Invesco Mortgage Capital (IVR) 10-Q 5 May 21 2021 Q1 Quarterly report Financial data

Cover

Cover - shares	3 Months Ended
	Mar. 31, 2021	Apr. 30, 2021
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2021
Document Transition Report	false
Entity File Number	001-34385
Entity Registrant Name	Invesco Mortgage Capital Inc.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-2749336
Entity Address, Address Line One	1555 Peachtree Street, N.E., Suite 1800,
Entity Address, City or Town	Atlanta,
Entity Address, State or Province	GA
Entity Address, Postal Zip Code	30309
City Area Code	404
Local Phone Number	892-0896
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding (in shares)		246,397,710
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	Q1
Amendment Flag	false
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	IVR
Security Exchange Name	NYSE
7.75% Series A Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpA
Security Exchange Name	NYSE
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpB
Security Exchange Name	NYSE
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpC
Security Exchange Name	NYSE

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $8,641,007 and $7,614,935, respectively; net of allowance for credit losses of $830 and $1,768, respectively)	$ 9,099,742	$ 8,172,182
Cash and cash equivalents	198,357	148,011
Restricted cash	380,678	244,573
Due from counterparties	11,440	1,078
Investment related receivable	18,536	15,840
Derivative assets, at fair value	17,193	10,004
Other assets	36,890	41,163
Total assets	9,762,836	8,632,851
Liabilities:
Repurchase agreements	8,240,887	7,228,699
Derivative liabilities, at fair value	4,273	6,344
Dividends payable	24,888	18,970
Investment related payable	1,454	274
Accrued interest payable	547	823
Collateral held payable	1,337	3,546
Accounts payable and accrued expenses	1,967	1,448
Due to affiliate	5,551	5,589
Total liabilities	8,280,904	7,265,693
Commitments and contingencies
Stockholders' equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 246,397,710 and 203,222,108 shares issued and outstanding, respectively	2,464	2,032
Additional paid in capital	3,548,230	3,387,552
Accumulated other comprehensive income	54,827	58,605
Retained earnings (distributions in excess of earnings)	(2,686,913)	(2,644,355)
Total stockholders’ equity	1,481,932	1,367,158
Total liabilities and stockholders' equity	9,762,836	8,632,851
Series A Preferred Stock
Stockholders' equity:
Preferred Stock	135,356	135,356
Series B Preferred Stock
Stockholders' equity:
Preferred Stock	149,860	149,860
Series C Preferred Stock
Stockholders' equity:
Preferred Stock	$ 278,108	$ 278,108

CONDENSED CONSOLIDATED BALANC_2

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Mortgage-backed and credit risk transfer securities, pledged	$ 8,641,007	$ 7,614,935
Allowance for credit loss	$ 830	$ 1,768
Preferred Stock - par value (in usd per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized	450,000,000	450,000,000
Common Stock - shares outstanding	246,397,710	203,222,108
Common Stock - shares issued	246,397,710	203,222,108
Series A Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	5,600,000	5,600,000
Preferred Stock - shares outstanding	5,600,000	5,600,000
Preferred Stock - liquidation preference value	$ 140,000	$ 140,000
Series B Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	6,200,000	6,200,000
Preferred Stock - shares outstanding	6,200,000	6,200,000
Preferred Stock - liquidation preference value	$ 155,000	$ 155,000
Series C Preferred Stock
Preferred Stock - dividend rate stated percentage	7.50%	7.50%
Preferred Stock - shares issued	11,500,000	11,500,000
Preferred Stock - shares outstanding	11,500,000	11,500,000
Preferred Stock - liquidation preference value	$ 287,500	$ 287,500

CONDENSED CONSOLIDATED STATEMEN

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2021	Mar. 31, 2020
Interest income
Mortgage-backed and credit risk transfer securities		$ 39,434	$ 185,536
Commercial and other loans		576	1,163
Total interest income		40,010	186,699
Interest expense
Repurchase agreements	[1]	(1,660)	79,042
Secured loans		0	6,646
Total interest expense		(1,660)	85,688
Net interest income		41,670	101,011
Other income (loss)
Gain (loss) on investments, net		(331,857)	(755,483)
(Increase) decrease in provision for credit losses		938	0
Equity in earnings (losses) of unconsolidated ventures		(94)	170
Gain (loss) on derivative instruments, net		286,961	(910,779)
Realized and unrealized credit derivative income (loss), net		0	(33,052)
Net gain (loss) on extinguishment of debt		0	(4,806)
Other investment income (loss), net		(16)	803
Total other income (loss)		(44,068)	(1,703,147)
Expenses
Management fee – related party		4,884	10,953
General and administrative		1,993	3,103
Total expenses		6,877	14,056
Net income (loss) attributable to Invesco Mortgage Capital, Inc.		(9,275)	(1,616,192)
Dividends to preferred stockholders		11,107	11,107
Net income (loss) attributable to common stockholders		$ (20,382)	$ (1,627,299)
Net income (loss) per share
Basic (in USD per share)		$ (0.09)	$ (10.38)
Diluted (in USD per share)		$ (0.09)	$ (10.38)
[1]	Negative interest expense on repurchase agreements for the three months ended March 31, 2021 consists of $3.7 million of current period interest expense on repurchase agreements and $5.4 million of amortization of net deferred gains on de-designated interest rate swaps. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - "Derivatives and Hedging Activities" and Note 12 - "Stockholders' Equity".

CONDENSED CONSOLIDATED STATEM_2

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) (Parenthetical) $ in Millions	3 Months Ended
	Mar. 31, 2021USD ($)
Income Statement [Abstract]
Repurchase agreements	$ 3.7
Amortization of net deferred gains on de-designated derivative	$ 5.4

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ (9,275)	$ (1,616,192)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	981	(186,605)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	0	36,957
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,368)	(10,067)
Currency translation adjustments on investment in unconsolidated venture	609	480
Total other comprehensive loss	(3,778)	(159,235)
Comprehensive income (loss)	(13,053)	(1,775,427)
Less: Dividends to preferred stockholders	(11,107)	(11,107)
Comprehensive income (loss) attributable to common stockholders	$ (24,160)	$ (1,786,534)

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Preferred StockSeries A Preferred Stock	Preferred StockSeries B Preferred Stock	Preferred StockSeries C Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Distributions in excess of earnings)	Retained Earnings (Distributions in excess of earnings)Cumulative Effect, Period of Adoption, Adjustment	Total Stockholders’ Equity	Total Stockholders’ EquityCumulative Effect, Period of Adoption, Adjustment
Beginning Balance (in shares) at Dec. 31, 2019		5,600,000	6,200,000	11,500,000	144,256,357
Beginning Balance at Dec. 31, 2019		$ 135,356	$ 149,860	$ 278,108	$ 1,443	$ 2,892,652	$ 288,963	$ (814,483)	$ 342	$ 2,931,899	$ 342
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	$ (1,616,192)							(1,616,192)		(1,616,192)
Other comprehensive loss	(159,235)						(159,235)			(159,235)
Proceeds from issuance of common stock, net of offering costs (in shares)					20,700,000
Proceeds from issuance of common stock, net of offering costs					$ 207	346,819				347,026
Stock awards (in shares)					10,000
Common stock dividends								(82,483)		(82,483)
Preferred stock dividends								(11,107)		(11,107)
Amortization of equity-based compensation						131				131
Ending Balance (in shares) at Mar. 31, 2020		5,600,000	6,200,000	11,500,000	164,966,357
Ending Balance at Mar. 31, 2020		$ 135,356	$ 149,860	$ 278,108	$ 1,650	3,239,602	129,728	(2,523,923)		1,410,381
Beginning Balance (in shares) at Dec. 31, 2020		5,600,000	6,200,000	11,500,000	203,222,108
Beginning Balance at Dec. 31, 2020		$ 135,356	$ 149,860	$ 278,108	$ 2,032	3,387,552	58,605	(2,644,355)		1,367,158
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(9,275)							(9,275)		(9,275)
Other comprehensive loss	$ (3,778)						(3,778)			(3,778)
Proceeds from issuance of common stock, net of offering costs (in shares)					43,150,000
Proceeds from issuance of common stock, net of offering costs					$ 432	160,549				160,981
Stock awards (in shares)					25,602
Common stock dividends								(22,176)		(22,176)
Preferred stock dividends								(11,107)		(11,107)
Amortization of equity-based compensation						129				129
Ending Balance (in shares) at Mar. 31, 2021		5,600,000	6,200,000	11,500,000	246,397,710
Ending Balance at Mar. 31, 2021		$ 135,356	$ 149,860	$ 278,108	$ 2,464	$ 3,548,230	$ 54,827	$ (2,686,913)		$ 1,481,932

CONDENSED CONSOLIDATED STATEM_5

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Cash Flows from Operating Activities
Net income (loss)	$ (9,275)	$ (1,616,192)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	11,625	10,658
Realized and unrealized (gain) loss on derivative instruments, net	(291,510)	922,703
Realized and unrealized (gain) loss on credit derivatives, net	0	37,770
(Gain) loss on investments, net	331,857	755,483
Decrease in provision for credit losses	(938)	0
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	18	222
Other amortization	(5,239)	(9,936)
Net loss on extinguishment of debt	0	4,806
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	(1,990)	37,955
Decrease in operating liabilities	(43)	(33,431)
Net cash provided by operating activities	34,505	110,038
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(7,012,452)	(4,444,744)
Distributions from investments in unconsolidated ventures, net	1,233	1,168
Change in other assets	0	19,269
Principal payments from mortgage-backed and credit risk transfer securities	200,590	636,498
Proceeds from sale of mortgage-backed and credit risk transfer securities	5,545,566	16,238,252
Proceeds from sale of credit derivatives	0	2,283
Settlement (termination) of forwards, swaps, swaptions and TBAs, net	282,250	(904,220)
Net change in due from counterparties and collateral held payable on derivative instruments	(3,438)	4,849
Principal payments from commercial loans held-for-investment	0	136
Net cash provided by (used in) investing activities	(986,251)	11,553,491
Cash Flows from Financing Activities
Proceeds from issuance of common stock	161,413	347,299
Principal repayments of secured loans	0	(300,000)
Proceeds from repurchase agreements	28,514,983	44,017,958
Principal repayments of repurchase agreements and related fees	(27,502,795)	(55,266,696)
Net change in due from counterparties and collateral held payable on repurchase agreements	(7,953)	(311,732)
Payments of deferred offering costs	(86)	(40)
Payments of dividends	(27,365)	(74,841)
Net cash provided by (used in) financing activities	1,138,197	(11,588,052)
Net change in cash, cash equivalents and restricted cash	186,451	75,477
Cash, cash equivalents and restricted cash, beginning of period	392,584	289,502
Cash, cash equivalents and restricted cash, end of period	579,035	364,979
Supplement Disclosure of Cash Flow Information
Interest paid	3,985	131,074
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	981	(149,648)
Dividends declared not paid	24,888	93,590
Increase in Agency CMBS purchase commitments	0	410,654
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments	(271)	(760,217)
Offering costs not paid	(334)	(273)
Net change in repurchase agreements, not settled	0	(625)
Change in foreign currency translation adjustment on other investments	$ (609)	$ (480)

Organization and Business Opera

Organization and Business Operations	3 Months Ended
	Mar. 31, 2021
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company" or "we") is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities ("MBS") and other mortgage-related assets. We currently invest in: • Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • Commercial mortgage-backed securities ("CMBS") that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); • Commercial mortgage loans; and • Other real estate-related financing agreements. We have also historically invested in: • CMBS that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); and • Residential mortgage loans. We conduct our business through IAS Operating Partnership L.P. (the "Operating Partnership") and have one operating segment. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code o f 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits our exclusion from the "Investment Company" definition under the Investment Company Act of 1940, as amended (the "1940 Act").

