Invesco Mortgage Capital (IVR) 10-Q 4 Aug 22 2022 Q2 Quarterly report Financial data

Cover Page

Cover Page - shares	6 Months Ended
	Jun. 30, 2022	Jul. 31, 2022
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2022
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)		33,024,318
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	Q2
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% 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	IVR PrB
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	IVR PrC
Security Exchange Name	NYSE

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
ASSETS
Mortgage-backed securities, at fair value (including pledged securities of $3,467,386 and $7,326,175, respectively)	$ 3,915,165	$ 7,804,259
Cash and cash equivalents	202,182	357,134
Restricted cash	128,604	219,918
Due from counterparties	10,231	7,985
Investment related receivable	15,996	16,766
Derivative assets, at fair value	4,289	270
Other assets	27,964	37,509
Total assets	4,304,431	8,443,841
Liabilities:
Repurchase agreements	3,262,530	6,987,834
Derivative liabilities, at fair value	37,284	14,356
Dividends payable	29,722	29,689
Accrued interest payable	1,807	1,171
Collateral held payable	5,728	280
Accounts payable and accrued expenses	1,919	1,887
Due to affiliate	5,978	6,489
Total liabilities	3,344,968	7,041,706
Commitments and contingencies
Stockholders' equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 33,024,318 and 32,987,478 shares issued and outstanding, respectively	330	330
Additional paid in capital	3,819,670	3,819,375
Accumulated other comprehensive income	22,749	37,286
Retained earnings (distributions in excess of earnings)	(3,295,198)	(2,882,824)
Total stockholders’ equity	959,463	1,402,135
Total liabilities and stockholders' equity	4,304,431	8,443,841
Series B Preferred Stock
Stockholders' equity:
Preferred stock, value	148,801	149,860
Series C Preferred Stock
Stockholders' equity:
Preferred stock, value	$ 263,111	$ 278,108

CONDENSED CONSOLIDATED BALANC_2

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($)	Jun. 30, 2022	Dec. 31, 2021
Marketable securities pledged as collateral	$ 3,467,386,000	$ 7,326,175,000
Preferred Stock - par value (in USD per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized (in shares)	50,000,000	50,000,000
Common Stock - par value (in USD per share)	$ 0.01	$ 0.01
Common Stock - shares authorized (in shares)	450,000,000	450,000,000
Common Stock - shares issued (in shares)	33,024,318	32,987,478
Common Stock - shares outstanding (in shares)	33,024,318	32,987,478
Series B Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued (in shares)	6,156,180	6,200,000
Preferred Stock - shares outstanding (in shares)	6,156,180	6,200,000
Preferred Stock - liquidation preference value	$ 153,905,000	$ 155,000,000
Series C Preferred Stock
Preferred Stock - dividend rate stated percentage	7.50%	7.50%
Preferred Stock - shares issued (in shares)	10,879,859	11,500,000
Preferred Stock - shares outstanding (in shares)	10,879,859	11,500,000
Preferred Stock - liquidation preference value	$ 271,996,000	$ 287,500,000

CONDENSED CONSOLIDATED STATEMEN

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Interest income
Mortgage-backed and other securities		$ 43,994	$ 42,634	$ 85,631	$ 82,068
Commercial loan		561	520	1,098	1,096
Total interest income		44,555	43,154	86,729	83,164
Interest expense
Repurchase agreements	[1]	3,455	(3,177)	1,351	(4,837)
Total interest expense		3,455	(3,177)	1,351	(4,837)
Net interest income		41,100	46,331	85,378	88,001
Other income (loss)
Gain (loss) on investments, net		(324,876)	72,620	(829,264)	(259,237)
(Increase) decrease in provision for credit losses		0	830	0	1,768
Equity in earnings (losses) of unconsolidated ventures		(352)	331	(281)	237
Gain (loss) on derivative instruments, net		181,742	(186,284)	420,602	100,677
Other investment income (loss), net		(11)	16	44	0
Total other income (loss)		(143,497)	(112,487)	(408,899)	(156,555)
Expenses
Management fee – related party		4,619	5,455	9,893	10,339
General and administrative		2,519	2,147	4,543	4,140
Total expenses		7,138	7,602	14,436	14,479
Net income (loss)		(109,535)	(73,758)	(337,957)	(83,033)
Dividends to preferred stockholders		(8,100)	(9,900)	(16,494)	(21,007)
Gain on repurchase and retirement of preferred stock		1,491	0	1,491	0
Issuance and redemption costs of redeemed preferred stock		0	(4,682)	0	(4,682)
Net income (loss) attributable to common stockholders		$ (116,144)	$ (88,340)	$ (352,960)	$ (108,722)
Earnings (loss) per share:
Basic (in USD per share)		$ (3.52)	$ (3.40)	$ (10.70)	$ (4.49)
Diluted (in USD per share)		$ (3.52)	$ (3.40)	$ (10.70)	$ (4.49)
[1]Negative interest expense on repurchase agreements in 2021 is due to amortization of net deferred gains on de-designated interest rate swaps that exceeds current period interest expense on repurchase agreements. 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 COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ (109,535)	$ (73,758)	$ (337,957)	$ (83,033)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed securities, net	(1,825)	1,155	(4,246)	2,136
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(4,802)	(5,429)	(9,998)	(10,797)
Currency translation adjustments on investment in unconsolidated venture	(93)	(632)	(293)	(23)
Total other comprehensive income (loss)	(6,720)	(4,906)	(14,537)	(8,684)
Comprehensive income (loss)	(116,255)	(78,664)	(352,494)	(91,717)
Dividends to preferred stockholders	(8,100)	(9,900)	(16,494)	(21,007)
Gain on repurchase and retirement of preferred stock	1,491	0	1,491	0
Issuance and redemption costs of redeemed preferred stock	0	(4,682)	0	(4,682)
Comprehensive income (loss) attributable to common stockholders	$ (122,864)	$ (93,246)	$ (367,497)	$ (117,406)

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Series B Preferred Stock	Series C Preferred Stock	Preferred Stock Series A Preferred Stock	Preferred Stock Series B Preferred Stock	Preferred Stock Series C Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Distributions in excess of earnings)
Beginning balance (in shares) at Dec. 31, 2020				5,600,000	6,200,000	11,500,000
Beginning balance (in shares) at Dec. 31, 2020							20,322,211
Beginning balance at Dec. 31, 2020	$ 1,367,158			$ 135,356	$ 149,860	$ 278,108	$ 203	$ 3,389,381	$ 58,605	$ (2,644,355)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(9,275)									(9,275)
Other comprehensive income (loss)	(3,778)								(3,778)
Proceeds from issuance of common stock, net of offering costs (in shares)							4,315,000
Proceeds from issuance of common stock, net of offering costs	160,981						$ 43	160,938
Stock awards (in shares)							2,560
Stock awards	0
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
Ending balance (in shares) at Mar. 31, 2021							24,639,771
Ending balance at Mar. 31, 2021	1,481,932			$ 135,356	$ 149,860	$ 278,108	$ 246	3,550,448	54,827	(2,686,913)
Beginning balance (in shares) at Dec. 31, 2020				5,600,000	6,200,000	11,500,000
Beginning balance (in shares) at Dec. 31, 2020							20,322,211
Beginning balance at Dec. 31, 2020	1,367,158			$ 135,356	$ 149,860	$ 278,108	$ 203	3,389,381	58,605	(2,644,355)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(83,033)
Other comprehensive income (loss)	$ (8,684)
Redemption of preferred stock (in shares)	0
Ending balance (in shares) at Jun. 30, 2021				0	6,200,000	11,500,000
Ending balance (in shares) at Jun. 30, 2021							28,968,076
Ending balance at Jun. 30, 2021	$ 1,373,379			$ 0	$ 149,860	$ 278,108	$ 290	3,696,524	49,921	(2,801,324)
Beginning balance (in shares) at Mar. 31, 2021				5,600,000	6,200,000	11,500,000
Beginning balance (in shares) at Mar. 31, 2021							24,639,771
Beginning balance at Mar. 31, 2021	1,481,932			$ 135,356	$ 149,860	$ 278,108	$ 246	3,550,448	54,827	(2,686,913)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(73,758)									(73,758)
Other comprehensive income (loss)	(4,906)								(4,906)
Proceeds from issuance of common stock, net of offering costs (in shares)							4,312,500
Proceeds from issuance of common stock, net of offering costs	145,879						$ 43	145,836
Stock awards (in shares)							15,805
Stock awards	1						$ 1
Common stock dividends	(26,071)									(26,071)
Preferred stock dividends	$ (9,900)									(9,900)
Redemption of preferred stock (in shares)	0			(5,600,000)
Redemption of preferred stock	$ (140,038)			$ (135,356)						(4,682)
Amortization of equity-based compensation	240							240
Ending balance (in shares) at Jun. 30, 2021				0	6,200,000	11,500,000
Ending balance (in shares) at Jun. 30, 2021							28,968,076
Ending balance at Jun. 30, 2021	$ 1,373,379			$ 0	$ 149,860	$ 278,108	$ 290	3,696,524	49,921	(2,801,324)
Beginning balance (in shares) at Dec. 31, 2021		6,200,000	11,500,000		6,200,000	11,500,000
Beginning balance (in shares) at Dec. 31, 2021	32,987,478						32,987,478
Beginning balance at Dec. 31, 2021	$ 1,402,135				$ 149,860	$ 278,108	$ 330	3,819,375	37,286	(2,882,824)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(228,422)									(228,422)
Other comprehensive income (loss)	(7,817)								(7,817)
Stock awards (in shares)							4,315
Stock awards	0
Common stock dividends	(29,693)									(29,693)
Preferred stock dividends	(8,394)									(8,394)
Amortization of equity-based compensation	138							138
Ending balance (in shares) at Mar. 31, 2022					6,200,000	11,500,000
Ending balance (in shares) at Mar. 31, 2022							32,991,793
Ending balance at Mar. 31, 2022	$ 1,127,947				$ 149,860	$ 278,108	$ 330	3,819,513	29,469	(3,149,333)
Beginning balance (in shares) at Dec. 31, 2021		6,200,000	11,500,000		6,200,000	11,500,000
Beginning balance (in shares) at Dec. 31, 2021	32,987,478						32,987,478
Beginning balance at Dec. 31, 2021	$ 1,402,135				$ 149,860	$ 278,108	$ 330	3,819,375	37,286	(2,882,824)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(337,957)
Other comprehensive income (loss)	$ (14,537)
Repurchase and retirement of preferred stock (in shares)		(43,820)	(620,141)
Redemption of preferred stock (in shares)	0
Ending balance (in shares) at Jun. 30, 2022		6,156,180	10,879,859		6,156,180	10,879,859
Ending balance (in shares) at Jun. 30, 2022	33,024,318						33,024,318
Ending balance at Jun. 30, 2022	$ 959,463				$ 148,801	$ 263,111	$ 330	3,819,670	22,749	(3,295,198)
Beginning balance (in shares) at Mar. 31, 2022					6,200,000	11,500,000
Beginning balance (in shares) at Mar. 31, 2022							32,991,793
Beginning balance at Mar. 31, 2022	1,127,947				$ 149,860	$ 278,108	$ 330	3,819,513	29,469	(3,149,333)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(109,535)									(109,535)
Other comprehensive income (loss)	(6,720)								(6,720)
Stock awards (in shares)							32,571
Stock awards	0
Repurchase and retirement of preferred stock (in shares)		(43,820)	(620,141)		(43,820)	(620,141)
Repurchase and retirement of preferred stock	(14,565)				$ (1,059)	$ (14,997)				1,491
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split (in shares)							(46)
Payments in lieu of fractional shares in connection with one-for-ten reverse stock split	(1)							(1)
Common stock dividends	(29,721)									(29,721)
Preferred stock dividends	$ (8,100)									(8,100)
Redemption of preferred stock (in shares)	0
Amortization of equity-based compensation	$ 158							158
Ending balance (in shares) at Jun. 30, 2022		6,156,180	10,879,859		6,156,180	10,879,859
Ending balance (in shares) at Jun. 30, 2022	33,024,318						33,024,318
Ending balance at Jun. 30, 2022	$ 959,463				$ 148,801	$ 263,111	$ 330	$ 3,819,670	$ 22,749	$ (3,295,198)

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021
Cash Flows from Operating Activities
Net income (loss)	$ (337,957)	$ (83,033)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of mortgage-backed and other securities premiums and (discounts), net	2,333	20,389
Realized and unrealized (gain) loss on derivative instruments, net	(405,752)	(109,798)
(Gain) loss on investments, net	829,264	259,237
Increase (decrease) in provision for credit losses	0	(1,768)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	37	24
Other amortization	(9,702)	(10,427)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	2,182	(1,108)
Increase (decrease) in operating liabilities	374	(39)
Net cash provided by (used in) operating activities	80,779	73,477
Cash Flows from Investing Activities
Purchase of mortgage-backed securities	(14,442,287)	(11,003,833)
Purchase of U.S. Treasury securities	(502,290)	0
Distributions from investments in unconsolidated ventures, net	8,524	2,425
Principal payments from mortgage-backed securities	264,791	416,524
Proceeds from sale of mortgage-backed securities	17,264,232	9,755,377
Proceeds from the sale of U.S. Treasury securities	468,051	0
Settlement (termination) of forwards, swaps, swaptions and TBAs, net	424,661	126,303
Net change in due from counterparties and collateral held payable on derivative instruments	(3,897)	(942)
Net cash provided by (used in) investing activities	3,481,785	(704,146)
Cash Flows from Financing Activities
Proceeds from issuance of common stock	0	307,618
Redemption of preferred stock	0	(140,038)
Repurchase of preferred stock	(14,565)	0
Cash paid in lieu of fractional shares in connection with one-for-ten reverse stock split	(1)	0
Proceeds from repurchase agreements	35,949,170	54,825,005
Principal repayments of repurchase agreements	(39,674,474)	(54,202,500)
Net change in due from counterparties and collateral held payable on repurchase agreements	7,099	(1,516)
Payments of deferred costs	(184)	(281)
Payments of dividends	(75,875)	(62,153)
Net cash provided by (used in) financing activities	(3,808,830)	726,135
Net change in cash, cash equivalents and restricted cash	(246,266)	95,466
Cash, cash equivalents and restricted cash, beginning of period	577,052	392,584
Cash, cash equivalents and restricted cash, end of period	330,786	488,050
Supplement Disclosure of Cash Flow Information
Interest paid	10,713	6,406
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed securities classified as available-for-sale	(4,246)	2,136
Dividends declared not paid	29,722	26,071
Net change in investment related receivable (payable)	(791)	(5)
Offering costs not paid	310	647
Change in foreign currency translation adjustment on other investments	$ 293	$ 23

CONDENSED CONSOLIDATED STATEM_5

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) (Parenthetical)		1 Months Ended	6 Months Ended
	May 03, 2022	May 31, 2022	Jun. 30, 2022
Common Stock
Reverse stock split conversion ratio	0.1	0.1	0.1

Organization and Business Opera

Organization and Business Operations	6 Months Ended
	Jun. 30, 2022
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 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, • U.S. Treasury securities; and • Other real estate-related financing agreements. 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 of 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	6 Months Ended
	Jun. 30, 2022
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation For all periods presented, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022. 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, 2021. 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 its 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 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, 2021 other than as detailed below. U.S. Treasury Securities

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	6 Months Ended
	Jun. 30, 2022
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 June 30, 2022 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 43,644 43,644 Non-Agency RMBS 8,262 8,262 Investments in unconsolidated ventures 3,622 3,622 Total 55,528 55,528 Refer to Note 4 - "Mortgage-Backed Securities" and Note 5 - "Other Assets" for additional details regarding these investments.

Mortgage-Backed Securities

Mortgage-Backed Securities	6 Months Ended
	Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed Securities The following tables summarize our MBS portfolio by asset type as of June 30, 2022 and December 31, 2021. June 30, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 3,870,377 (62,776) 3,807,601 (5,150) 3,802,451 4.07 % Total Agency RMBS pass-through 3,870,377 (62,776) 3,807,601 (5,150) 3,802,451 4.07 % Agency-CMO (2) 427,319 (369,955) 57,364 3,444 60,808 9.29 % Non-Agency CMBS 44,652 (2,084) 42,568 1,076 43,644 8.44 % Non-Agency RMBS (3)(4)(5) 330,051 (321,699) 8,352 (90) 8,262 8.58 % Total 4,672,399 (756,514) 3,915,885 (720) 3,915,165 4.21 % (1) Period-end weighted average yield is based on amortized cost as of June 30, 2022 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 65.7% fixed rate, 33.4% 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 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 and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.3% of principal/notional balance, 43.8% of amortized cost and 25.7% of fair value. December 31, 2021 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Total Agency RMBS pass-through 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Agency-CMO (2) 235,216 (203,180) 32,036 (1,279) 30,757 6.47 % Non-Agency CMBS 61,427 (3,096) 58,331 4,578 62,909 8.63 % Non-Agency RMBS (3)(4)(5) 392,543 (383,591) 8,952 118 9,070 5.26 % Total 8,203,415 (343,684) 7,859,731 (55,472) 7,804,259 2.14 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 63.5% fixed rate, 35.6% 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 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 and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% 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 June 30, 2022 and December 31, 2021. 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 June 30, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option. June 30, 2022 December 31, 2021 $ 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 — 3,802,451 3,802,451 — 7,701,523 7,701,523 Total Agency RMBS pass-through — 3,802,451 3,802,451 — 7,701,523 7,701,523 Agency-CMO — 60,808 60,808 — 30,757 30,757 Non-Agency CMBS 43,644 — 43,644 62,909 — 62,909 Non-Agency RMBS 6,275 1,987 8,262 7,288 1,782 9,070 Total 49,919 3,865,246 3,915,165 70,197 7,734,062 7,804,259 The components of the carrying value of our MBS portfolio at June 30, 2022 and December 31, 2021 are presented below. Accrued interest receivable on our MBS portfolio, which is recorded within investment related receivable on our condensed consolidated balance sheets, was $13.8 million at June 30, 2022 (December 31, 2021: $16.6 million). June 30, 2022 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 3,923,868 748,531 4,672,399 Unamortized premium 18,221 — 18,221 Unamortized discount (87,224) (687,511) (774,735) Gross unrealized gains (1) 24,782 4,799 29,581 Gross unrealized losses (1) (27,414) (2,887) (30,301) Fair value 3,852,233 62,932 3,915,165 December 31, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,584,812 618,603 8,203,415 Unamortized premium 250,771 — 250,771 Unamortized discount (11,902) (582,553) (594,455) Gross unrealized gains (1) 8,754 109 8,863 Gross unrealized losses (1) (60,741) (3,594) (64,335) Fair value 7,771,694 32,565 7,804,259 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for 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 and six months ended June 30, 2022 and 2021 is provided below in this Note 4. The following table summarizes our MBS portfolio according to estimated weighted average life classifications as of June 30, 2022 and December 31, 2021 . $ in thousands June 30, 2022 December 31, 2021 Less than one year 5,994 23,150 Greater than one year and less than five years 37,724 891,510 Greater than or equal to five years 3,871,447 6,889,599 Total 3,915,165 7,804,259 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 June 30, 2022 and December 31, 2021. June 30, 2022 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 2,145,400 (27,400) 19 — — — 2,145,400 (27,400) 19 Total Agency RMBS pass-through (1) 2,145,400 (27,400) 19 — — — 2,145,400 (27,400) 19 Agency-CMO (1) 13,239 (997) 3 3,245 (358) 1 16,484 (1,355) 4 Non-Agency RMBS (2) 572 (21) 2 1,888 (1,525) 13 2,460 (1,546) 15 Total 2,159,211 (28,418) 24 5,133 (1,883) 14 2,164,344 (30,301) 38 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.9 million for which the fair value option has been elected. Such securities have unrealized losses of $1.5 million. December 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 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Total Agency RMBS pass-through (1) 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Agency-CMO (1) 21,810 (1,389) 5 — — — 21,810 (1,389) 5 Non-Agency RMBS (2) 767 (1,132) 5 1,042 (1,073) 9 1,809 (2,205) 14 Total 6,861,576 (63,262) 64 1,042 (1,073) 9 6,862,618 (64,335) 73 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.7 million for which the fair value option has been elected. Such securities have unrealized losses of $2.1 million. The remaining $136,000 of unrealized losses on non-Agency RMBS 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. As of June 30, 2022 and December 31, 2021, we did not have an allowance for credit losses recorded on our condensed consolidated balance sheets. We recorded an $830,000 and a $1.8 million decrease in the provision for credit losses on our condensed consolidated statement of operations during the three and six months ended June 30, 2021, respectively. The following table presents a roll-forward of our allowance for credit losses. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2021 2021 Beginning allowance for credit losses (830) (1,768) Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 830 1,768 Ending allowance for credit losses — — The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2022 and 2021. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2022 2021 2022 2021 Gross realized gains on sale of MBS 5,348 — 5,348 201 Gross realized losses on sale of MBS (540,404) (118,006) (859,374) (235,054) Net unrealized gains (losses) on MBS accounted for under the fair value option 224,464 189,804 58,997 (22,108) Net unrealized gains (losses) on commercial loan 87 822 (37) (2,276) Net unrealized gains (losses) on U.S. Treasury securities 19,827 — — — Net realized gains (losses) on U.S. Treasury securities (34,198) — (34,198) — Total gain (loss) on investments, net (324,876) 72,620 (829,264) (259,237) The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and six months ended June 30, 2022 and 2021. For the three months ended June 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 40,927 422 41,349 Non-Agency CMBS 668 509 1,177 Non-Agency RMBS 310 (132) 178 U.S. Treasury securities 1,213 (25) 1,188 Other 102 — 102 Total 43,220 774 43,994 For the three months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 50,003 (9,450) 40,553 Non-Agency CMBS 1,036 845 1,881 Non-Agency RMBS 467 (274) 193 Other 7 — 7 Total 51,513 (8,879) 42,634 For the six months ended June 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 87,525 (6,506) 81,019 Non-Agency CMBS 1,405 1,012 2,417 Non-Agency RMBS 640 (283) 357 U.S. Treasury securities 1,773 (41) 1,732 Other 106 — 106 Total 91,449 (5,818) 85,631 For the six months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 99,558 (21,934) 77,624 Non-Agency CMBS 2,341 1,723 4,064 Non-Agency RMBS 1,091 (724) 367 Other 13 — 13 Total 103,003 (20,935) 82,068

Other Assets

Other Assets	6 Months Ended
	Jun. 30, 2022
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of June 30, 2022 and December 31, 2021. $ in thousands June 30, 2022 December 31, 2021 Commercial loan, held-for-investment 23,478 23,515 Investments in unconsolidated ventures 3,622 12,476 Prepaid expenses and other assets 864 1,518 Total 27,964 37,509 In February 2022, we agreed to extend the contractual maturity of our commercial loan investment from February 2022 to June 2022. In June 2022, we agreed to further extend the contractual maturity to September 2022. The loan had a principal balance of $23.9 million as of June 30, 2022 and December 31, 2021 and a weighted average coupon rate of 9.56% as of June 30, 2022 and 8.60% as of December 31, 2021. We account for this loan under the fair value option and, accordingly, there are no capitalized origination costs or fees associated with the loan. We recorded an unrealized gain of $87,000 and an unrealized loss of $37,000 on this loan in our condensed consolidated statements of operations during the three and six months ended June 30, 2022, respectively (June 30, 2021: unrealized gain $822,000 and unrealized loss $2.3 million, respectively). 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	6 Months Ended
	Jun. 30, 2022
Debt Disclosure [Abstract]
Borrowings	Borrowings We finance the majority of our investment portfolio through repurchase agreements. The following tables summarize certain characteristics of our borrowings at June 30, 2022 and December 31, 2021. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands June 30, 2022 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 3,262,530 1.38 % 22 Total Borrowings 3,262,530 1.38 % 22 $ in thousands December 31, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 6,987,834 0.14 % 29 Total Borrowings 6,987,834 0.14 % 29 Repurchase Agreements Our repurchase agreements generally bear interest at a contractually agreed upon rate. Agency RMBS repurchase agreements generally have maturities ranging from one to six 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 June 30, 2022.

Collateral Positions

Collateral Positions	6 Months Ended
	Jun. 30, 2022
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 TBAs as of June 30, 2022 and December 31, 2021. 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, 2021 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 June 30, 2022 and December 31, 2021, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2022 December 31, 2021 Repurchase Agreements: Agency RMBS 3,467,386 7,326,175 Cash — 3,527 Total repurchase agreements collateral pledged 3,467,386 7,329,702 Derivative Instruments: Cash 10,231 4,458 Restricted cash 128,604 219,918 Total derivative instruments collateral pledged 138,835 224,376 Total collateral pledged: Agency RMBS 3,467,386 7,326,175 Cash 10,231 7,985 Restricted cash 128,604 219,918 Total collateral pledged 3,606,221 7,554,078 As of Collateral Held June 30, 2022 December 31, 2021 Repurchase Agreements: Cash 3,573 — Non-cash collateral 12,544 248 Total repurchase agreements collateral held 16,117 248 Derivative instruments: Cash 2,155 280 Total derivative instruments collateral held 2,155 280 Total collateral held: Cash 5,728 280 Non-cash collateral 12,544 248 Total collateral held 18,272 528 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. The ratio of our total repurchase agreements collateral pledged to our total repurchase agreements outstanding was 106% as of June 30, 2022 (December 31, 2021: 105%). Interest Rate Swaps As of June 30, 2022 and December 31, 2021, 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. Certain of our FCM agreements include cross default provisions. TBAs and Currency Forward Contracts

Derivatives and Hedging Activit

Derivatives and Hedging Activities	6 Months Ended
	Jun. 30, 2022
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 2022. $ in thousands Notional Amount as of December 31, 2021 Additions Settlement, Notional Amount as of June 30, 2022 Interest Rate Swaps (1) (2) 8,050,000 8,725,000 (7,400,000) 9,375,000 Currency Forward Contracts 13,596 20,359 (27,783) 6,172 TBA Purchase Contracts 1,600,000 17,006,500 (17,295,500) 1,311,000 TBA Sale Contracts — (18,156,500) 17,295,500 (861,000) Total 9,663,596 7,595,359 (7,427,783) 9,831,172 (1) Does not include interest rate swaps with forward start dates with a notional amount of $1.0 billion and $1.3 billion as of June 30, 2022 and December 31, 2021, respectively. (2) Notional amount as of June 30, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $3.6 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. 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 month to six months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Under the terms of the majority of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of floating-rate amounts over the life of the agreements without exchange of the underlying notional amount. To a lesser extent, we also enter into interest rate swap contracts whereby we make floating-rate payments to a counterparty in exchange for the receipt of fixed-rate amounts as part of our overall risk management strategy. 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 life of the interest rate swap agreements. We reclassified $4.8 million and $10.0 million as a decrease (June 30, 2021: $5.4 million and $10.8 million as a decrease) to interest expense for the three and six months ended June 30, 2022, respectively. During the next 12 months, we estimate that $17.4 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of June 30, 2022, $20.1 million (December 31, 2021: $30.1 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 June 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate ("SOFR") with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of June 30, 2022 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 650,000 0.06 % 1.50 % 2.1 3 to 5 years 900,000 0.11 % 1.50 % 3.1 5 to 7 years 1,925,000 0.29 % 1.50 % 5.4 7 to 10 years 1,825,000 0.52 % 1.50 % 8.1 Greater than 10 years 500,000 1.92 % 1.50 % 19.7 Total 5,800,000 0.45 % 1.50 % 6.8 $ in thousands As of December 31, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.06 % 0.05 % 2.6 3 to 5 years 1,250,000 0.12 % 0.05 % 3.6 5 to 7 years 2,225,000 0.32 % 0.05 % 5.9 7 to 10 years 1,825,000 0.52 % 0.05 % 8.6 Total 6,300,000 0.30 % 0.05 % 5.7 As of June 30, 2022, we held $1.0 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021: $1.3 billion). As of June 30, 2022, these interest rate swaps had a weighted average maturity of 17.0 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.89% (December 31, 2021: 0.99%). As of June 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding. $ in thousands As of June 30, 2022 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,200,000 1.50 % 3.32 % 2.0 3 to 5 years 600,000 1.50 % 2.73 % 4.4 5 to 7 years 1,175,000 1.50 % 2.67 % 6.3 7 to 10 years 325,000 1.50 % 2.61 % 9.3 Greater than 10 years 275,000 1.50 % 2.72 % 30.0 Total 3,575,000 1.50 % 2.90 % 6.6 $ in thousands As of December 31, 2021 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.05 % 0.77 % 2.6 5 to 7 years 500,000 0.05 % 1.26 % 6.9 7 to 10 years 250,000 0.05 % 1.27 % 10.0 Total 1,750,000 0.05 % 0.98 % 4.9 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 June 30, 2022, we had $6.2 million (December 31, 2021: $13.6 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in Euro. 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 June 30, 2022 and December 31, 2021. $ in thousands As of June 30, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts (1) 1,311,000 1,324,001 1,323,965 (36) TBA Sale Contracts (2) (861,000) (857,442) (864,683) (7,241) Net TBA Derivatives 450,000 466,559 459,282 (7,277) (1) Net carrying value of TBA purchase contracts includes $4.2 million of derivative assets and $4.3 million of derivative liabilities. (2) Net carrying value of TBA sale contracts includes $7.2 million of derivative liabilities. $ in thousands As of December 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,600,000 1,636,906 1,633,955 (2,951) 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 June 30, 2022 and December 31, 2021. $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2022 As of December 31, 2021 As of June 30, 2022 As of December 31, 2021 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — — Interest Rate Swaps Liability 25,771 11,405 Currency Forward Contracts 53 270 Currency Forward Contracts — — TBAs 4,236 — TBAs 11,513 2,951 Total Derivative Assets 4,289 270 Total Derivative Liabilities 37,284 14,356 The following tables summarize 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 and six months ended June 30, 2022 and 2021. $ in thousands Three Months Ended June 30, 2022 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 209,913 13,566 (2,966) 220,513 Currency Forward Contracts 486 — (177) 309 TBAs (69,167) — 30,087 (39,080) Total 141,232 13,566 26,944 181,742 $ in thousands Three Months Ended June 30, 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 (166,365) (4,572) (32,786) (203,723) Currency Forward Contracts (13) — (142) (155) TBAs 10,431 — 7,163 17,594 Total (155,947) (4,572) (25,765) (186,284) $ in thousands Six Months Ended June 30, 2022 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 553,222 14,850 (14,365) 553,707 Currency Forward Contracts 679 — (218) 461 TBAs (129,240) — (4,326) (133,566) Total 424,661 14,850 (18,909) 420,602 $ in thousands Six Months Ended June 30, 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 161,162 (9,121) (11,705) 140,336 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts (552) — 1,113 561 TBAs (33,754) — (5,913) (39,667) Total 126,303 (9,121) (16,505) 100,677

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	6 Months Ended
	Jun. 30, 2022
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 arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $25.8 million at June 30, 2022 (December 31, 2021: liability of $11.4 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 June 30, 2022 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) 4,289 — 4,289 (3,742) (547) — Total Assets 4,289 — 4,289 (3,742) (547) — Liabilities Derivatives (1) (2) (11,513) — (11,513) 3,742 6,999 (772) Repurchase Agreements (3) (3,262,530) — (3,262,530) 3,262,530 — — Total Liabilities (3,274,043) — (3,274,043) 3,266,272 6,999 (772) As of December 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) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (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 derivatives was $138.8 million and $224.4 million as of June 30, 2022 and December 31, 2021, 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 $2.2 million and $280,000 as of June 30, 2022 and December 31, 2021, respectively. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $3.5 billion and $7.3 billion at June 30, 2022 and December 31, 2021, respectively. We pledged no cash collateral and $3.5 million of cash collateral under repurchase agreements as of June 30, 2022 and December 31, 2021, respectively. We held $3.6 million of cash collateral under repurchase agreements as of June 30, 2022. We did not hold cash collateral under repurchase agreements as of December 31, 2021.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 2022
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. June 30, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 3,915,165 — — 3,915,165 Derivative assets — 4,289 — — 4,289 Other assets — — 23,478 3,622 27,100 Total assets — 3,919,454 23,478 3,622 3,946,554 Liabilities: Derivative liabilities — 37,284 — — 37,284 Total liabilities — 37,284 — — 37,284 December 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 7,804,259 — — 7,804,259 Derivative assets — 270 — — 270 Other assets — — 23,515 12,476 35,991 Total assets — 7,804,529 23,515 12,476 7,840,520 Liabilities: Derivative liabilities — 14,356 — — 14,356 Total liabilities — 14,356 — — 14,356 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed Securities." (2) Amounts reflect our commercial loan investment for which we have elected the fair value option and valued using a third party appraisal. (3) 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 June 30, 2022 and December 31, 2021, our unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible. The following table shows a reconciliation of the beginning and ending fair value measurements of our commercial loan investment, which we have valued utilizing Level 3 inputs. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2022 2021 2022 2021 Beginning balance 23,391 20,000 23,515 23,098 Unrealized gains (losses) 87 822 (37) (2,276) Ending balance 23,478 20,822 23,478 20,822 Unrealized gains and losses on our commercial loan investment are included in gain (loss) on investments, net in our condensed consolidated statements of operations. 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 June 30, 2022 Technique Input Rate Commercial Loan 23,478 Discounted Cash Flow Discount rate 18.5 % Fair Value at Valuation Unobservable $ in thousands December 31, 2021 Technique Input Rate Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 % 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 June 30, 2022 and December 31, 2021. June 30, 2022 December 31, 2021 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 3,262,530 3,261,968 6,987,834 6,987,806 Total 3,262,530 3,261,968 6,987,834 6,987,806 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	6 Months Ended
	Jun. 30, 2022
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 and six months ended June 30, 2022, we reimbursed our Manager $337,000 and $750,000, respectively (June 30, 2021: $261,000 and $559,000, respectively) for costs of support personnel. Management Fee We pay our Manager a fee 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, legal 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 and six months ended June 30, 2022 and 2021. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2022 2021 2022 2021 Incurred costs, prepaid or expensed 2,020 1,696 3,357 2,853 Incurred costs, charged against equity as a cost of raising capital 159 315 217 392 Total incurred costs, originally paid by our Manager 2,179 2,011 3,574 3,245

Stockholders' Equity

Stockholders' Equity	6 Months Ended
	Jun. 30, 2022
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity Preferred Stock In June 2021, we redeemed all issued and outstanding shares of our Series A Preferred Stock for $140.0 million plus accrued and unpaid dividends. The excess of the consideration transferred over carrying value was accounted for as a deemed dividend and resulted in a reduction of $4.7 million in net income (loss) attributable to common stockholders during the three and six months ended June 30, 2021. In May 2022, our board of directors approved a share repurchase program for our Series B and Series C Preferred Stock. During the three and six months ended June 30, 2022, we repurchased and retired 43,820 shares of Series B Preferred Stock and 620,141 shares of Series C Preferred Stock. As of June 30, 2022, we had authority to purchase 2,956,180 additional shares of our Series B Preferred Stock and 4,379,859 additional shares of our Series C Preferred Stock under the current share repurchase program. Refer to Note 15 - “Subsequent Events” for details on repurchases subsequent to June 30, 2022. 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. 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. As of June 30, 2022, we may sell up to 5,500,000 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 our equity distribution agreements. Common Stock In May 2022, our board of directors approved a one-for-ten reverse split of outstanding shares of our common stock. The reverse stock split was effected following the close of business on June 3, 2022 (the "Effective Time"). At the Effective Time, every ten issued and outstanding shares of our common stock were converted into one share of our common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares received cash, in lieu of such fractional shares, in an amount determined based on the closing price of our common stock at the Effective Time. The reverse stock split applied to all of our outstanding shares of common stock and did not affect any stockholder’s ownership percentage of our common stock, except for changes resulting from the payment of cash for fractional shares. As of June 30, 2022, we may sell up to 5,686,598 shares of our common stock from time to time in at-the-market or privately negotiated transactions under our equity distribution agreement with placement agents. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the three and six months ended June 30, 2022, we did not sell any shares of common stock under the equity distribution agreement. During the six months ended June 30, 2021, we sold 1,555,000 shares of common stock under an equity distribution agreement for proceeds of $57.8 million, net of approximately $831,000 in commissions and fees. During the three and six months ended June 30, 2022 and 2021, we did not repurchase any shares of our common stock. As of June 30, 2022, we had authority to purchase 1,816,398 shares of our common stock through our common stock share repurchase program. In May 2022, we granted 32,571 restricted shares of common stock to our independent directors. The restricted shares will become unrestricted shares of common stock on the first anniversary of the grant date unless forfeited, subject to certain conditions that accelerate vesting. 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 and six months ended June 30, 2022 and 2021. The tables exclude gains and losses on MBS that are accounted for under the fair value option. Three Months Ended June 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (1,825) — (1,825) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,802) (4,802) Currency translation adjustments on investment in unconsolidated venture (93) — — (93) Total other comprehensive income (loss) (93) (1,825) (4,802) (6,720) AOCI balance at beginning of period 224 4,328 24,917 29,469 Total other comprehensive income (loss) (93) (1,825) (4,802) (6,720) AOCI balance at end of period 131 2,503 20,115 22,749 Three Months Ended June 30, 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 securities, net — 1,155 — 1,155 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,429) (5,429) Currency translation adjustments on investment in unconsolidated venture (632) — — (632) Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at beginning of period 1,108 6,974 46,745 54,827 Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at end of period 476 8,129 41,316 49,921 Six Months Ended June 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (4,246) — (4,246) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (9,998) (9,998) Currency translation adjustments on investment in unconsolidated venture (293) — — (293) Total other comprehensive income (loss) (293) (4,246) (9,998) (14,537) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (293) (4,246) (9,998) (14,537) AOCI balance at end of period 131 2,503 20,115 22,749 Six Months Ended June 30, 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 securities, net — 2,136 — 2,136 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,797) (10,797) Currency translation adjustments on investment in unconsolidated venture (23) — — (23) Total other comprehensive income (loss) (23) 2,136 (10,797) (8,684) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) (23) 2,136 (10,797) (8,684) AOCI balance at end of period 476 8,129 41,316 49,921 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 six months ended June 30, 2022 and 2021. Dividends declared per share on our common stock have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2022 May 3, 2022 0.4844 2,991 June 27, 2022 February 16, 2022 0.4844 3,003 March 28, 2022 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2022 May 3, 2022 0.46875 5,109 June 27, 2022 February 16, 2022 0.46875 5,391 March 28, 2022 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2022 June 27, 2022 0.90 29,721 July 27, 2022 March 28, 2022 0.90 29,693 April 27, 2022 2021 June 23, 2021 0.90 26,071 July 27, 2021 March 26, 2021 0.90 22,176 April 27, 2021

Earnings (Loss) per Common Shar

Earnings (Loss) per Common Share	6 Months Ended
	Jun. 30, 2022
Earnings Per Share [Abstract]
Earnings (Loss) per Common Share	Earnings (Loss) per Common Share Earnings (loss) per share for the three and six months ended June 30, 2022 and 2021 is computed as shown in the table below. Common share amounts and earnings (loss) per share have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. Three Months Ended June 30, Six Months Ended June 30, In thousands, except per share amounts 2022 2021 2022 2021 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (116,144) (88,340) (352,960) (108,722) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 32,990 26,014 32,988 24,215 Dilutive Shares 32,990 26,014 32,988 24,215 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (3.52) (3.40) (10.70) (4.49) Diluted (3.52) (3.40) (10.70) (4.49) The following potential weighted average common shares were excluded from diluted earnings per share for three and six months ended June 30, 2022 as the effect would be antidilutive: 1,127 and 1,314 for restricted stock awards, respectively (June 30, 2021: 2,082 and 1,722 for restricted stock awards, respectively).

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2022
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 June 30, 2022 are discussed below.

Subsequent Events

Subsequent Events	6 Months Ended
	Jun. 30, 2022
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Dividends We declared the following dividends on August 2, 2022: a Series B Preferred Stock dividend of $0.4844 per share payable on September 27, 2022 to our stockholders of record as of September 5, 2022 and a Series C Preferred Stock dividend of $0.46875 per share payable on September 27, 2022 to our stockholders of record as of September 5, 2022. Repurchase of Series B and Series C Preferred Stock Between July 1, 2022 and August 4, 2022, we repurchased 1,618,546 shares of our Series B Preferred Stock for $35.0 million and 3,063,389 shares of our Series C Preferred Stock for $65.6 million. We will record a gain on the repurchase and retirement of these shares during the three months ended September 30, 2022. As of August 4, 2022, we had authority to repurchase 1,337,634 additional shares of Series B Preferred Stock and 1,316,470 additional shares of Series C Preferred Stock under our current preferred share repurchase program. Change in Authorized Common Shares

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2022
Accounting Policies [Abstract]
Basis of Presentation	For all periods presented, common shares and per common share amounts have been adjusted on a retroactive basis to reflect our one-for-ten reverse stock split, which was effected following the close of business on June 3, 2022. 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, 2021.
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 its 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 securities and allowances for credit losses. Actual results may differ from those estimates.
U.S. Treasury Securities	U.S. Treasury securities are classified as trading securities and reported at fair value on our condensed consolidated balance sheets. Purchases of U.S. Treasury Securities are recorded on the trade date. Changes in the fair value of U.S. Treasury securities are recognized within gain (loss) on investments, net in our condensed consolidated statements of operations. Coupon interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Interest income on U.S. Treasury securities is recognized within mortgage-backed and other securities interest income on our condensed consolidated statements of operations.

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	6 Months Ended
	Jun. 30, 2022
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 June 30, 2022 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 43,644 43,644 Non-Agency RMBS 8,262 8,262 Investments in unconsolidated ventures 3,622 3,622 Total 55,528 55,528

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	6 Months Ended
	Jun. 30, 2022
Investments, Debt and Equity Securities [Abstract]
Schedule of Investment Portfolio	The following tables summarize our MBS portfolio by asset type as of June 30, 2022 and December 31, 2021. June 30, 2022 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 3,870,377 (62,776) 3,807,601 (5,150) 3,802,451 4.07 % Total Agency RMBS pass-through 3,870,377 (62,776) 3,807,601 (5,150) 3,802,451 4.07 % Agency-CMO (2) 427,319 (369,955) 57,364 3,444 60,808 9.29 % Non-Agency CMBS 44,652 (2,084) 42,568 1,076 43,644 8.44 % Non-Agency RMBS (3)(4)(5) 330,051 (321,699) 8,352 (90) 8,262 8.58 % Total 4,672,399 (756,514) 3,915,885 (720) 3,915,165 4.21 % (1) Period-end weighted average yield is based on amortized cost as of June 30, 2022 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 65.7% fixed rate, 33.4% 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 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 and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 97.3% of principal/notional balance, 43.8% of amortized cost and 25.7% of fair value. December 31, 2021 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Total Agency RMBS pass-through 7,514,229 246,183 7,760,412 (58,889) 7,701,523 2.07 % Agency-CMO (2) 235,216 (203,180) 32,036 (1,279) 30,757 6.47 % Non-Agency CMBS 61,427 (3,096) 58,331 4,578 62,909 8.63 % Non-Agency RMBS (3)(4)(5) 392,543 (383,591) 8,952 118 9,070 5.26 % Total 8,203,415 (343,684) 7,859,731 (55,472) 7,804,259 2.14 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2021 and incorporates future prepayment and loss assumptions. (2) All Agency-CMO are Agency IO. (3) Non-Agency RMBS is 63.5% fixed rate, 35.6% 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 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 and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes non-Agency IO which represent 97.7% of principal/notional balance, 44.8% of amortized cost and 19.9% of fair value. June 30, 2022 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 3,923,868 748,531 4,672,399 Unamortized premium 18,221 — 18,221 Unamortized discount (87,224) (687,511) (774,735) Gross unrealized gains (1) 24,782 4,799 29,581 Gross unrealized losses (1) (27,414) (2,887) (30,301) Fair value 3,852,233 62,932 3,915,165 December 31, 2021 $ in thousands MBS Interest-Only Securities Total Principal/notional balance 7,584,812 618,603 8,203,415 Unamortized premium 250,771 — 250,771 Unamortized discount (11,902) (582,553) (594,455) Gross unrealized gains (1) 8,754 109 8,863 Gross unrealized losses (1) (60,741) (3,594) (64,335) Fair value 7,771,694 32,565 7,804,259 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for 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 and six months ended June 30, 2022 and 2021 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 June 30, 2022 and December 31, 2021. 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 June 30, 2022 and December 31, 2021, approximately 99% of our MBS are accounted for under the fair value option. June 30, 2022 December 31, 2021 $ 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 — 3,802,451 3,802,451 — 7,701,523 7,701,523 Total Agency RMBS pass-through — 3,802,451 3,802,451 — 7,701,523 7,701,523 Agency-CMO — 60,808 60,808 — 30,757 30,757 Non-Agency CMBS 43,644 — 43,644 62,909 — 62,909 Non-Agency RMBS 6,275 1,987 8,262 7,288 1,782 9,070 Total 49,919 3,865,246 3,915,165 70,197 7,734,062 7,804,259
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 June 30, 2022 and December 31, 2021 . $ in thousands June 30, 2022 December 31, 2021 Less than one year 5,994 23,150 Greater than one year and less than five years 37,724 891,510 Greater than or equal to five years 3,871,447 6,889,599 Total 3,915,165 7,804,259
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 June 30, 2022 and December 31, 2021. June 30, 2022 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 2,145,400 (27,400) 19 — — — 2,145,400 (27,400) 19 Total Agency RMBS pass-through (1) 2,145,400 (27,400) 19 — — — 2,145,400 (27,400) 19 Agency-CMO (1) 13,239 (997) 3 3,245 (358) 1 16,484 (1,355) 4 Non-Agency RMBS (2) 572 (21) 2 1,888 (1,525) 13 2,460 (1,546) 15 Total 2,159,211 (28,418) 24 5,133 (1,883) 14 2,164,344 (30,301) 38 (1) Fair value option has been elected for all Agency securities in an unrealized loss position. (2) Includes non-Agency IO with a fair value of $1.9 million for which the fair value option has been elected. Such securities have unrealized losses of $1.5 million. December 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 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Total Agency RMBS pass-through (1) 6,838,999 (60,741) 54 — — — 6,838,999 (60,741) 54 Agency-CMO (1) 21,810 (1,389) 5 — — — 21,810 (1,389) 5 Non-Agency RMBS (2) 767 (1,132) 5 1,042 (1,073) 9 1,809 (2,205) 14 Total 6,861,576 (63,262) 64 1,042 (1,073) 9 6,862,618 (64,335) 73 (1) Fair value option has been elected for all Agency securities 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 June 30, Six Months Ended June 30, $ in thousands 2021 2021 Beginning allowance for credit losses (830) (1,768) Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period 830 1,768 Ending allowance for credit losses — —
Schedule of Gain (Loss) on Investments	The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2022 and 2021. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2022 2021 2022 2021 Gross realized gains on sale of MBS 5,348 — 5,348 201 Gross realized losses on sale of MBS (540,404) (118,006) (859,374) (235,054) Net unrealized gains (losses) on MBS accounted for under the fair value option 224,464 189,804 58,997 (22,108) Net unrealized gains (losses) on commercial loan 87 822 (37) (2,276) Net unrealized gains (losses) on U.S. Treasury securities 19,827 — — — Net realized gains (losses) on U.S. Treasury securities (34,198) — (34,198) — Total gain (loss) on investments, net (324,876) 72,620 (829,264) (259,237)
Schedule of Components of MBS and GSE CRT Interest Income	The following tables present components of interest income recognized on our mortgage-backed and other securities portfolio for the three and six months ended June 30, 2022 and 2021. For the three months ended June 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 40,927 422 41,349 Non-Agency CMBS 668 509 1,177 Non-Agency RMBS 310 (132) 178 U.S. Treasury securities 1,213 (25) 1,188 Other 102 — 102 Total 43,220 774 43,994 For the three months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 50,003 (9,450) 40,553 Non-Agency CMBS 1,036 845 1,881 Non-Agency RMBS 467 (274) 193 Other 7 — 7 Total 51,513 (8,879) 42,634 For the six months ended June 30, 2022 $ in thousands Coupon Net (Premium Interest Agency RMBS 87,525 (6,506) 81,019 Non-Agency CMBS 1,405 1,012 2,417 Non-Agency RMBS 640 (283) 357 U.S. Treasury securities 1,773 (41) 1,732 Other 106 — 106 Total 91,449 (5,818) 85,631 For the six months ended June 30, 2021 $ in thousands Coupon Net (Premium Interest Agency RMBS 99,558 (21,934) 77,624 Non-Agency CMBS 2,341 1,723 4,064 Non-Agency RMBS 1,091 (724) 367 Other 13 — 13 Total 103,003 (20,935) 82,068

Other Assets (Tables)

Other Assets (Tables)	6 Months Ended
	Jun. 30, 2022
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Schedule of Other Assets	The following table summarizes our other assets as of June 30, 2022 and December 31, 2021. $ in thousands June 30, 2022 December 31, 2021 Commercial loan, held-for-investment 23,478 23,515 Investments in unconsolidated ventures 3,622 12,476 Prepaid expenses and other assets 864 1,518 Total 27,964 37,509

Borrowings (Tables)

Borrowings (Tables)	6 Months Ended
	Jun. 30, 2022
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at June 30, 2022 and December 31, 2021. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements. $ in thousands June 30, 2022 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 3,262,530 1.38 % 22 Total Borrowings 3,262,530 1.38 % 22 $ in thousands December 31, 2021 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 6,987,834 0.14 % 29 Total Borrowings 6,987,834 0.14 % 29

Collateral Positions (Tables)

Collateral Positions (Tables)	6 Months Ended
	Jun. 30, 2022
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 TBAs as of June 30, 2022 and December 31, 2021. 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, 2021 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 June 30, 2022 and December 31, 2021, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2022 December 31, 2021 Repurchase Agreements: Agency RMBS 3,467,386 7,326,175 Cash — 3,527 Total repurchase agreements collateral pledged 3,467,386 7,329,702 Derivative Instruments: Cash 10,231 4,458 Restricted cash 128,604 219,918 Total derivative instruments collateral pledged 138,835 224,376 Total collateral pledged: Agency RMBS 3,467,386 7,326,175 Cash 10,231 7,985 Restricted cash 128,604 219,918 Total collateral pledged 3,606,221 7,554,078 As of Collateral Held June 30, 2022 December 31, 2021 Repurchase Agreements: Cash 3,573 — Non-cash collateral 12,544 248 Total repurchase agreements collateral held 16,117 248 Derivative instruments: Cash 2,155 280 Total derivative instruments collateral held 2,155 280 Total collateral held: Cash 5,728 280 Non-cash collateral 12,544 248 Total collateral held 18,272 528

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	6 Months Ended
	Jun. 30, 2022
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 2022. $ in thousands Notional Amount as of December 31, 2021 Additions Settlement, Notional Amount as of June 30, 2022 Interest Rate Swaps (1) (2) 8,050,000 8,725,000 (7,400,000) 9,375,000 Currency Forward Contracts 13,596 20,359 (27,783) 6,172 TBA Purchase Contracts 1,600,000 17,006,500 (17,295,500) 1,311,000 TBA Sale Contracts — (18,156,500) 17,295,500 (861,000) Total 9,663,596 7,595,359 (7,427,783) 9,831,172 (1) Does not include interest rate swaps with forward start dates with a notional amount of $1.0 billion and $1.3 billion as of June 30, 2022 and December 31, 2021, respectively. (2) Notional amount as of June 30, 2022 includes $5.8 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $3.6 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate. Notional amount as of December 31, 2021 includes $6.3 billion of interest rate swaps whereby we pay interest at a fixed rate and receive interest at a floating rate and $1.8 billion of interest rate swaps whereby we pay interest at a floating rate and receive interest at a fixed rate.
Schedule of Interest Rate Swaps Outstanding	As of June 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay interest at a fixed rate and receive floating interest based on the secured overnight financing rate ("SOFR") with the following maturities outstand ing, excluding interest rate swaps with forward start dates. $ in thousands As of June 30, 2022 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 650,000 0.06 % 1.50 % 2.1 3 to 5 years 900,000 0.11 % 1.50 % 3.1 5 to 7 years 1,925,000 0.29 % 1.50 % 5.4 7 to 10 years 1,825,000 0.52 % 1.50 % 8.1 Greater than 10 years 500,000 1.92 % 1.50 % 19.7 Total 5,800,000 0.45 % 1.50 % 6.8 $ in thousands As of December 31, 2021 Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Floating Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.06 % 0.05 % 2.6 3 to 5 years 1,250,000 0.12 % 0.05 % 3.6 5 to 7 years 2,225,000 0.32 % 0.05 % 5.9 7 to 10 years 1,825,000 0.52 % 0.05 % 8.6 Total 6,300,000 0.30 % 0.05 % 5.7 As of June 30, 2022, we held $1.0 billion notional amount of interest rate swaps with forward start dates that will receive floating interest based on SOFR (December 31, 2021: $1.3 billion). As of June 30, 2022, these interest rate swaps had a weighted average maturity of 17.0 years (December 31, 2021: 20.8 years) and a weighted average fixed pay rate of 0.89% (December 31, 2021: 0.99%). As of June 30, 2022 and December 31, 2021, we had interest rate swaps whereby we pay floating interest based on SOFR and receive interest at a fixed rate with the following maturities outstanding. $ in thousands As of June 30, 2022 Maturities Notional Amount Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,200,000 1.50 % 3.32 % 2.0 3 to 5 years 600,000 1.50 % 2.73 % 4.4 5 to 7 years 1,175,000 1.50 % 2.67 % 6.3 7 to 10 years 325,000 1.50 % 2.61 % 9.3 Greater than 10 years 275,000 1.50 % 2.72 % 30.0 Total 3,575,000 1.50 % 2.90 % 6.6 $ in thousands As of December 31, 2021 Maturities Notional Amounts Weighted Average Floating Pay Rate Weighted Average Fixed Receive Rate Weighted Average Years to Maturity Less than 3 years 1,000,000 0.05 % 0.77 % 2.6 5 to 7 years 500,000 0.05 % 1.26 % 6.9 7 to 10 years 250,000 0.05 % 1.27 % 10.0 Total 1,750,000 0.05 % 0.98 % 4.9
Schedule of TBA Contracts	The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of June 30, 2022 and December 31, 2021. $ in thousands As of June 30, 2022 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts (1) 1,311,000 1,324,001 1,323,965 (36) TBA Sale Contracts (2) (861,000) (857,442) (864,683) (7,241) Net TBA Derivatives 450,000 466,559 459,282 (7,277) (1) Net carrying value of TBA purchase contracts includes $4.2 million of derivative assets and $4.3 million of derivative liabilities. (2) Net carrying value of TBA sale contracts includes $7.2 million of derivative liabilities. $ in thousands As of December 31, 2021 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA Purchase Contracts 1,600,000 1,636,906 1,633,955 (2,951)
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 June 30, 2022 and December 31, 2021. $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2022 As of December 31, 2021 As of June 30, 2022 As of December 31, 2021 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — — Interest Rate Swaps Liability 25,771 11,405 Currency Forward Contracts 53 270 Currency Forward Contracts — — TBAs 4,236 — TBAs 11,513 2,951 Total Derivative Assets 4,289 270 Total Derivative Liabilities 37,284 14,356
Schedule of Effect of Derivative Financial Instruments on Statement of Operations	The following tables summarize 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 and six months ended June 30, 2022 and 2021. $ in thousands Three Months Ended June 30, 2022 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 209,913 13,566 (2,966) 220,513 Currency Forward Contracts 486 — (177) 309 TBAs (69,167) — 30,087 (39,080) Total 141,232 13,566 26,944 181,742 $ in thousands Three Months Ended June 30, 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 (166,365) (4,572) (32,786) (203,723) Currency Forward Contracts (13) — (142) (155) TBAs 10,431 — 7,163 17,594 Total (155,947) (4,572) (25,765) (186,284) $ in thousands Six Months Ended June 30, 2022 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 553,222 14,850 (14,365) 553,707 Currency Forward Contracts 679 — (218) 461 TBAs (129,240) — (4,326) (133,566) Total 424,661 14,850 (18,909) 420,602 $ in thousands Six Months Ended June 30, 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 161,162 (9,121) (11,705) 140,336 Interest Rate Swaptions (553) — — (553) Currency Forward Contracts (552) — 1,113 561 TBAs (33,754) — (5,913) (39,667) Total 126,303 (9,121) (16,505) 100,677

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	6 Months Ended
	Jun. 30, 2022
Offsetting [Abstract]
Schedule of Offsetting Assets	The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $25.8 million at June 30, 2022 (December 31, 2021: liability of $11.4 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 June 30, 2022 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) 4,289 — 4,289 (3,742) (547) — Total Assets 4,289 — 4,289 (3,742) (547) — Liabilities Derivatives (1) (2) (11,513) — (11,513) 3,742 6,999 (772) Repurchase Agreements (3) (3,262,530) — (3,262,530) 3,262,530 — — Total Liabilities (3,274,043) — (3,274,043) 3,266,272 6,999 (772) As of December 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) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (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 derivatives was $138.8 million and $224.4 million as of June 30, 2022 and December 31, 2021, 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 $2.2 million and $280,000 as of June 30, 2022 and December 31, 2021, respectively.
Schedule of Offsetting Liabilities	The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at June 30, 2022 and December 31, 2021. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $25.8 million at June 30, 2022 (December 31, 2021: liability of $11.4 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 June 30, 2022 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) 4,289 — 4,289 (3,742) (547) — Total Assets 4,289 — 4,289 (3,742) (547) — Liabilities Derivatives (1) (2) (11,513) — (11,513) 3,742 6,999 (772) Repurchase Agreements (3) (3,262,530) — (3,262,530) 3,262,530 — — Total Liabilities (3,274,043) — (3,274,043) 3,266,272 6,999 (772) As of December 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) 270 — 270 — (270) — Total Assets 270 — 270 — (270) — Liabilities Derivatives (1) (2) (2,951) — (2,951) — 2,951 — Repurchase Agreements (3) (6,987,834) — (6,987,834) 6,987,834 — — Total Liabilities (6,990,785) — (6,990,785) 6,987,834 2,951 — (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 derivatives was $138.8 million and $224.4 million as of June 30, 2022 and December 31, 2021, 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 $2.2 million and $280,000 as of June 30, 2022 and December 31, 2021, respectively.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	6 Months Ended
	Jun. 30, 2022
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. June 30, 2022 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 3,915,165 — — 3,915,165 Derivative assets — 4,289 — — 4,289 Other assets — — 23,478 3,622 27,100 Total assets — 3,919,454 23,478 3,622 3,946,554 Liabilities: Derivative liabilities — 37,284 — — 37,284 Total liabilities — 37,284 — — 37,284 December 31, 2021 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 (2) NAV as a practical expedient (3) Total at Assets: Mortgage-backed securities (1) — 7,804,259 — — 7,804,259 Derivative assets — 270 — — 270 Other assets — — 23,515 12,476 35,991 Total assets — 7,804,529 23,515 12,476 7,840,520 Liabilities: Derivative liabilities — 14,356 — — 14,356 Total liabilities — 14,356 — — 14,356 (1) For more detail about the fair value of our MBS, refer to Note 4 - "Mortgage-Backed Securities." (2) Amounts reflect our commercial loan investment for which we have elected the fair value option and valued using a third party appraisal. (3) 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 June 30, 2022 and December 31, 2021, our unconsolidated ventures were in liquidation and plan to sell or settle their remaining investments as expeditiously as possible.
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 commercial loan investment, which we have valued utilizing Level 3 inputs. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2022 2021 2022 2021 Beginning balance 23,391 20,000 23,515 23,098 Unrealized gains (losses) 87 822 (37) (2,276) Ending balance 23,478 20,822 23,478 20,822
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 June 30, 2022 Technique Input Rate Commercial Loan 23,478 Discounted Cash Flow Discount rate 18.5 % Fair Value at Valuation Unobservable $ in thousands December 31, 2021 Technique Input Rate Commercial Loan 23,515 Discounted Cash Flow Discount rate 18.8 %
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 June 30, 2022 and December 31, 2021. June 30, 2022 December 31, 2021 $ in thousands Carrying Estimated Carrying Estimated Financial Liabilities Repurchase agreements 3,262,530 3,261,968 6,987,834 6,987,806 Total 3,262,530 3,261,968 6,987,834 6,987,806

Related Party Transactions (Tab

Related Party Transactions (Tables)	6 Months Ended
	Jun. 30, 2022
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 and six months ended June 30, 2022 and 2021. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2022 2021 2022 2021 Incurred costs, prepaid or expensed 2,020 1,696 3,357 2,853 Incurred costs, charged against equity as a cost of raising capital 159 315 217 392 Total incurred costs, originally paid by our Manager 2,179 2,011 3,574 3,245

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	6 Months Ended
	Jun. 30, 2022
Equity [Abstract]
Schedule of Accumulated Other Comprehensive Income	The tables exclude gains and losses on MBS that are accounted for under the fair value option. Three Months Ended June 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (1,825) — (1,825) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,802) (4,802) Currency translation adjustments on investment in unconsolidated venture (93) — — (93) Total other comprehensive income (loss) (93) (1,825) (4,802) (6,720) AOCI balance at beginning of period 224 4,328 24,917 29,469 Total other comprehensive income (loss) (93) (1,825) (4,802) (6,720) AOCI balance at end of period 131 2,503 20,115 22,749 Three Months Ended June 30, 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 securities, net — 1,155 — 1,155 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,429) (5,429) Currency translation adjustments on investment in unconsolidated venture (632) — — (632) Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at beginning of period 1,108 6,974 46,745 54,827 Total other comprehensive income (loss) (632) 1,155 (5,429) (4,906) AOCI balance at end of period 476 8,129 41,316 49,921 Six Months Ended June 30, 2022 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss) Unrealized gain (loss) on mortgage-backed securities, net — (4,246) — (4,246) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (9,998) (9,998) Currency translation adjustments on investment in unconsolidated venture (293) — — (293) Total other comprehensive income (loss) (293) (4,246) (9,998) (14,537) AOCI balance at beginning of period 424 6,749 30,113 37,286 Total other comprehensive income (loss) (293) (4,246) (9,998) (14,537) AOCI balance at end of period 131 2,503 20,115 22,749 Six Months Ended June 30, 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 securities, net — 2,136 — 2,136 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (10,797) (10,797) Currency translation adjustments on investment in unconsolidated venture (23) — — (23) Total other comprehensive income (loss) (23) 2,136 (10,797) (8,684) AOCI balance at beginning of period 499 5,993 52,113 58,605 Total other comprehensive income (loss) (23) 2,136 (10,797) (8,684) AOCI balance at end of period 476 8,129 41,316 49,921
Schedule of Dividends Declared	The table below summarizes the dividends we declared during the six months ended June 30, 2022 and 2021. Dividends declared per share on our common stock have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2021 (1) February 19, 2021 0.4844 2,713 April 26, 2021 (1) On June 16, 2021, we paid a final dividend of $0.2691 per share ($1.5 million in aggregate) in connection with the redemption of our Series A Preferred Stock. $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2022 May 3, 2022 0.4844 2,991 June 27, 2022 February 16, 2022 0.4844 3,003 March 28, 2022 2021 May 4, 2021 0.4844 3,004 June 28, 2021 February 19, 2021 0.4844 3,003 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2022 May 3, 2022 0.46875 5,109 June 27, 2022 February 16, 2022 0.46875 5,391 March 28, 2022 2021 May 4, 2021 0.46875 5,390 June 28, 2021 February 19, 2021 0.46875 5,391 March 29, 2021 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2022 June 27, 2022 0.90 29,721 July 27, 2022 March 28, 2022 0.90 29,693 April 27, 2022 2021 June 23, 2021 0.90 26,071 July 27, 2021 March 26, 2021 0.90 22,176 April 27, 2021

Earnings (Loss) per Common Sh_2

Earnings (Loss) per Common Share (Tables)	6 Months Ended
	Jun. 30, 2022
Earnings Per Share [Abstract]
Schedule of Earnings (Loss) Per Share	Earnings (loss) per share for the three and six months ended June 30, 2022 and 2021 is computed as shown in the table below. Common share amounts and earnings (loss) per share have been retroactively adjusted to reflect our one-for-ten reverse stock split that was effected following the close of business on June 3, 2022. Three Months Ended June 30, Six Months Ended June 30, In thousands, except per share amounts 2022 2021 2022 2021 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (116,144) (88,340) (352,960) (108,722) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 32,990 26,014 32,988 24,215 Dilutive Shares 32,990 26,014 32,988 24,215 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (3.52) (3.40) (10.70) (4.49) Diluted (3.52) (3.40) (10.70) (4.49)

Organization and Business Ope_2

Organization and Business Operations (Details)	6 Months Ended
	Jun. 30, 2022 segment
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of operating segments	1
Minimum distribution percentage of taxable income to qualify for REIT	90%

Summary of Significant Accoun_3

Summary of Significant Accounting Policies (Details)		1 Months Ended	6 Months Ended
	May 03, 2022	May 31, 2022	Jun. 30, 2022
Common Stock
Debt Securities, Available-for-sale [Line Items]
Reverse stock split conversion ratio	0.1	0.1	0.1

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") - Maximum Risk of Loss (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Variable Interest Entity
Carrying Amount	$ 3,915,165	$ 7,804,259
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	55,528
Company's Maximum Risk of Loss	55,528
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	43,644
Company's Maximum Risk of Loss	43,644
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	8,262
Company's Maximum Risk of Loss	8,262
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	3,622
Company's Maximum Risk of Loss	$ 3,622

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Portfolio (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 4,672,399	$ 8,203,415
Unamortized Premium (Discount)	(756,514)	(343,684)
Amortized Cost	3,915,885	7,859,731
Unrealized Gain/ (Loss), net	(720)	(55,472)
Fair Value	$ 3,915,165	$ 7,804,259
Period-end weighted average yield	4.21%	2.14%
Unamortized premium (discount) non-accretable portion	$ 2,100
Percentage of non-agency RMBS interest-only, principal balance	97.30%	97.70%
Percentage of non-agency RMBS interest-only, amortized cost	43.80%	44.80%
Percentage of non-agency RMBS interest only, fair value	25.70%	19.90%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 3,870,377	$ 7,514,229
Unamortized Premium (Discount)	(62,776)	246,183
Amortized Cost	3,807,601	7,760,412
Unrealized Gain/ (Loss), net	(5,150)	(58,889)
Fair Value	$ 3,802,451	$ 7,701,523
Period-end weighted average yield	4.07%	2.07%
Total Agency RMBS pass-through
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 3,870,377	$ 7,514,229
Unamortized Premium (Discount)	(62,776)	246,183
Amortized Cost	3,807,601	7,760,412
Unrealized Gain/ (Loss), net	(5,150)	(58,889)
Fair Value	$ 3,802,451	$ 7,701,523
Period-end weighted average yield	4.07%	2.07%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 427,319	$ 235,216
Unamortized Premium (Discount)	(369,955)	(203,180)
Amortized Cost	57,364	32,036
Unrealized Gain/ (Loss), net	3,444	(1,279)
Fair Value	$ 60,808	$ 30,757
Period-end weighted average yield	9.29%	6.47%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 44,652	$ 61,427
Unamortized Premium (Discount)	(2,084)	(3,096)
Amortized Cost	42,568	58,331
Unrealized Gain/ (Loss), net	1,076	4,578
Fair Value	$ 43,644	$ 62,909
Period-end weighted average yield	8.44%	8.63%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 330,051	$ 392,543
Unamortized Premium (Discount)	(321,699)	(383,591)
Amortized Cost	8,352	8,952
Unrealized Gain/ (Loss), net	(90)	118
Fair Value	$ 8,262	$ 9,070
Period-end weighted average yield	8.58%	5.26%
Percentage of non-agency securities classified as fixed rate	65.70%	63.50%
Percentage of non-agency securities classified as variable rate	33.40%	35.60%
Percentage of non-agency securities classified as floating rate	0.90%	0.90%
Unamortized premium (discount) non-accretable portion		$ 2,100

Mortgage-Backed Securities - Fa

Mortgage-Backed Securities - Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Percentage of MBS and GSE CRT are accounted for under the fair value option	99%	99%
Available-for-sale Securities	$ 49,919	$ 70,197
Securities under Fair Value Option	3,865,246	7,734,062
Total Fair Value	3,915,165	7,804,259
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	3,802,451	7,701,523
Total Fair Value	3,802,451	7,701,523
Total Agency RMBS pass-through
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	3,802,451	7,701,523
Total Fair Value	3,802,451	7,701,523
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	60,808	30,757
Total Fair Value	60,808	30,757
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	43,644	62,909
Securities under Fair Value Option	0	0
Total Fair Value	43,644	62,909
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	6,275	7,288
Securities under Fair Value Option	1,987	1,782
Total Fair Value	$ 8,262	$ 9,070

Mortgage-Backed Securities - Ad

Mortgage-Backed Securities - Additional Information (Details) - USD ($)	3 Months Ended	6 Months Ended
	Jun. 30, 2021	Jun. 30, 2021	Jun. 30, 2022	Dec. 31, 2021	Mar. 31, 2021	Dec. 31, 2020
Debt Securities, Available-for-sale [Line Items]
Investment related receivable			$ 15,996,000	$ 16,766,000
Allowance for credit loss	$ 0	$ 0	0	0	$ 830,000	$ 1,768,000
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period	$ (830,000)	$ (1,768,000)
MBS
Debt Securities, Available-for-sale [Line Items]
Investment related receivable			$ 13,800,000	$ 16,600,000

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	$ 4,672,399	$ 8,203,415
Unamortized premium	18,221	250,771
Unamortized discount	(774,735)	(594,455)
Gross unrealized gains	29,581	8,863
Gross unrealized losses	(30,301)	(64,335)
Total Fair Value	3,915,165	7,804,259
MBS
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	3,923,868	7,584,812
Unamortized premium	18,221	250,771
Unamortized discount	(87,224)	(11,902)
Gross unrealized gains	24,782	8,754
Gross unrealized losses	(27,414)	(60,741)
Total Fair Value	3,852,233	7,771,694
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	748,531	618,603
Unamortized premium	0	0
Unamortized discount	(687,511)	(582,553)
Gross unrealized gains	4,799	109
Gross unrealized losses	(2,887)	(3,594)
Total Fair Value	$ 62,932	$ 32,565

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 5,994	$ 23,150
Greater than one year and less than five years	37,724	891,510
Greater than or equal to five years	3,871,447	6,889,599
Fair value	$ 3,915,165	$ 7,804,259

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Details) $ in Thousands	Jun. 30, 2022 USD ($) security	Dec. 31, 2021 USD ($) security
Fair Value
Less than 12 Months	$ 2,159,211	$ 6,861,576
12 Months or More	5,133	1,042
Total	2,164,344	6,862,618
Unrealized Losses
Less than 12 Months	(28,418)	(63,262)
12 Months or More	(1,883)	(1,073)
Total	$ (30,301)	$ (64,335)
Number of Securities
Less than 12 Months (in securities) | security	24	64
12 Months or More (in securities) | security	14	9
Total | security	38	73
30 year fixed-rate
Fair Value
Less than 12 Months	$ 2,145,400	$ 6,838,999
12 Months or More	0	0
Total	2,145,400	6,838,999
Unrealized Losses
Less than 12 Months	(27,400)	(60,741)
12 Months or More	0	0
Total	$ (27,400)	$ (60,741)
Number of Securities
Less than 12 Months (in securities) | security	19	54
12 Months or More (in securities) | security	0	0
Total | security	19	54
Total Agency RMBS pass-through
Fair Value
Less than 12 Months	$ 2,145,400	$ 6,838,999
12 Months or More	0	0
Total	2,145,400	6,838,999
Unrealized Losses
Less than 12 Months	(27,400)	(60,741)
12 Months or More	0	0
Total	$ (27,400)	$ (60,741)
Number of Securities
Less than 12 Months (in securities) | security	19	54
12 Months or More (in securities) | security	0	0
Total | security	19	54
Agency - CMO
Fair Value
Less than 12 Months	$ 13,239	$ 21,810
12 Months or More	3,245	0
Total	16,484	21,810
Unrealized Losses
Less than 12 Months	(997)	(1,389)
12 Months or More	(358)	0
Total	$ (1,355)	$ (1,389)
Number of Securities
Less than 12 Months (in securities) | security	3	5
12 Months or More (in securities) | security	1	0
Total | security	4	5
Non-Agency RMBS
Fair Value
Less than 12 Months	$ 572	$ 767
12 Months or More	1,888	1,042
Total	2,460	1,809
Unrealized Losses
Less than 12 Months	(21)	(1,132)
12 Months or More	(1,525)	(1,073)
Total	$ (1,546)	$ (2,205)
Number of Securities
Less than 12 Months (in securities) | security	2	5
12 Months or More (in securities) | security	13	9
Total | security	15	14
Non-Agency IO
Fair Value
Total	$ 1,900	$ 1,700
Unrealized Losses
Total	$ (1,500)	(2,100)
Non-Agency Residential Mortgage Backed Securities, Excluding Non-Agency IO
Unrealized Losses
Total		$ (136)

Mortgage-Backed Securities - Ro

Mortgage-Backed Securities - Roll-forward of Allowance For Credit Losses (Detail) - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2021	Jun. 30, 2021
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning allowance for credit losses	$ (830)	$ (1,768)
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period	830	1,768
Ending allowance for credit losses	$ 0	$ 0

Mortgage-Backed Securities - Re

Mortgage-Backed Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Investments, Debt and Equity Securities [Abstract]
Gross realized gains on sale of MBS	$ 5,348	$ 0	$ 5,348	$ 201
Gross realized losses on sale of MBS	(540,404)	(118,006)	(859,374)	(235,054)
Net unrealized gains (losses) on MBS accounted for under the fair value option	224,464	189,804	58,997	(22,108)
Net unrealized gains (losses) on commercial loan	87	822	(37)	(2,276)
Net realized gains (losses) on U.S. Treasury securities	19,827	0	0	0
Net realized gains (losses) on U.S. Treasury securities	(34,198)	0	(34,198)	0
Total gain (loss) on investments, net	$ (324,876)	$ 72,620	$ (829,264)	$ (259,237)

Mortgage-Backed Securities - _3

Mortgage-Backed Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 43,220	$ 51,513	$ 91,449	$ 103,003
Net (Premium Amortization)/Discount Accretion	774	(8,879)	(5,818)	(20,935)
Interest Income	43,994	42,634	85,631	82,068
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	40,927	50,003	87,525	99,558
Net (Premium Amortization)/Discount Accretion	422	(9,450)	(6,506)	(21,934)
Interest Income	41,349	40,553	81,019	77,624
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	668	1,036	1,405	2,341
Net (Premium Amortization)/Discount Accretion	509	845	1,012	1,723
Interest Income	1,177	1,881	2,417	4,064
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	310	467	640	1,091
Net (Premium Amortization)/Discount Accretion	(132)	(274)	(283)	(724)
Interest Income	178	193	357	367
U.S. Treasury securities
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	1,213		1,773
Net (Premium Amortization)/Discount Accretion	(25)		(41)
Interest Income	1,188		1,732
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	102	7	106	13
Net (Premium Amortization)/Discount Accretion	0	0	0	0
Interest Income	$ 102	$ 7	$ 106	$ 13

Other Assets - Other Assets (De

Other Assets - Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Commercial loan, held-for-investment	$ 23,478	$ 23,515
Investments in unconsolidated ventures	3,622	12,476
Prepaid expenses and other assets	864	1,518
Total	$ 27,964	$ 37,509

Other Assets - Additional Infor

Other Assets - Additional Information (Details) - Commercial - USD ($) $ in Thousands	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021	Dec. 31, 2021
Loans and Leases Receivable Disclosure [Line Items]
Face amount of loan	$ 23,900		$ 23,900		$ 23,900
Weighted average coupon rate			9.56%		8.60%
Unrealized gain (loss) on investments in commercial loan	$ 87	$ 822	$ (37)	$ (2,300)

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2022	Dec. 31, 2021
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 3,262,530	$ 6,987,834
Weighted average interest rate	1.38%	0.14%
Weighted average remaining maturity	22 days	29 days
Agency RMBS
Repurchase Agreements - Agency RMBS
Amount outstanding	$ 3,262,530	$ 6,987,834
Weighted average interest rate	1.38%	0.14%
Weighted average remaining maturity	22 days	29 days

Collateral Positions - Fair Val

Collateral Positions - Fair Value of Collateral Hold and Pledged (Details) - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Cash	$ 5,728,000	$ 280,000
Non-cash collateral	12,544,000	248,000
Total collateral held	$ 18,272,000	$ 528,000
Collateral ratio	106%	105%
Asset Pledged as Collateral
Derivative [Line Items]
Total repurchase agreements collateral pledged	$ 3,467,386,000	$ 7,329,702,000
Total collateral pledged	3,606,221,000	7,554,078,000
Cash
Derivative [Line Items]
Total repurchase agreements collateral pledged	0	3,500,000
Cash | Asset Pledged as Collateral
Derivative [Line Items]
Total repurchase agreements collateral pledged	0	3,527,000
Total collateral pledged	10,231,000	7,985,000
Restricted cash | Asset Pledged as Collateral
Derivative [Line Items]
Total collateral pledged	128,604,000	219,918,000
Interest Rate Swaps, Currency Forward Contracts and TBAs | Asset Pledged as Collateral
Derivative [Line Items]
Total derivative instruments collateral pledged	138,835,000	224,376,000
Interest Rate Swaps, Currency Forward Contracts and TBAs | Cash | Asset Pledged as Collateral
Derivative [Line Items]
Total derivative instruments collateral pledged	10,231,000	4,458,000
Interest Rate Swaps, Currency Forward Contracts and TBAs | Restricted cash | Asset Pledged as Collateral
Derivative [Line Items]
Total derivative instruments collateral pledged	128,604,000	219,918,000
Repurchase Agreements
Derivative [Line Items]
Cash	3,573,000	0
Non-cash collateral	12,544,000	248,000
Total collateral held	16,117,000	248,000
Interest Rate Swaps
Derivative [Line Items]
Cash	2,155,000	280,000
Total collateral held	2,155,000	280,000
Agency RMBS | Asset Pledged as Collateral
Derivative [Line Items]
Total repurchase agreements collateral pledged	3,467,386,000	7,326,175,000
Total collateral pledged	$ 3,467,386,000	$ 7,326,175,000

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2022 USD ($)
Derivative Interest Rate Swaptions
Notional amount, beginning balance	$ 9,663,596
Additions	7,595,359
Settlement, Termination, Expiration or Exercise	(7,427,783)
Notional amount, ending balance	9,831,172
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional amount, beginning balance	8,050,000
Additions	8,725,000
Settlement, Termination, Expiration or Exercise	(7,400,000)
Notional amount, ending balance	9,375,000
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional amount, beginning balance	13,596
Additions	20,359
Settlement, Termination, Expiration or Exercise	(27,783)
Notional amount, ending balance	6,172
TBA Purchase Contracts
Derivative Interest Rate Swaptions
Notional amount, beginning balance	1,600,000
Additions	17,006,500
Settlement, Termination, Expiration or Exercise	(17,295,500)
Notional amount, ending balance	1,311,000
TBA Sale Contracts
Derivative Interest Rate Swaptions
Notional amount, beginning balance	0
Additions	(18,156,500)
Settlement, Termination, Expiration or Exercise	17,295,500
Notional amount, ending balance	(861,000)
Interest Rate Swap, Forward Start Dates | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative Interest Rate Swaptions
Notional amount, beginning balance	1,300,000
Notional amount, ending balance	1,000,000
Interest Rate Swap, Fixed Rate
Derivative Interest Rate Swaptions
Notional amount, beginning balance	6,300,000
Notional amount, ending balance	5,800,000
Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative Interest Rate Swaptions
Notional amount, beginning balance	1,750,000
Notional amount, ending balance	$ 3,575,000

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021	Dec. 31, 2021	Mar. 31, 2022	Mar. 31, 2021	Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ 181,742	$ (186,284)	$ 420,602	$ 100,677
Amount reclassified to interest expenses within next 12 months	17,400		17,400
Unrealized gain on discontinued cash flow hedges included in AOCI	959,463	1,373,379	959,463	1,373,379	$ 1,402,135	$ 1,127,947	$ 1,481,932	$ 1,367,158
Notional Amount	9,831,172		9,831,172		9,663,596
Derivatives and hedging
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	20,115	41,316	20,115	41,316	30,113	$ 24,917	$ 46,745	$ 52,113
Interest Rate Swaps
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	4,800	$ 5,400	10,000	$ 10,800
Notional Amount	9,375,000		$ 9,375,000		8,050,000
Interest Rate Swaps | Minimum
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Repurchase obligation maturity			1 month
Interest Rate Swaps | Maximum
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Repurchase obligation maturity			6 months
Interest Rate Swap, Forward Start Dates | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional Amount	$ 1,000,000		$ 1,000,000		$ 1,300,000
Weighted Average Years to Maturity			17 years		20 years 9 months 18 days
Weighted Average Fixed Pay Rate	0.89%		0.89%		0.99%
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional