,000
Preferred stock dividends declared (in USD per share)									$ 1.937500	$ 1.937500
Preferred stock, shares outstanding (shares)	10,400,000				10,400,000				10,400,000	10,400,000
Preferred Stock, liquidation preference	$ 260,000				$ 260,000				$ 260,000	$ 260,000
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock									$ 16,000,000	$ 16,000,000
Preferred stock dividends declared (in USD per share)									$ 2	$ 2
Preferred stock, shares outstanding (shares)	8,000,000				8,000,000				8,000,000	8,000,000
Preferred Stock, liquidation preference	$ 200,000				$ 200,000				$ 200,000	$ 200,000

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Details) - USD ($)	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020	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)	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	$ 22,066,000
Stock repurchased during period	48,886,000	1,828,000	22,066,000
Remaining authorized repurchase amount	177,000,000
Common dividends declared	$ 266,139,000	$ 307,583,000	$ 301,270,000
Dividends declared per share of common stock (usd per share)	$ 1.12	$ 1.29
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 266,000,000	$ 308,000,000
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								12 Months Ended
	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Net Income (Loss) Available to Common Stockholders, Basic [Abstract]
Net income (loss) available to common shareholders - Basic	$ 78,716	$ (204,583)	$ (179,765)	$ (281,202)	$ (718)	$ 313,030	$ 144,883	$ 139,153	$ (586,831)	$ 596,350	$ 15,104
Interest expense attributable to convertible notes									0	2,274	0
Net income (loss) available to common shareholders - Diluted									$ (586,831)	$ 598,624	$ 15,104
Weighted Average Number of Shares Outstanding, Diluted, Adjustment [Abstract]
Weighted average basic shares (shares)									233,938,745	233,770,474	212,995,533
Effect of dilutive securities (shares)									0	11,726,452	13,442,808
Weighted average dilutive shares (shares)									233,938,745	245,496,926	226,438,341
Net income (loss) per average share attributable to common stockholders - Basic (usd per share)	$ 0.34	$ (0.88)	$ (0.76)	$ (1.19)	$ 0	$ 1.33	$ 0.63	$ 0.60	$ (2.51)	$ 2.55	$ 0.07
Net income (loss) per average share attributable to common stockholders - Diluted (usd per share)									$ (2.51)	$ 2.44	$ 0.07

Capital Stock - Dilutive Securi

Capital Stock - Dilutive Securities (Details) - shares	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Equity [Abstract]
Securities excluded from computation of EPS (in shares)	2,600,000	126,000

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Schedule of Components of AOCI (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
AOCI [Roll Forward]
Beginning Balance	$ 3,736,191	$ 3,779,386	$ 3,953,293
OCI before reclassifications	(175,709)	(115,926)
Amounts reclassified from AOCI	0	(37,116)
Other comprehensive income (loss)	(175,709)	(153,042)	(150,240)
Ending Balance	2,666,803	3,736,191	3,779,386
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	405,054	558,096
OCI before reclassifications	(175,709)	(115,926)
Amounts reclassified from AOCI	0	(37,116)
Other comprehensive income (loss)	(175,709)	(153,042)
Ending Balance	229,345	405,054	558,096
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	405,054	558,096	708,336
Other comprehensive income (loss)	(175,709)	(153,042)	(150,240)
Ending Balance	$ 229,345	$ 405,054	$ 558,096

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Narrative (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 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_3

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Details)	12 Months Ended
	Dec. 31, 2022 USD ($) installment shares	Dec. 31, 2021 USD ($) tranche shares	Dec. 31, 2020 shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Awards reserved for future issuance (in shares)	3,029,987	2,816,848	2,143,868
Granted shares (shares)	523,957	1,575,137
Shares forfeited by employees to pay taxes (in shares)	129,000	632,000
Common dividends declared | $	$ 9,000,000	$ 12,000,000
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 | $	$ 514,000	$ 446,000
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)	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)	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)	1,000,000	699,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Performance period	3 years
Granted shares (shares)	396,000	393,000
Grant date fair value | $	$ 4,000,000	$ 5,000,000
Restricted Stock Units (RSUs) | Senior Management
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period		4 years
Granted shares (shares)		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
Granted shares (shares)	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%

Equity Compensation, Employme_4

Equity Compensation, Employment Agreements and other Benefit Plans - Stock Awards (Details) - $ / shares	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward]
Unvested shares outstanding - beginning of period (in shares)	2,816,848	2,143,868
Granted (in shares)	523,957	1,575,137
Vested (in shares)	(178,261)	(264,917)
Forfeited (in shares)	(132,557)	(637,240)
Unvested shares outstanding - end of period (in shares)	3,029,987	2,816,848
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract]
Unvested shares outstanding - beginning of period (in dollars per share)	$ 13.37	$ 16.51
Granted (in dollars per share)	10.94	10.57
Vested (in dollars per share)	16.66	14.87
Forfeited (in dollars per share)	15.52	16.41
Unvested shares outstanding - end of period (in dollars per share)	$ 12.66	$ 13.37

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2022	Dec. 31, 2021	Dec. 31, 2020
Operating Loss Carryforwards [Line Items]
Income tax expense (benefit)	$ (253)	$ 4,405	$ 158
Deferred tax assets	66,000	10,000
Operating loss carryforwards	65,000	9,000
Deferred tax assets, valuation allowance	66,000	10,000
Section 163(j)
Operating Loss Carryforwards [Line Items]
Amount related to losses disallowed under code sections	$ 1,000	$ 1,000

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk (Details) - USD ($) $ in Thousands	Dec. 31, 2022	Dec. 31, 2021
Secured financing agreements
Gross Amounts of Recognized  Assets (Liabilities)	$ (3,434,765)	$ (3,261,613)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Repurchase agreements outstanding	(3,434,765)	(3,261,613)
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	4,699,722	4,393,350
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	33,415	19,078
Net Amount	1,298,373	1,149,815
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	4,096	0
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Repurchase Agreements and Swaptions
Gross Amounts of Recognized  Assets (Liabilities)	(3,430,046)
Gross Amounts Offset in the Consolidated Statements of Financial Position	(623)
Net Amounts Offset in the Consolidated Statements of Financial Position	(3,430,669)
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	4,699,722
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	74,271
Net Amount	1,343,326
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)	3,716
Gross Amounts Offset in the Consolidated Statements of Financial Position	0
Net Amounts Offset in the Consolidated Statements of Financial Position	3,716	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	13,179
Net Amount	16,895
Derivative Liability
Gross Amounts of Recognized  Assets (Liabilities)	(14,074)
Gross Amounts Offset in the Consolidated Statements of Financial Position	14,074
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, financial instruments	0
Gross amounts not offset with financial assets (liabilities) in the consolidated statements of financial position, cash collateral (received) pledged	27,678
Net Amount	27,678
Swaptions
Derivative Asset
Gross Amounts of Recognized  Assets (Liabilities)	15,077
Gross Amounts Offset in the Consolidated Statements of Financial Position	(14,697)
Net Amounts Offset in the Consolidated Statements of Financial Position	380	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	380
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	$ 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

Subsequent Events (Details)

Subsequent Events (Details) $ in Millions	Feb. 16, 2023 USD ($)
Subsequent Event | Securitized Loans
Subsequent Event [Line Items]
Retirement of securitized debt	$ 337

Summarized Quarterly Results _3

Summarized Quarterly Results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2022	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Dec. 31, 2021	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Dec. 31, 2022		Dec. 31, 2021		Dec. 31, 2020
Net interest income:
Interest income	$ 187,286	$ 188,303	$ 195,357	$ 202,175	$ 221,162	$ 220,579	$ 252,677	$ 243,127	$ 773,121	[1]	$ 937,546	[1]	$ 1,030,250	[1]
Interest expense	106,891	83,464	78,467	64,473	66,598	71,353	80,610	108,066	333,293	[2]	326,628	[2]	516,181	[2]
Net interest income	80,395	104,839	116,890	137,702	154,564	149,226	172,067	135,061	439,828		610,918		514,069
Increase/(decrease) in provision for credit losses	(3,834)	1,534	(4,497)	(240)	(92)	386	(453)	126					180
Net unrealized gains (losses) on derivatives	(10,171)	10,307	(1,618)	0					(1,482)		0		201,000
Realized gains (losses) on terminations of interest rate swaps	(561)	0	0	0					(561)		0		(463,966)
Net realized gains (losses) on derivatives	(1,629)	(122)	0	0
Net gains (losses) on derivatives	(12,362)	10,185	(1,618)	0					(3,795)		0		(304,052)
Net unrealized gains (losses) on financial instruments at fair value	112,026	(239,513)	(239,246)	(370,167)	(108,286)	239,524	36,108	270,012	(736,899)		437,357		(110,664)
Net realized gains (losses) on sales of investments	(39,443)	(37,031)	0	0	0	0	7,517	37,796	(76,473)		45,313		166,946
Gain (loss) on Extinguishment of Debt	0	0	(2,897)	0	980	(25,622)	(21,777)	(237,137)	(2,897)		(283,556)		(54,418)
Other Investment Gains	(2,383)	(462)	980	0					(1,866)		0		0
Total other expenses	37,482	25,693	30,845	30,159	30,175	30,723	30,229	44,355	124,180		135,480		122,689
Net income (loss)	97,199	(186,145)	(161,327)	(262,794)	17,734	331,468	163,321	157,591	(513,066)		670,114		88,854
Dividends on preferred stock	18,483	18,438	18,438	18,408	18,452	18,438	18,438	18,438	73,765		73,764		73,750
Net income (loss) available to common shareholders	$ 78,716	$ (204,583)	$ (179,765)	$ (281,202)	$ (718)	$ 313,030	$ 144,883	$ 139,153	$ (586,831)		$ 596,350		$ 15,104
Net income per common share-basic (usd per share)	$ 0.34	$ (0.88)	$ (0.76)	$ (1.19)	$ 0	$ 1.33	$ 0.63	$ 0.60	$ (2.51)		$ 2.55		$ 0.07
[1]Includes interest income of consolidated VIEs of $551,253, $586,580, and $683,456 for the years ended December 31, 2022, 2021, and 2020, respectively. See accompanying notes to consolidated financial statements for further discussion.[2]Includes interest expense of consolidated VIEs of $197,823, $203,135, and $285,142 for the years ended December 31, 2022, 2021, and 2020, respectively.