Summary of Significant Accounti

Summary of Significant Accounting Policies	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2020. Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2020. Accounting Pronouncements Recently Issued In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting. The new guidance expands the temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition). The guidance can be applied as of January 1, 2020. We will evaluate our contracts that are eligible for modification relief and may apply the elections prospectively as needed. We are currently evaluating what impact the guidance will have on our consolidated financial statements.

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	3 Months Ended
	Mar. 31, 2021
Variable Interest Entity Disclosure [Abstract]
Variable Interest Entities (VIEs)	Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2021 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 91,250 91,250 Non-Agency RMBS 10,574 10,574 Investments in unconsolidated ventures 15,766 15,766 Total 117,590 117,590 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments.

Mortgage-Backed and Credit Risk

Mortgage-Backed and Credit Risk Transfer Securities	3 Months Ended
	Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage. We resumed investing in Agency RMBS in July 2020. The following tables summarize our MBS portfolio by asset type as of March 31, 2021 and December 31, 2020. March 31, 2021 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 8,832,549 352,768 9,185,317 — (187,399) 8,997,918 1.88 % Total Agency RMBS pass-through 8,832,549 352,768 9,185,317 — (187,399) 8,997,918 1.88 % Agency-CMO (2) 18,536 (18,536) — — — — — % Non-Agency CMBS 91,427 (4,914) 86,513 (830) 5,567 91,250 8.60 % Non-Agency RMBS (3)(4)(5) 637,509 (627,312) 10,197 — 377 10,574 6.21 % Total 9,580,021 (297,994) 9,282,027 (830) (181,455) 9,099,742 1.95 % (1) Period-end weighted average yield is based on amortized cost as of March 31, 2021 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") are interest-only securities ("Agency IO"). (3) Non-Agency RMBS is 65.3% fixed rate, 33.7% variable rate, and 1.0% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 98.5% of principal/notional balance, 48.3% of amortized cost and 37.7% of fair value. December 31, 2020 $ in thousands Principal/Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Total Agency RMBS pass-through 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Agency-CMO (2) 19,634 (19,634) — — — — — % Non-Agency CMBS 112,549 (5,791) 106,758 (1,768) 4,593 109,583 9.40 % Non-Agency RMBS (3)(4)(5) 790,627 (779,660) 10,967 — 766 11,733 7.83 % Total 8,557,917 (413,441) 8,144,476 (1,768) 29,474 8,172,182 1.97 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 67.3% fixed rate, 31.8% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 98.8% of principal/notional balance, 49.3% of amortized cost and 41.5% of fair value. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2021 and December 31, 2020. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of March 31, 2021 and December 31, 2020, approximately 99% of our MBS are accounted for under the fair value option. March 31, 2021 December 31, 2020 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 30 year fixed-rate — 8,997,918 8,997,918 — 8,050,866 8,050,866 Total RMBS Agency pass-through — 8,997,918 8,997,918 — 8,050,866 8,050,866 Non-Agency CMBS 91,250 — 91,250 109,583 — 109,583 Non-Agency RMBS 6,943 3,631 10,574 7,267 4,466 11,733 Total 98,193 9,001,549 9,099,742 116,850 8,055,332 8,172,182 The components of the carrying value of our MBS portfolio at March 31, 2021 and December 31, 2020 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $17.5 million at March 31, 2021 (December 31, 2020: $15.4 million). March 31, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 8,933,501 646,520 9,580,021 Unamortized premium 354,451 — 354,451 Unamortized discount (10,852) (641,593) (652,445) Allowance for credit losses (830) — (830) Gross unrealized gains (1) 8,297 102 8,399 Gross unrealized losses (1) (188,816) (1,038) (189,854) Fair value 9,095,751 3,991 9,099,742 December 31, 2020 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,757,491 800,426 8,557,917 Unamortized premium 391,644 — 391,644 Unamortized discount (10,067) (795,018) (805,085) Allowance for credit losses (1,768) — (1,768) Gross unrealized gains (1) 34,539 103 34,642 Gross unrealized losses (1) (4,527) (641) (5,168) Fair value 8,167,312 4,870 8,172,182 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2021 and 2020 is provided below in this Note 4. The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2021 and December 31, 2020 . $ in thousands March 31, 2021 December 31, 2020 Less than one year 29,223 22,112 Greater than one year and less than five years 149,120 5,303,917 Greater than or equal to five years 8,921,399 2,846,153 Total 9,099,742 8,172,182 The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2021 and December 31, 2020. March 31, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 8,592,854 (188,816) 93 — — — 8,592,854 (188,816) 93 Total Agency RMBS pass-through (1) 8,592,854 (188,816) 93 — — — 8,592,854 (188,816) 93 Non-Agency RMBS (2) 3,487 (1,014) 10 17 (24) 4 3,504 (1,038) 14 Total 8,596,341 (189,830) 103 17 (24) 4 8,596,358 (189,854) 107 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. December 31, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Total Agency RMBS pass-through (1) 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Non-Agency CMBS (2) 27,069 (419) 1 — — — 27,069 (419) 1 Non-Agency RMBS (3) 2,681 (438) 6 1,612 (203) 7 4,293 (641) 13 Total 1,526,029 (4,965) 27 1,612 (203) 7 1,527,641 (5,168) 34 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. As of March 31, 2021 and December 31, 2020, we have recorded an allowance for credit losses of $830,000 and $1.8 million, respectively, on a single non-Agency CMBS on our condensed consolidated balance sheets. We recorded a $938,000 decrease in the provision for credit losses on our consolidated statement of operations during the three months ended March 31, 2021. We did not record any provisions for credit losses during the three months ended March 31, 2020. During the three months ended March 31, 2020, we recorded impairments of $78.8 million on our condensed consolidated statement of operations because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. The following table presents a roll-forward of our allowance for credit losses. Three Months Ended March 31, $ in thousands 2021 Beginning allowance for credit losses (1,768) Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 938 Ending allowance for credit losses (830) The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2021 and 2020. Three Months Ended March 31, $ in thousands 2021 2020 Gross realized gains on sale of investments 201 328,128 Gross realized losses on sale of investments (117,048) (332,413) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — (78,834) Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option (211,912) (666,872) Net unrealized gains and losses on commercial loan and loan participation interest (3,098) (5,492) Total gain (loss) on investments, net (331,857) (755,483) The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2021 and 2020. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $4.7 million for the three months ended March 31, 2020 that was recorded as realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 49,555 (12,484) 37,071 Non-Agency CMBS 1,305 878 2,183 Non-Agency RMBS 624 (450) 174 Other 6 — 6 Total 51,490 (12,056) 39,434 For the three months ended March 31, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 105,878 (20,913) 84,965 Agency CMBS 33,995 (1,666) 32,329 Non-Agency CMBS 42,218 5,058 47,276 Non-Agency RMBS 10,760 2,698 13,458 GSE CRT 8,507 (1,750) 6,757 Other 751 — 751 Total 202,109 (16,573) 185,536

Other Assets

Other Assets	3 Months Ended
	Mar. 31, 2021
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of March 31, 2021 and December 31, 2020: $ in thousands March 31, 2021 December 31, 2020 Commercial loan, held-for-investment 20,000 23,098 Investments in unconsolidated ventures 15,766 16,408 Prepaid expenses and other assets 1,124 1,657 Total 36,890 41,163 In March 2021, we agreed to extend the contractual maturity of our commercial loan investment from February 2021 to February 2022 at the request of the borrower. The borrower continues to make current interest payments on the loan and posted additional cash reserves in connection with the loan modification. The loan had a principal balance of $23.9 million as of March 31, 2021 and December 31, 2020 and a weighted average coupon rate of 8.62% as of March 31, 2021 and 8.65% as of December 31, 2020. We account for this investment using the fair value option. We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.

Borrowings

Borrowings	3 Months Ended
	Mar. 31, 2021
Debt Disclosure [Abstract]
Borrowings	Borrowings We have historically financed the majority of our investment portfolio through repurchase agreements and secured loans. We fully repaid our secured loans during the year ended December 31, 2020. The following tables summarize certain characteristics of our borrowings at March 31, 2021 and December 31, 2020. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands March 31, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 8,240,887 0.15 % 18 Total Borrowings 8,240,887 0.15 % 18 $ in thousands December 31, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14 Total Borrowings 7,228,699 0.21 % 14 Repurchase Agreements In the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic. We received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities. As a result, we were unable to meet margin calls and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. While certain of our repurchase agreement counterparties permitted our repurchase agreements to remain outstanding while we were not in compliance, other counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. As of May 7, 2020, we repaid all of our repurchase agreements that may have been in default. Gains and losses associated with the termination of these repurchase agreements during the three months ended March 31, 2020 are reported as net gain (loss) on extinguishment of debt in our condensed consolidated statement of operations. We resumed financing the purchase of Agency RMBS with repurchase agreements in July 2020. These repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities of approximately one to three months. Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. The repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of March 31, 2021. Secured Loans During the year ended December 31, 2020, IAS Services LLC, our former wholly-owned captive insurance subsidiary, fully repaid its outstanding secured loans from the Federal Home Loan Bank of Indianapolis ("FHLBI").

Collateral Positions

Collateral Positions	3 Months Ended
	Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Collateral Positions	Collateral Positions The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of March 31, 2021 and December 31, 2020. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2020 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of March 31, 2021 and December 31, 2020, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged March 31, 2021 December 31, 2020 Repurchase Agreements: Agency RMBS 8,641,007 7,614,935 Cash 6,736 700 Total repurchase agreements collateral pledged 8,647,743 7,615,635 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash 4,704 378 Restricted cash 380,678 244,573 Total interest rate swaps, currency forward contracts and TBAs collateral pledged 385,382 244,951 Total collateral pledged: Agency RMBS 8,641,007 7,614,935 Cash 11,440 1,078 Restricted cash 380,678 244,573 Total collateral pledged 9,033,125 7,860,586 As of Collateral Held March 31, 2021 December 31, 2020 Repurchase Agreements: Cash — 1,916 Non-cash collateral — 4,226 Total repurchase agreements collateral held — 6,142 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash 1,337 1,630 Total interest rate swaps, currency forward contracts and TBAs collateral held 1,337 1,630 Total collateral held: Cash 1,337 3,546 Non-cash collateral — 4,226 Total collateral held 1,337 7,772 Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. Our repurchase agreement collateral pledged ratio (MBS pledged as collateral/amount outstanding) was 105% as of March 31, 2021 (December 31, 2020: 105%). Interest Rate Swaps As of March 31, 2021 and December 31, 2020, all of our interest rate swaps were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH Limited ("LCH") through a Futures Commission Merchant ("FCM"). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. Our FCM agreements include cross default provisions. TBAs and Currency Forward Contracts

Derivatives and Hedging Activit

Derivatives and Hedging Activities	3 Months Ended
	Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives and Hedging Activities	Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2021: $ in thousands Notional Amount Additions Settlement, Notional Amount Interest Rate Swaps (1) 6,300,000 500,000 (500,000) 6,300,000 Interest Rate Swaptions — 1,000,000 (1,000,000) — Currency Forward Contracts 33,084 16,850 (33,084) 16,850 TBA Purchase Contracts 1,700,000 7,350,000 (7,050,000) 2,000,000 TBA Sale Contracts — (7,550,000) 7,050,000 (500,000) Total 8,033,084 1,316,850 (1,533,084) 7,816,850 (1) Notional amount as of March 31, 2021 excludes $1.3 billion of interest rate swaps with forward start dates. Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $5.4 million as a decrease (March 31, 2020: $10.1 million as a decrease) to interest expense for the three months ended March 31, 2021. We increased the amount of gains and losses reclassified as a decrease to interest expense during the three months ended March 31, 2020 by $4.2 million because it was probable that the original forecasted repurchase agreement transactions would not occur by the end of the originally specified time period . During the next 12 months, we estimate that $21.8 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of March 31, 2021, $46.7 million (December 31, 2020: $52.1 million) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023. As of March 31, 2021 and December 31, 2020, we had interest rate swaps with the following maturities outstand ing, excluding interest rate swaps with forward start dates: $ in thousands As of March 31, 2021 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.11 % 3.9 5 to 7 years 1,775,000 0.43 % 0.11 % 6.5 7 to 10 years 2,275,000 0.60 % 0.11 % 8.9 Total 6,300,000 0.41 % 0.11 % 6.5 $ in thousands As of December 31, 2020 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.15 % 4.2 5 to 7 years 1,775,000 0.43 % 0.15 % 6.7 7 to 10 years 2,275,000 0.60 % 0.15 % 9.2 Total 6,300,000 0.41 % 0.15 % 6.7 (1) Notional amount includes $6.3 billion of interest rate swaps that received variable payments based on 1-month LIBOR as of March 31, 2021. (2) Notional amount includes $6.3 billion of interest rate swaps that received variable payments based on 1-month LIBOR as of December 31, 2020. As of March 31, 2021, we held $1.3 billion notional amount of interest rate swaps with forward start dates that will receive interest based on 1-month LIBOR with a weighted average maturity of 21.3 years and a weighted average fixed pay rate of 1.37%. We did not hold any interest rate swaps with forward start dates as of December 31, 2020. Swaptions and Currency Forward Contracts We periodically purchase interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of our Agency RMBS portfolio (referred to as "convexity risk"). The interest rate swaptions provide us the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as a derivative asset in our condensed consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would equal the premium paid. If we sell or exercise an interest rate swaption, the realized gain or loss on the interest rate swaption would equal the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of March 31, 2021, we had $16.9 million (December 31, 2020: $33.1 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro. Credit Derivatives Our GSE CRTs purchased prior to August 24, 2015 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets. TBAs We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of March 31, 2021 and December 31, 2020. $ in thousands As of March 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 2,000,000 2,054,000 2,049,727 (4,273) TBA sales contracts (500,000) (505,934) (504,844) 1,090 Net TBA derivatives 1,500,000 1,548,066 1,544,883 (3,183) $ in thousands As of December 31, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 1,700,000 1,772,211 1,782,104 9,893 Net TBA derivatives 1,700,000 1,772,211 1,782,104 9,893 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2021 and December 31, 2020. $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2021 As of December 31, 2020 As of March 31, 2021 As of December 31, 2020 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 15,545 — Interest Rate Swaps Liability — 5,537 Currency Forward Contracts 558 111 Currency Forward Contracts — 807 TBAs 1,090 9,893 TBAs 4,273 — Total Derivative Assets 17,193 10,004 Total Derivative Liabilities 4,273 6,344 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2020. $ in thousands Three months ended March 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives 2,283 4,718 (40,053) (33,052) The following tables summarizes the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2021 and 2020: $ in thousands Three Months Ended March 31, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 327,527 (4,549) 21,081 344,059 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts (539) — 1,255 716 TBAs (44,185) — (13,076) (57,261) Total 282,250 (4,549) 9,260 286,961 $ in thousands Three Months Ended March 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 484 — 49 533 Total (904,220) 11,924 (18,483) (910,779)

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	3 Months Ended
	Mar. 31, 2021
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of March 31, 2021, our derivative asset of $15.5 million (December 31, 2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2021 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 1,648 — 1,648 (445) (1,203) — Total Assets 1,648 — 1,648 (445) (1,203) — Liabilities Derivatives (1) (2) (4,273) — (4,273) 445 3,828 — Repurchase Agreements (3) (8,240,887) — (8,240,887) 8,240,887 — — Total Liabilities (8,245,160) — (8,245,160) 8,241,332 3,828 — As of December 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $385.4 million and $245.0 million as of March 31, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.3 million and $1.6 million at March 31, 2021 and December 31, 2020, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $8.6 billion and $7.6 billion at March 31, 2021 and December 31, 2020, respectively. We pledged cash collateral of $6.7 million and $700,000 under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of March 31, 2021.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	3 Months Ended
	Mar. 31, 2021
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 9,099,742 — — 9,099,742 Derivative assets — 17,193 — — 17,193 Other assets (3) — — 20,000 15,766 35,766 Total assets — 9,116,935 20,000 15,766 9,152,701 Liabilities: Derivative liabilities — 4,273 — — 4,273 Total liabilities — 4,273 — — 4,273 December 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 8,172,182 — — 8,172,182 Derivative assets — 10,004 — — 10,004 Other assets (3) — — 23,098 16,408 39,506 Total assets — 8,182,186 23,098 16,408 8,221,692 Liabilities: Derivative liabilities — 6,344 — — 6,344 Total liabilities — 6,344 — — 6,344 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.2 years and 1.5 years, respectively. (3) Includes $20.0 million and $23.1 million of a commercial loan as of March 31, 2021 and December 31, 2020, respectively. We value the loan based on a third party appraisal. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 Beginning balance 10,281 Sales and settlements (2,283) Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net 2,283 Unrealized credit derivative gains (losses), net (1) (40,053) Ending balance (29,772) (1) Includes $37.6 million of unrealized losses attributable to GSE CRT embedded derivatives still held as of March 31, 2020. The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 Beginning balance 44,654 Repayments (19,269) Total net unrealized losses included in net income: Unrealized losses (3,808) Ending balance 21,577 Unrealized losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, Three Months Ended March 31, $ in thousands 2021 2020 Beginning balance 23,098 24,055 Cumulative effect of adoption of new accounting principle — 342 Repayments — (136) Total net unrealized losses included in net income: Unrealized losses (3,098) (1,684) Ending balance 20,000 22,577 Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations. We elected the fair value option for our commercial loan on January 1, 2020 when we implemented the new accounting guidance for how entities report credit losses for assets measured at amortized cost. The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands March 31, 2021 Technique Input Rate Commercial Loan 20,000 Discounted Cash Flow Discount rate 29.4 % Fair Value at Valuation Unobservable $ in thousands December 31, 2020 Technique Input Rate Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 % The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 8,240,887 8,240,959 7,228,699 7,228,719 Total 8,240,887 8,240,959 7,228,699 7,228,719 The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality.

Related Party Transactions

Related Party Transactions	3 Months Ended
	Mar. 31, 2021
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as we delegate to it. Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three months ended March 31, 2021, we reimbursed our Manager $242,000 (March 31, 2020: $242,000) for costs of support personnel. We have invested $1.9 million in money market or mutual funds managed by affiliates of our Manager as of December 31, 2020. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased. We did not have any investments in money market of mutual funds managed by affiliates of our Manager as of March 31, 2021. Management Fee Our management fee is equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2021 and 2020. Three Months Ended March 31, $ in thousands 2021 2020 Incurred costs, prepaid or expensed 1,157 2,214 Incurred costs, charged against equity as a cost of raising capital 77 62 Total incurred costs, originally paid by our Manager 1,234 2,276

Stockholders' Equity

Stockholders' Equity	3 Months Ended
	Mar. 31, 2021
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity Preferred Stock Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 2017, we have the option to redeem shares of our Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. We may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under equity distribution agreements. Common Stock On February 4, 2021, we completed a public offering of 27,600,000 shares of common stock at the price of $3.75 per share. Total net proceeds were approximately $103.1 million after deducting offering expenses. As of March 31, 2021, we may sell up to 22,060,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the three months ended March 31, 2021, we sold 15,550,000 shares under our equity distribution agreement for proceeds of $57.8 million, net of approximately $831,000 in commissions and fees. During the three months ended March 31, 2020 , we did not sell any shares of common stock under equity distribution agreements. Share Repurchase Program During the three months ended March 31, 2021 and 2020, we did not repurchase any shares of our common stock. As of March 31, 2021, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three months ended March 31, 2021 and 2020. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended March 31, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 981 — 981 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,368) (5,368) Currency translation adjustments on investment in unconsolidated venture 609 — — 609 Total other comprehensive income (loss) 609 981 (5,368) (3,778) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) 609 981 (5,368) (3,778) AOCI balance at end of period 1,108 6,974 46,745 54,827 Three Months Ended March 31, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (186,605) — (186,605) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 36,957 — 36,957 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,067) (10,067) Currency translation adjustments on investment in unconsolidated venture 480 — — 480 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at end of period (165) 64,053 65,840 129,728 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends The table below summarizes the dividends we declared during the three months ended March 31, 2021 and 2020: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 February 19, 2021 0.4844 2,713 April 26, 2021 2020 March 17, 2020 0.4844 2,713 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2021 February 19, 2021 0.4844 3,003 March 29, 2021 2020 February 18, 2020 0.4844 3,003 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2021 February 19, 2021 0.46875 5,391 March 29, 2021 2020 February 18, 2020 0.46875 5,391 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2021 March 26, 2021 0.09 22,176 April 27, 2021 2020 March 17, 2020 0.50 82,483 June 30, 2020

Earnings (Loss) per Common Shar

Earnings (Loss) per Common Share	3 Months Ended
	Mar. 31, 2021
Earnings Per Share [Abstract]
Earnings (Loss) per Common Share	Earnings (Loss) per Common Share Earnings (loss) per share for the three months ended March 31, 2021 and 2020 is computed as follows: Three Months Ended March 31, In thousands, except per share amounts 2021 2020 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (20,382) (1,627,299) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 223,955 156,771 Dilutive Shares 223,955 156,771 Net income (loss) per share: Net income (loss) attributable to common stockholders Basic (0.09) (10.38) Diluted (0.09) (10.38) The following potential weighted average common shares were excluded from diluted earnings per share for the three months ended March 31, 2021 and 2020 as the effect would be antidilutive: 12,385 and 12,065 for restricted stock awards, respectively.

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2021
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments as of March 31, 2021 are discussed below. As discussed in Note 5 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of March 31, 2021 and December 31, 2020, our undrawn capital and purchase commitments were $6.7 million and $6.8 million, respectively.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2021
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events We declared the following dividends on May 4, 2021: a Series A Preferred Stock dividend of $0.4844 per share payable on July 26, 2021 to our stockholders of record as of July 1, 2021, a Series B Preferred Stock dividend of $0.4844 per share payable on June 28, 2021 to our stockholders of record as of June 5, 2021 and a Series C Preferred Stock dividend of $0.46875 per share payable on June 28, 2021 to our stockholders of record as of June 5, 2021.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2021
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2020.
Consolidation	Our condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America ("U.S. GAAP") and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Use of Estimates	Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates.
Accounting Pronouncements Recently Issued	Accounting Pronouncements Recently Issued In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting. The new guidance expands the temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition). The guidance can be applied as of January 1, 2020. We will evaluate our contracts that are eligible for modification relief and may apply the elections prospectively as needed. We are currently evaluating what impact the guidance will have on our consolidated financial statements.

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	3 Months Ended
	Mar. 31, 2021
Variable Interest Entity Disclosure [Abstract]
Schedule of Maximum Risk of Loss	Our maximum risk of loss in VIEs in which we are not the primary beneficiary at March 31, 2021 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 91,250 91,250 Non-Agency RMBS 10,574 10,574 Investments in unconsolidated ventures 15,766 15,766 Total 117,590 117,590

Mortgage-Backed and Credit Ri_2

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	3 Months Ended
	Mar. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Schedule of Investment Portfolio	The following tables summarize our MBS portfolio by asset type as of March 31, 2021 and December 31, 2020. March 31, 2021 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 8,832,549 352,768 9,185,317 — (187,399) 8,997,918 1.88 % Total Agency RMBS pass-through 8,832,549 352,768 9,185,317 — (187,399) 8,997,918 1.88 % Agency-CMO (2) 18,536 (18,536) — — — — — % Non-Agency CMBS 91,427 (4,914) 86,513 (830) 5,567 91,250 8.60 % Non-Agency RMBS (3)(4)(5) 637,509 (627,312) 10,197 — 377 10,574 6.21 % Total 9,580,021 (297,994) 9,282,027 (830) (181,455) 9,099,742 1.95 % (1) Period-end weighted average yield is based on amortized cost as of March 31, 2021 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") are interest-only securities ("Agency IO"). (3) Non-Agency RMBS is 65.3% fixed rate, 33.7% variable rate, and 1.0% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 98.5% of principal/notional balance, 48.3% of amortized cost and 37.7% of fair value. December 31, 2020 $ in thousands Principal/Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Total Agency RMBS pass-through 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Agency-CMO (2) 19,634 (19,634) — — — — — % Non-Agency CMBS 112,549 (5,791) 106,758 (1,768) 4,593 109,583 9.40 % Non-Agency RMBS (3)(4)(5) 790,627 (779,660) 10,967 — 766 11,733 7.83 % Total 8,557,917 (413,441) 8,144,476 (1,768) 29,474 8,172,182 1.97 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 67.3% fixed rate, 31.8% variable rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 98.8% of principal/notional balance, 49.3% of amortized cost and 41.5% of fair value. March 31, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 8,933,501 646,520 9,580,021 Unamortized premium 354,451 — 354,451 Unamortized discount (10,852) (641,593) (652,445) Allowance for credit losses (830) — (830) Gross unrealized gains (1) 8,297 102 8,399 Gross unrealized losses (1) (188,816) (1,038) (189,854) Fair value 9,095,751 3,991 9,099,742 December 31, 2020 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,757,491 800,426 8,557,917 Unamortized premium 391,644 — 391,644 Unamortized discount (10,067) (795,018) (805,085) Allowance for credit losses (1,768) — (1,768) Gross unrealized gains (1) 34,539 103 34,642 Gross unrealized losses (1) (4,527) (641) (5,168) Fair value 8,167,312 4,870 8,172,182 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three months ended March 31, 2021 and 2020 is provided below in this Note 4.
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type	The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of March 31, 2021 and December 31, 2020. We have elected the fair value option for all of our RMBS interest-only securities and our MBS purchased on or after September 1, 2016. As of March 31, 2021 and December 31, 2020, approximately 99% of our MBS are accounted for under the fair value option. March 31, 2021 December 31, 2020 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 30 year fixed-rate — 8,997,918 8,997,918 — 8,050,866 8,050,866 Total RMBS Agency pass-through — 8,997,918 8,997,918 — 8,050,866 8,050,866 Non-Agency CMBS 91,250 — 91,250 109,583 — 109,583 Non-Agency RMBS 6,943 3,631 10,574 7,267 4,466 11,733 Total 98,193 9,001,549 9,099,742 116,850 8,055,332 8,172,182
Schedule of Fair Value of MBS and GSE CRTs According to Weighted Average Life Classification	The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of March 31, 2021 and December 31, 2020 . $ in thousands March 31, 2021 December 31, 2020 Less than one year 29,223 22,112 Greater than one year and less than five years 149,120 5,303,917 Greater than or equal to five years 8,921,399 2,846,153 Total 9,099,742 8,172,182
Schedule of Unrealized Losses and Estimated Fair Value of MBS and GSE CRTs by Length of Time	The following tables present the estimated fair value and gross unrealized losses of our MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2021 and December 31, 2020. March 31, 2021 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 8,592,854 (188,816) 93 — — — 8,592,854 (188,816) 93 Total Agency RMBS pass-through (1) 8,592,854 (188,816) 93 — — — 8,592,854 (188,816) 93 Non-Agency RMBS (2) 3,487 (1,014) 10 17 (24) 4 3,504 (1,038) 14 Total 8,596,341 (189,830) 103 17 (24) 4 8,596,358 (189,854) 107 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. December 31, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Total Agency RMBS pass-through (1) 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Non-Agency CMBS (2) 27,069 (419) 1 — — — 27,069 (419) 1 Non-Agency RMBS (3) 2,681 (438) 6 1,612 (203) 7 4,293 (641) 13 Total 1,526,029 (4,965) 27 1,612 (203) 7 1,527,641 (5,168) 34 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position.
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss	The following table presents a roll-forward of our allowance for credit losses. Three Months Ended March 31, $ in thousands 2021 Beginning allowance for credit losses (1,768) Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 938 Ending allowance for credit losses (830)
Schedule of Gain (Loss) on Investments	The following table summarizes the components of our total gain (loss) on investments, net for the three months ended March 31, 2021 and 2020. Three Months Ended March 31, $ in thousands 2021 2020 Gross realized gains on sale of investments 201 328,128 Gross realized losses on sale of investments (117,048) (332,413) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments — (78,834) Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option (211,912) (666,872) Net unrealized gains and losses on commercial loan and loan participation interest (3,098) (5,492) Total gain (loss) on investments, net (331,857) (755,483)
Schedule of Components of MBS and GSE CRT Interest Income	The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three months ended March 31, 2021 and 2020. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $4.7 million for the three months ended March 31, 2020 that was recorded as realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 49,555 (12,484) 37,071 Non-Agency CMBS 1,305 878 2,183 Non-Agency RMBS 624 (450) 174 Other 6 — 6 Total 51,490 (12,056) 39,434 For the three months ended March 31, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 105,878 (20,913) 84,965 Agency CMBS 33,995 (1,666) 32,329 Non-Agency CMBS 42,218 5,058 47,276 Non-Agency RMBS 10,760 2,698 13,458 GSE CRT 8,507 (1,750) 6,757 Other 751 — 751 Total 202,109 (16,573) 185,536

Other Assets (Tables)

Other Assets (Tables)	3 Months Ended
	Mar. 31, 2021
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Schedule of Other Assets	The following table summarizes our other assets as of March 31, 2021 and December 31, 2020: $ in thousands March 31, 2021 December 31, 2020 Commercial loan, held-for-investment 20,000 23,098 Investments in unconsolidated ventures 15,766 16,408 Prepaid expenses and other assets 1,124 1,657 Total 36,890 41,163

Borrowings (Tables)

Borrowings (Tables)	3 Months Ended
	Mar. 31, 2021
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at March 31, 2021 and December 31, 2020. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands March 31, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 8,240,887 0.15 % 18 Total Borrowings 8,240,887 0.15 % 18 $ in thousands December 31, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14 Total Borrowings 7,228,699 0.21 % 14

Collateral Positions (Tables)

Collateral Positions (Tables)	3 Months Ended
	Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Fair Value of Collateral Hold and Pledged	The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, interest rate swaps, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of March 31, 2021 and December 31, 2020. Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2020 for a description of how we determine fair value. Agency RMBS collateral pledged is included in mortgage-backed securities on our condensed consolidated balance sheets. Cash collateral pledged on centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of March 31, 2021 and December 31, 2020, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged March 31, 2021 December 31, 2020 Repurchase Agreements: Agency RMBS 8,641,007 7,614,935 Cash 6,736 700 Total repurchase agreements collateral pledged 8,647,743 7,615,635 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash 4,704 378 Restricted cash 380,678 244,573 Total interest rate swaps, currency forward contracts and TBAs collateral pledged 385,382 244,951 Total collateral pledged: Agency RMBS 8,641,007 7,614,935 Cash 11,440 1,078 Restricted cash 380,678 244,573 Total collateral pledged 9,033,125 7,860,586 As of Collateral Held March 31, 2021 December 31, 2020 Repurchase Agreements: Cash — 1,916 Non-cash collateral — 4,226 Total repurchase agreements collateral held — 6,142 Interest Rate Swaps, Currency Forward Contracts and TBAs: Cash 1,337 1,630 Total interest rate swaps, currency forward contracts and TBAs collateral held 1,337 1,630 Total collateral held: Cash 1,337 3,546 Non-cash collateral — 4,226 Total collateral held 1,337 7,772

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	3 Months Ended
	Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Derivative Instruments	The following table summarizes changes in the notional amount of our derivative instruments during 2021: $ in thousands Notional Amount Additions Settlement, Notional Amount Interest Rate Swaps (1) 6,300,000 500,000 (500,000) 6,300,000 Interest Rate Swaptions — 1,000,000 (1,000,000) — Currency Forward Contracts 33,084 16,850 (33,084) 16,850 TBA Purchase Contracts 1,700,000 7,350,000 (7,050,000) 2,000,000 TBA Sale Contracts — (7,550,000) 7,050,000 (500,000) Total 8,033,084 1,316,850 (1,533,084) 7,816,850 (1) Notional amount as of March 31, 2021 excludes $1.3 billion of interest rate swaps with forward start dates.
Schedule of Interest Rate Swaps Outstanding	As of March 31, 2021 and December 31, 2020, we had interest rate swaps with the following maturities outstand ing, excluding interest rate swaps with forward start dates: $ in thousands As of March 31, 2021 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.11 % 3.9 5 to 7 years 1,775,000 0.43 % 0.11 % 6.5 7 to 10 years 2,275,000 0.60 % 0.11 % 8.9 Total 6,300,000 0.41 % 0.11 % 6.5 $ in thousands As of December 31, 2020 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 3 to 5 years 2,250,000 0.20 % 0.15 % 4.2 5 to 7 years 1,775,000 0.43 % 0.15 % 6.7 7 to 10 years 2,275,000 0.60 % 0.15 % 9.2 Total 6,300,000 0.41 % 0.15 % 6.7 (1) Notional amount includes $6.3 billion of interest rate swaps that received variable payments based on 1-month LIBOR as of March 31, 2021. (2) Notional amount includes $6.3 billion of interest rate swaps that received variable payments based on 1-month LIBOR as of December 31, 2020. As of March 31, 2021, we held $1.3 billion notional amount of interest rate swaps with forward start dates that will receive interest based on 1-month LIBOR with a weighted average maturity of 21.3 years and a weighted average fixed pay rate of 1.37%. We did not hold any interest rate swaps with forward start dates as of December 31, 2020.
Schedule of TBA Contracts	The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of March 31, 2021 and December 31, 2020. $ in thousands As of March 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 2,000,000 2,054,000 2,049,727 (4,273) TBA sales contracts (500,000) (505,934) (504,844) 1,090 Net TBA derivatives 1,500,000 1,548,066 1,544,883 (3,183) $ in thousands As of December 31, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 1,700,000 1,772,211 1,782,104 9,893 Net TBA derivatives 1,700,000 1,772,211 1,782,104 9,893
Schedule of Fair Value of Derivative Financial Instruments and Classification on Balance Sheet	The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2021 and December 31, 2020. $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2021 As of December 31, 2020 As of March 31, 2021 As of December 31, 2020 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 15,545 — Interest Rate Swaps Liability — 5,537 Currency Forward Contracts 558 111 Currency Forward Contracts — 807 TBAs 1,090 9,893 TBAs 4,273 — Total Derivative Assets 17,193 10,004 Total Derivative Liabilities 4,273 6,344
Schedule of Effect of Derivative Financial Instruments on Statement of Operations	The table below presents the effect of our credit derivatives on the condensed consolidated statements of operations for the three months ended March 31, 2020. $ in thousands Three months ended March 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives 2,283 4,718 (40,053) (33,052) The following tables summarizes the effect of interest rate swaps, interest rate swaptions, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2021 and 2020: $ in thousands Three Months Ended March 31, 2021 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 327,527 (4,549) 21,081 344,059 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts (539) — 1,255 716 TBAs (44,185) — (13,076) (57,261) Total 282,250 (4,549) 9,260 286,961 $ in thousands Three Months Ended March 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 484 — 49 533 Total (904,220) 11,924 (18,483) (910,779)

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	3 Months Ended
	Mar. 31, 2021
Offsetting [Abstract]
Schedule of Offsetting Assets	The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of March 31, 2021, our derivative asset of $15.5 million (December 31, 2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2021 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 1,648 — 1,648 (445) (1,203) — Total Assets 1,648 — 1,648 (445) (1,203) — Liabilities Derivatives (1) (2) (4,273) — (4,273) 445 3,828 — Repurchase Agreements (3) (8,240,887) — (8,240,887) 8,240,887 — — Total Liabilities (8,245,160) — (8,245,160) 8,241,332 3,828 — As of December 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $385.4 million and $245.0 million as of March 31, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.3 million and $1.6 million at March 31, 2021 and December 31, 2020, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $8.6 billion and $7.6 billion at March 31, 2021 and December 31, 2020, respectively. We pledged cash collateral of $6.7 million and $700,000 under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of March 31, 2021.
Schedule of Offsetting Liabilities	The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at March 31, 2021 and December 31, 2020. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of March 31, 2021, our derivative asset of $15.5 million (December 31, 2020: derivative liability of $5.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of March 31, 2021 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 1,648 — 1,648 (445) (1,203) — Total Assets 1,648 — 1,648 (445) (1,203) — Liabilities Derivatives (1) (2) (4,273) — (4,273) 445 3,828 — Repurchase Agreements (3) (8,240,887) — (8,240,887) 8,240,887 — — Total Liabilities (8,245,160) — (8,245,160) 8,241,332 3,828 — As of December 31, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Cash Collateral Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $385.4 million and $245.0 million as of March 31, 2021 and December 31, 2020, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.3 million and $1.6 million at March 31, 2021 and December 31, 2020, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $8.6 billion and $7.6 billion at March 31, 2021 and December 31, 2020, respectively. We pledged cash collateral of $6.7 million and $700,000 under repurchase agreements as of March 31, 2021 and December 31, 2020, respectively. We held cash collateral of $1.9 million under repurchase agreements as of December 31, 2020. We did not hold cash collateral under repurchase agreements as of March 31, 2021.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	3 Months Ended
	Mar. 31, 2021
Fair Value Disclosures [Abstract]
Schedule of Fair Values Measured on Recurring Basis	The following tables present our assets and liabilities measured at fair value on a recurring basis. March 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 9,099,742 — — 9,099,742 Derivative assets — 17,193 — — 17,193 Other assets (3) — — 20,000 15,766 35,766 Total assets — 9,116,935 20,000 15,766 9,152,701 Liabilities: Derivative liabilities — 4,273 — — 4,273 Total liabilities — 4,273 — — 4,273 December 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (2) Total at Assets: Mortgage-backed securities (1) — 8,172,182 — — 8,172,182 Derivative assets — 10,004 — — 10,004 Other assets (3) — — 23,098 16,408 39,506 Total assets — 8,182,186 23,098 16,408 8,221,692 Liabilities: Derivative liabilities — 6,344 — — 6,344 Total liabilities — 6,344 — — 6,344 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of March 31, 2021 and December 31, 2020, the weighted average remaining term of our investments in unconsolidated ventures was 1.2 years and 1.5 years, respectively.
Schedule of Net Derivative Asset (Liability) Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 Beginning balance 10,281 Sales and settlements (2,283) Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net 2,283 Unrealized credit derivative gains (losses), net (1) (40,053) Ending balance (29,772) (1) Includes $37.6 million of unrealized losses attributable to GSE CRT embedded derivatives still held as of March 31, 2020.
Schedule of Loan Participation Interest Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, $ in thousands 2020 Beginning balance 44,654 Repayments (19,269) Total net unrealized losses included in net income: Unrealized losses (3,808) Ending balance 21,577 Unrealized losses on our loan participation interest were included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended March 31, Three Months Ended March 31, $ in thousands 2021 2020 Beginning balance 23,098 24,055 Cumulative effect of adoption of new accounting principle — 342 Repayments — (136) Total net unrealized losses included in net income: Unrealized losses (3,098) (1,684) Ending balance 20,000 22,577
Schedule of Fair Value Measurement of Commercial Loan	The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands March 31, 2021 Technique Input Rate Commercial Loan 20,000 Discounted Cash Flow Discount rate 29.4 % Fair Value at Valuation Unobservable $ in thousands December 31, 2020 Technique Input Rate Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 %
Schedule of Carrying Values and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2021 and December 31, 2020: March 31, 2021 December 31, 2020 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 8,240,887 8,240,959 7,228,699 7,228,719 Total 8,240,887 8,240,959 7,228,699 7,228,719

Related Party Transactions (Tab

Related Party Transactions (Tables)	3 Months Ended
	Mar. 31, 2021
Related Party Transactions [Abstract]
Schedule of Related Party Transactions	The following table summarizes the costs incurred on our behalf by our Manager for the three months ended March 31, 2021 and 2020. Three Months Ended March 31, $ in thousands 2021 2020 Incurred costs, prepaid or expensed 1,157 2,214 Incurred costs, charged against equity as a cost of raising capital 77 62 Total incurred costs, originally paid by our Manager 1,234 2,276

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2021
Equity [Abstract]
Schedule of Accumulated Other Comprehensive Income	The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended March 31, 2021 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 981 — 981 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,368) (5,368) Currency translation adjustments on investment in unconsolidated venture 609 — — 609 Total other comprehensive income (loss) 609 981 (5,368) (3,778) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) 609 981 (5,368) (3,778) AOCI balance at end of period 1,108 6,974 46,745 54,827 Three Months Ended March 31, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (186,605) — (186,605) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 36,957 — 36,957 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,067) (10,067) Currency translation adjustments on investment in unconsolidated venture 480 — — 480 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income (loss) 480 (149,648) (10,067) (159,235) AOCI balance at end of period (165) 64,053 65,840 129,728
Schedule of Dividends Declared	The table below summarizes the dividends we declared during the three months ended March 31, 2021 and 2020: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 February 19, 2021 0.4844 2,713 April 26, 2021 2020 March 17, 2020 0.4844 2,713 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2021 February 19, 2021 0.4844 3,003 March 29, 2021 2020 February 18, 2020 0.4844 3,003 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2021 February 19, 2021 0.46875 5,391 March 29, 2021 2020 February 18, 2020 0.46875 5,391 May 22, 2020 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2021 March 26, 2021 0.09 22,176 April 27, 2021 2020 March 17, 2020 0.50 82,483 June 30, 2020

Earnings (Loss) per Common Sh_2

Earnings (Loss) per Common Share (Tables)	3 Months Ended
	Mar. 31, 2021
Earnings Per Share [Abstract]
Schedule of Earnings (Loss) per Share	Earnings (loss) per share for the three months ended March 31, 2021 and 2020 is computed as follows: Three Months Ended March 31, In thousands, except per share amounts 2021 2020 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (20,382) (1,627,299) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 223,955 156,771 Dilutive Shares 223,955 156,771 Net income (loss) per share: Net income (loss) attributable to common stockholders Basic (0.09) (10.38) Diluted (0.09) (10.38)

Organization and Business Ope_2

Organization and Business Operations (Detail)	3 Months Ended
	Mar. 31, 2021segment
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of operating segments	1
Minimum distribution percentage of taxable income to qualify for REIT	90.00%

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Variable Interest Entity
Carrying Amount	$ 9,099,742	$ 8,172,182
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	117,590
Company's Maximum Risk of Loss	117,590
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	91,250
Company's Maximum Risk of Loss	91,250
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	10,574
Company's Maximum Risk of Loss	10,574
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	15,766
Company's Maximum Risk of Loss	$ 15,766

Mortgage-Backed and Credit Ri_3

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 9,580,021	$ 8,557,917
Unamortized Premium (Discount)	(297,994)	(413,441)
Amortized Cost	9,282,027	8,144,476
Allowance for credit losses	(830)	(1,768)
Unrealized Gain/ (Loss), net	(181,455)	29,474
Fair value	$ 9,099,742	$ 8,172,182
Marketable Securities, Weighted Average Yield Rate	1.95%	1.97%
Unamortized premium (discount) non-accretable portion	$ 2,100
Percentage of Non-Agency RMBS interest-only, principal balance	98.50%	98.80%
Percentage of Non-Agency RMBS interest-only, amortized cost	48.30%	49.30%
Percentage of Non-Agency RMBS interest only, fair value	37.70%	41.50%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 8,832,549	$ 7,635,107
Unamortized Premium (Discount)	352,768	391,644
Amortized Cost	9,185,317	8,026,751
Allowance for credit losses	0	0
Unrealized Gain/ (Loss), net	(187,399)	24,115
Fair value	$ 8,997,918	$ 8,050,866
Marketable Securities, Weighted Average Yield Rate	1.88%	1.86%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 8,832,549	$ 7,635,107
Unamortized Premium (Discount)	352,768	391,644
Amortized Cost	9,185,317	8,026,751
Allowance for credit losses	0	0
Unrealized Gain/ (Loss), net	(187,399)	24,115
Fair value	$ 8,997,918	$ 8,050,866
Marketable Securities, Weighted Average Yield Rate	1.88%	1.86%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 18,536	$ 19,634
Unamortized Premium (Discount)	(18,536)	(19,634)
Amortized Cost	0
Allowance for credit losses	0	0
Unrealized Gain/ (Loss), net	0
Fair value	$ 0
Marketable Securities, Weighted Average Yield Rate	0.00%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 91,427	112,549
Unamortized Premium (Discount)	(4,914)	(5,791)
Amortized Cost	86,513	106,758
Allowance for credit losses	(830)	(1,768)
Unrealized Gain/ (Loss), net	5,567	4,593
Fair value	$ 91,250	$ 109,583
Marketable Securities, Weighted Average Yield Rate	8.60%	9.40%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 637,509	$ 790,627
Unamortized Premium (Discount)	(627,312)	(779,660)
Amortized Cost	10,197	10,967
Allowance for credit losses	0	0
Unrealized Gain/ (Loss), net	377	766
Fair value	$ 10,574	$ 11,733
Marketable Securities, Weighted Average Yield Rate	6.21%	7.83%
Percentage of non-agency securities classified as fixed rate	65.30%	67.30%
Percentage of non-agency securities classified as variable rate	33.70%	31.80%
Percentage of non-agency securities classified as floating rate	1.00%	0.90%
Unamortized premium (discount) non-accretable portion		$ 2,100

Mortgage-Backed and Credit Ri_4

Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Percentage of MBS and GSE CRT are accounted for under the fair value option	99.00%	99.00%
Available-for-sale Securities	$ 98,193	$ 116,850
Securities under Fair Value Option	9,001,549	8,055,332
Total Fair Value	9,099,742	8,172,182
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	8,997,918	8,050,866
Total Fair Value	8,997,918	8,050,866
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	8,997,918	8,050,866
Total Fair Value	8,997,918	8,050,866
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	91,250	109,583
Securities under Fair Value Option	0	0
Total Fair Value	91,250	109,583
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	6,943	7,267
Securities under Fair Value Option	3,631	4,466
Total Fair Value	$ 10,574	$ 11,733

Mortgage-Backed and Credit Ri_5

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	$ 9,580,021	$ 8,557,917
Unamortized premium	354,451	391,644
Unamortized discount	(652,445)	(805,085)
Allowance for credit losses	(830)	(1,768)
Gross unrealized gains	8,399	34,642
Gross unrealized losses	(189,854)	(5,168)
Total Fair Value	9,099,742	8,172,182
MBS
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	8,933,501	7,757,491
Unamortized premium	354,451	391,644
Unamortized discount	(10,852)	(10,067)
Allowance for credit losses	(830)	(1,768)
Gross unrealized gains	8,297	34,539
Gross unrealized losses	(188,816)	(4,527)
Total Fair Value	9,095,751	8,167,312
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	646,520	800,426
Unamortized premium	0	0
Unamortized discount	(641,593)	(795,018)
Allowance for credit losses	0	0
Gross unrealized gains	102	103
Gross unrealized losses	(1,038)	(641)
Total Fair Value	$ 3,991	$ 4,870

Mortgage-Backed and Credit Ri_6

Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 29,223	$ 22,112
Greater than one year and less than five years	149,120	5,303,917
Greater than or equal to five years	8,921,399	2,846,153
Fair value	$ 9,099,742	$ 8,172,182

Mortgage-Backed and Credit Ri_7

Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands	Mar. 31, 2021USD ($)security	Dec. 31, 2020USD ($)security
Fair Value
Less than 12 Months	$ 8,596,341	$ 1,526,029
12 Months or More	17	1,612
Total	8,596,358	1,527,641
Unrealized Losses
Less than 12 Months	(189,830)	(4,965)
12 Months or More	(24)	(203)
Total	$ (189,854)	$ (5,168)
Number of Securities
Less than 12 Months (in securities) | security	103	27
12 Months or More (in securities) | security	4	7
Total (in securities) | security	107	34
Agency RMBS
Fair Value
Less than 12 Months	$ 8,592,854	$ 1,496,279
12 Months or More	0	0
Total	8,592,854	1,496,279
Unrealized Losses
Less than 12 Months	(188,816)	(4,108)
12 Months or More	0	0
Total	$ (188,816)	$ (4,108)
Number of Securities
Less than 12 Months (in securities) | security	93	20
12 Months or More (in securities) | security	0	0
Total (in securities) | security	93	20
30 year fixed-rate
Fair Value
Less than 12 Months	$ 8,592,854	$ 1,496,279
12 Months or More	0	0
Total	8,592,854	1,496,279
Unrealized Losses
Less than 12 Months	(188,816)	(4,108)
12 Months or More	0	0
Total	$ (188,816)	$ (4,108)
Number of Securities
Less than 12 Months (in securities) | security	93	20
12 Months or More (in securities) | security	0	0
Total (in securities) | security	93	20
Non-Agency CMBS
Fair Value
Less than 12 Months		$ 27,069
12 Months or More		0
Total		27,069
Unrealized Losses
Less than 12 Months		(419)
12 Months or More		0
Total		$ (419)
Number of Securities
Less than 12 Months (in securities) | security		1
12 Months or More (in securities) | security		0
Total (in securities) | security		1
Non-Agency RMBS
Fair Value
Less than 12 Months	$ 3,487	$ 2,681
12 Months or More	17	1,612
Total	3,504	4,293
Unrealized Losses
Less than 12 Months	(1,014)	(438)
12 Months or More	(24)	(203)
Total	$ (1,038)	$ (641)
Number of Securities
Less than 12 Months (in securities) | security	10	6
12 Months or More (in securities) | security	4	7
Total (in securities) | security	14	13

Mortgage-Backed and Credit Ri_8

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Investment related receivable	$ 18,536		$ 15,840
Allowance for credit loss	830		1,768
(Increase) decrease in provision for credit losses	(938)	$ 0
Impairment of non-agency securities		$ 78,800
MBS
Debt Securities, Available-for-sale [Line Items]
Investment related receivable	17,500		15,400
Allowance for credit loss	830		1,768
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Allowance for credit loss	$ 830		$ 1,768

Mortgage-Backed and Credit Ri_9

Mortgage-Backed and Credit Risk Transfer Securities - Roll-forward of Allowance For Credit Losses (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ (1,768)
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period	938
Ending allowance for credit losses	$ (830)

Mortgage-Backed and Credit R_10

Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]
Gross realized gains on sale of investments	$ 201	$ 328,128
Gross realized losses on sale of investments	(117,048)	(332,413)
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments	0	(78,834)
Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option	(211,912)	(666,872)
Net unrealized gains and losses on commercial loan and loan participation interest	(3,098)	(5,492)
Total gain (loss) on investments, net	$ (331,857)	$ (755,483)

Mortgage-Backed and Credit R_11

Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives		$ 4,700
Coupon Interest	$ 51,490	202,109
Net (Premium Amortization)/Discount Accretion	(12,056)	(16,573)
Interest Income	39,434	185,536
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	49,555	105,878
Net (Premium Amortization)/Discount Accretion	(12,484)	(20,913)
Interest Income	37,071	84,965
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest		33,995
Net (Premium Amortization)/Discount Accretion		(1,666)
Interest Income		32,329
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	1,305	42,218
Net (Premium Amortization)/Discount Accretion	878	5,058
Interest Income	2,183	47,276
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	624	10,760
Net (Premium Amortization)/Discount Accretion	(450)	2,698
Interest Income	174	13,458
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest		8,507
Net (Premium Amortization)/Discount Accretion		(1,750)
Interest Income		6,757
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	6	751
Net (Premium Amortization)/Discount Accretion	0	0
Interest Income	6	751
Not Designated as Hedging Instrument
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives	$ (4,549)	11,924
Embedded Credit Derivative | Not Designated as Hedging Instrument
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives		$ 4,718

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Commercial loan, held-for-investment	$ 20,000	$ 23,098
Investments in unconsolidated ventures	15,766	16,408
Prepaid expenses and other assets	1,124	1,657
Total	$ 36,890	$ 41,163

Other Assets - Additional Infor

Other Assets - Additional Information (Details) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Loans and Leases Receivable Disclosure [Line Items]
Face amount of loan	$ 23.9	$ 23.9
Commercial
Loans and Leases Receivable Disclosure [Line Items]
Weighted average coupon rate	8.62%	8.65%

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 8,240,887	$ 7,228,699
Weighted average interest rate	0.15%	0.21%
Weighted average remaining maturity	18 days	14 days
Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 8,240,887	$ 7,228,699
Weighted Average Interest Rate	0.15%	0.21%
Weighted average remaining maturity	18 days	14 days

Collateral Positions (Details)

Collateral Positions (Details) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Repurchase agreements	$ 8,647,743,000	$ 7,615,635,000
Total collateral pledged	9,033,125,000	7,860,586,000
Cash collateral held	1,337,000	3,546,000
Non-cash collateral held	0	4,226,000
Total collateral held	$ 1,337,000	$ 7,772,000
Collateral ratio	105.00%	105.00%
Cash
Derivative [Line Items]
Repurchase agreements	$ 6,736,000	$ 700,000
Total collateral pledged	11,440,000	1,078,000
Restricted cash
Derivative [Line Items]
Total collateral pledged	380,678,000	244,573,000
Interest Rate Swaps, Currency Forward Contracts and TBAs
Derivative [Line Items]
Interest rate swaps, currency forward contracts and TBA	385,382,000	244,951,000
Interest Rate Swaps, Currency Forward Contracts and TBAs | Cash
Derivative [Line Items]
Interest rate swaps, currency forward contracts and TBA	4,704,000	378,000
Interest Rate Swaps, Currency Forward Contracts and TBAs | Restricted cash
Derivative [Line Items]
Interest rate swaps, currency forward contracts and TBA	380,678,000	244,573,000
Repurchase agreement
Derivative [Line Items]
Cash collateral held	0	1,916,000
Non-cash collateral held	0	4,226,000
Total collateral held	0	6,142,000
Interest Rate Swaps
Derivative [Line Items]
Cash collateral held	1,337,000	1,630,000
Total collateral held	1,337,000	1,630,000
Agency RMBS
Derivative [Line Items]
Repurchase agreements	8,641,007,000	7,614,935,000
Total collateral pledged	$ 8,641,007,000	$ 7,614,935,000

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2021USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2020	$ 8,033,084
Additions	1,316,850
Settlement, Termination, Expiration or Exercise	(1,533,084)
Notional Amount as of March 31, 2021	7,816,850
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2020	6,300,000
Additions	500,000
Settlement, Termination, Expiration or Exercise	(500,000)
Notional Amount as of March 31, 2021	6,300,000
Interest Rate Swaps | 1-Month LIBOR
Derivative Interest Rate Swaptions
Notional Amount as of March 31, 2021	1,300,000
Interest Rate Swaptions
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2020	0
Additions	1,000,000
Settlement, Termination, Expiration or Exercise	(1,000,000)
Notional Amount as of March 31, 2021	0
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2020	33,084
Additions	16,850
Settlement, Termination, Expiration or Exercise	(33,084)
Notional Amount as of March 31, 2021	16,850
TBA Purchase Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2020	1,700,000
Additions	7,350,000
Settlement, Termination, Expiration or Exercise	(7,050,000)
Notional Amount as of March 31, 2021	2,000,000
TBA Sale Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2020	0
Additions	7,550,000
Settlement, Termination, Expiration or Exercise	(7,050,000)
Notional Amount as of March 31, 2021	$ 500,000

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ 286,961	$ (910,779)
Increase of interest rate cash flow hedge gain (loss) Reclassified during period		4,200
Amount reclassified to interest expenses within Next 12 months	21,800
Unrealized gain on discontinued cash flow hedges included in AOCI	1,481,932		$ 1,367,158
Derivative, notional amount	7,816,850		8,033,084
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	46,700		52,100
Interest Rate Swaps
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	5,400	$ 10,100
Derivative, notional amount	$ 6,300,000		6,300,000
Interest Rate Swaps | Minimum
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Repurchase obligation maturity	1 year
Interest Rate Swaps | Maximum
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Repurchase obligation maturity	6 months
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative, notional amount	$ 16,850		33,084
Currency Forward Contracts | Euro
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative, notional amount	$ 16,900		$ 33,100

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Notional Amount	$ 7,816,850	$ 8,033,084
Interest Rate Swaps
Derivative [Line Items]
Notional Amount	$ 6,300,000	$ 6,300,000
Weighted Average Fixed Pay Rate	0.41%	0.41%
Weighted Average Receive Rate	0.11%	0.15%
Weighted Average Years to Maturity	6 years 6 months	6 years 8 months 12 days
Interest Rate Swaps | 1-Month LIBOR
Derivative [Line Items]
Notional Amount	$ 1,300,000
Weighted Average Fixed Pay Rate	1.37%
Weighted Average Years to Maturity	21 years 3 months 18 days
3 to 5 years | Interest Rate Swaps
Derivative [Line Items]
Notional Amount	$ 2,250,000	$ 2,250,000
Weighted Average Fixed Pay Rate	0.20%	0.20%
Weighted Average Receive Rate	0.11%	0.15%
Weighted Average Years to Maturity	3 years 10 months 24 days	4 years 2 months 12 days
5 to 7 years | Interest Rate Swaps
Derivative [Line Items]
Notional Amount	$ 1,775,000	$ 1,775,000
Weighted Average Fixed Pay Rate	0.43%	0.43%
Weighted Average Receive Rate	0.11%	0.15%
Weighted Average Years to Maturity	6 years 6 months	6 years 8 months 12 days
7 to 10 years | Interest Rate Swaps
Derivative [Line Items]
Notional Amount	$ 2,275,000	$ 2,275,000
Weighted Average Fixed Pay Rate	0.60%	0.60%
Weighted Average Receive Rate	0.11%	0.15%
Weighted Average Years to Maturity	8 years 10 months 24 days	9 years 2 months 12 days

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - Schedule of TBA Contracts (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Notional Amount	$ 7,816,850	$ 8,033,084
TBA purchase contracts
Derivative [Line Items]
Notional Amount	2,000,000	1,700,000
Implied Cost Basis	2,054,000	1,772,211
Implied Market Value	2,049,727	1,782,104
Net Carrying Value	(4,273)	9,893
TBA sales contracts
Derivative [Line Items]
Notional Amount	500,000
Implied Cost Basis	505,934
Implied Market Value	504,844
Net Carrying Value	1,090
Net TBA derivatives
Derivative [Line Items]
Notional Amount	1,500,000	1,700,000
Implied Cost Basis	1,548,066	1,772,211
Implied Market Value	1,544,883	1,782,104
Net Carrying Value	$ (3,183)	$ 9,893

Derivatives and Hedging Activ_7

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Derivatives, Fair Value
Derivative assets, at fair value	$ 17,193	$ 10,004
Derivative liabilities, at fair value	4,273	6,344
Interest Rate Swaps
Derivatives, Fair Value
Derivative assets, at fair value	15,545	0
Derivative liabilities, at fair value	0	5,537
Currency Forward Contracts
Derivatives, Fair Value
Derivative assets, at fair value	558	111
Derivative liabilities, at fair value	0	807
TBAs
Derivatives, Fair Value
Derivative assets, at fair value	1,090	9,893
Derivative liabilities, at fair value	$ 4,273	$ 0

Derivatives and Hedging Activ_8

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Derivative Instruments, Gain (Loss)
Contractual net interest income (expense)		$ (4,700)
Gain (loss) on derivative instruments, net	$ 286,961	(910,779)
Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	5,400	10,100
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	282,250	(904,220)
Contractual net interest income (expense)	4,549	(11,924)
Unrealized gain (loss), net	9,260	(18,483)
Gain (loss) on derivative instruments, net	286,961	(910,779)
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net		2,283
Contractual net interest income (expense)		(4,718)
Unrealized gain (loss), net		(40,053)
Gain (loss) on derivative instruments, net		(33,052)
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	327,527	(904,704)
Contractual net interest income (expense)	4,549	(11,924)
Unrealized gain (loss), net	21,081	(18,532)
Gain (loss) on derivative instruments, net	344,059	(911,312)
Not Designated as Hedging Instrument | Interest Rate Swaptions
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(553)
Contractual net interest income (expense)	0
Unrealized gain (loss), net	0
Gain (loss) on derivative instruments, net	(553)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(539)	484
Contractual net interest income (expense)	0	0
Unrealized gain (loss), net	1,255	49
Gain (loss) on derivative instruments, net	716	$ 533
Not Designated as Hedging Instrument | TBAs
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(44,185)
Contractual net interest income (expense)	0
Unrealized gain (loss), net	(13,076)
Gain (loss) on derivative instruments, net	$ (57,261)

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Derivative assets, at fair value	$ 17,193	$ 10,004
Derivative liabilities, at fair value	4,273	6,344
Central Clearing Counterparty
Derivative [Line Items]
Derivative assets, at fair value	$ 15,500
Derivative liabilities, at fair value		$ 5,500

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Derivatives
Gross amounts of recognized assets	$ 1,648	$ 10,004
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets Presented in the Balance Sheets	1,648	10,004
Derivative assets, at fair value	17,193	10,004
Gross amounts not offset in the consolidated balance sheets, financial instruments	(445)	(111)
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged	(1,203)	(1,630)
Net Amount	$ 0	$ 8,263

Offsetting Assets and Liabili_5

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($)	Mar. 31, 2021	Dec. 31, 2020
Derivatives:
Gross amounts of recognized liabilities	$ (4,273,000)	$ (807,000)
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(4,273,000)	(807,000)
Gross amounts not offset in the consolidated balance sheets, financial instruments	445,000	111,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	3,828,000	610,000
Net Amount	0	(86,000)
Repurchase Agreements:
Gross Amounts of Recognized Assets (Liabilities)	(8,240,887,000)	(7,228,699,000)
Gross Amounts Offset in the Consolidated Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(8,240,887,000)	(7,228,699,000)
Gross amounts not offset in the consolidated balance sheets, financial instruments	8,240,887,000	7,228,699,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Gross Amounts of Recognized Assets (Liabilities)	(8,245,160,000)	(7,229,506,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(8,245,160,000)	(7,229,506,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	8,241,332,000	7,228,810,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	3,828,000	610,000
Net Amount	0	(86,000)
Cash collateral pledged on derivatives	385,400,000	245,000,000
Cash collateral received	1,337,000	3,546,000
Fair value of securities pledged under repurchase agreements, excluding cash collateral	8,600,000,000	7,600,000,000
Repurchase agreements	8,647,743,000	7,615,635,000
Cash
Repurchase Agreements:
Repurchase agreements	6,736,000	700,000
Interest Rate Swaps
Repurchase Agreements:
Cash collateral received	1,337,000	1,630,000
Repurchase agreement
Repurchase Agreements:
Cash collateral received	$ 0	$ 1,916,000

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2021	Dec. 31, 2020
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed securities	$ 9,099,742	$ 8,172,182
Derivative assets	1,648	10,004
Derivative liabilities	$ 4,273	$ 807
Weighted average remaining term of investments in unconsolidated ventures	1 year 2 months 12 days	1 year 6 months
Commercial loan, held-for-investment	$ 20,000	$ 23,098
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed securities	9,099,742	8,172,182
Derivative assets	17,193	10,004
Other assets	35,766	39,506
Total assets	9,152,701	8,221,692
Derivative liabilities	4,273	6,344
Total liabilities	4,273	6,344
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed securities	0	0
Derivative assets	0	0
Other assets	0	0
Total assets	0	0
Derivative liabilities	0	0
Total liabilities	0	0
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed securities	9,099,742	8,172,182
Derivative assets	17,193	10,004
Other assets	0	0
Total assets	9,116,935	8,182,186
Derivative liabilities	4,273	6,344
Total liabilities	4,273	6,344
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed securities	0	0
Derivative assets	0	0
Other assets	20,000	23,098
Total assets	20,000	23,098
Derivative liabilities	0	0
Total liabilities	0	0
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 15,766	$ 16,408

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ 10,281
Sales and settlements	(2,283)
Realized credit derivative gains (losses), net	2,283
Unrealized credit derivative gains (losses), net	(40,053)
Ending balance	(29,772)
Unrealized credit derivative gains (losses), net	$ (37,600)

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Loan participation interest
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance		$ 44,654
Repayments		(19,269)
Unrealized losses		(3,808)
Ending balance		21,577
Commercial loan
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 23,098	24,055
Repayments	0	(136)
Unrealized losses	(3,098)	(1,684)
Ending balance	20,000	22,577
Commercial loan | Cumulative Effect, Period of Adoption, Adjustment
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 0	$ 342

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Schedule of Fair Value Measurement of Commercial Loan (Details) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Commercial loan, held-for-investment	$ 20,000	$ 23,098
Measurement Input, Discount Rate | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Loan receivable measurement input	29.40%	29.90%

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Mar. 31, 2021	Dec. 31, 2020
Carrying Value
Financial Liabilities
Repurchase agreements	$ 8,240,887	$ 7,228,699
Total	8,240,887	7,228,699
Estimated Fair Value
Financial Liabilities
Repurchase agreements	8,240,959	7,228,719
Total	$ 8,240,959	$ 7,228,719

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020	Dec. 31, 2020
Related Party Transaction [Line Items]
Management fee – related party	$ 4,884	$ 10,953
Investment in money market or mutual funds managed by affiliates of a related party	$ 198,357		$ 148,011
Manager
Related Party Transaction [Line Items]
Management fee as percentage of stockholders' equity per annum	1.50%
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction [Line Items]
Management fee – related party	$ 242	$ 242
Investment in money market or mutual funds managed by affiliates of a related party			$ 1,900

Related Party Transactions - Sc

Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 1,234	$ 2,276
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	1,157	2,214
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 77	$ 62

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Feb. 04, 2021	Jun. 30, 2020	May 09, 2020	Mar. 31, 2021	Mar. 31, 2020	Jul. 31, 2017
Class of Stock [Line Items]
Number of shares repurchased during period (in shares)				0	0
Common stock dividend percentage of cash limit			10.00%
Common stock dividends			$ 8,200
Common stock dividends (in shares)		16,338,511
Payments of ordinary dividends, common stock		$ 8,200
Common stock dividends shares calculation base (in USD per share)		$ 4.5435
Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price per share (in USD per share)				$ 25		$ 25
Equity distribution agreement, authorized (in shares)				7,000,000
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate				7.75%
Preferred stock, liquidation preference (in USD per share)				$ 25
Preferred stock, dividends per annum (in USD per share)				$ 1.9375
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate				7.75%
Preferred stock, liquidation preference (in USD per share)				$ 25
Preferred stock, dividends per annum (in USD per share)				$ 1.9375
Series B Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread				5.18%
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate				7.50%
Preferred stock, liquidation preference (in USD per share)				$ 25
Preferred stock, dividends per annum (in USD per share)				$ 1.875
Series C Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread				5.289%
Common Stock
Class of Stock [Line Items]
Equity distribution agreement, authorized (in shares)				22,060,000
Number of shares issued during period	27,600,000
Sale of stock, price (in USD per share)	$ 3.75
Proceeds from issuance of common stock	$ 103,100
Remaining number of shares authorized to be repurchased (in shares)				18,163,982
Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Number of shares issued during period				15,550,000
Proceeds from issuance of common stock				$ 57,800
Payments of stock issuance commission and fees				$ 831

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ 981	$ (186,605)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	0	36,957
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,368)	(10,067)
Currency translation adjustments on investment in unconsolidated venture	609	480
Total other comprehensive income (loss)	(3,778)	(159,235)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	(3,778)	(159,235)
Equity method investments including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	609	480
Total other comprehensive income (loss)	609	480
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	609	480
Available-for-sale securities including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	981	(186,605)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net		36,957
Total other comprehensive income (loss)	981	(149,648)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	981	(149,648)
Derivative and hedging including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,368)	(10,067)
Total other comprehensive income (loss)	(5,368)	(10,067)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	(5,368)	(10,067)
Equity method investments attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	499	(645)
Ending Balance	1,108	(165)
Available-for-sale securities attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	5,993	213,701
Ending Balance	6,974	64,053
Derivative and hedging attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	52,113	75,907
Ending Balance	46,745	65,840
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)	(3,778)	(159,235)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	58,605	288,963
Total other comprehensive income (loss)	(3,778)	(159,235)
Ending Balance	$ 54,827	$ 129,728

Stockholders' Equity - Schedule

Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Class of Stock [Line Items]
Common stock dividend declared (in USD per share)	$ 0.09	$ 0.50
Dividends, common stock	$ 22,176	$ 82,483
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.4844	$ 0.4844
Dividends, preferred stock	$ 2,713	$ 2,713
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.4844	$ 0.4844
Dividends, preferred stock	$ 3,003	$ 3,003
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.46875	$ 0.46875
Dividends, preferred stock	$ 5,391	$ 5,391

Earnings (Loss) per Common Sh_3

Earnings (Loss) per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2021	Mar. 31, 2020
Basic Earnings:
Net income (loss) available to common stockholders	$ (20,382)	$ (1,627,299)
Basic Earnings:
Shares available to common stockholders (in shares)	223,955,000	156,771,000
Dilutive Shares (in shares)	223,955,000	156,771,000
Net income (loss) attributable to common stockholders
Basic (in USD per share)	$ (0.09)	$ (10.38)
Diluted (in USD per share)	$ (0.09)	$ (10.38)
Restricted stock awards
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Antidilutive securities excluded from computation of EPS (in shares)	12,385	12,065

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	Mar. 31, 2021	Dec. 31, 2020
Commitments and Contingencies Disclosure [Abstract]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 6.7	$ 6.8

Subsequent Events (Details)

Subsequent Events (Details) - $ / shares	May 04, 2021	Mar. 31, 2021	Mar. 31, 2020
Series A Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)		$ 0.4844	$ 0.4844
Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)		0.4844	0.4844
Series C Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)		$ 0.46875	$ 0.46875
Subsequent Event | Series A Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.4844
Subsequent Event | Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)	0.4844
Subsequent Event | Series C Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.46875

Uncategorized Items - ivr-20210

Label	Element	Value
Accounting Standards Update [Extensible List]	us-gaap_AccountingStandardsUpdateExtensibleList	us-gaap:AccountingStandardsUpdate201613Member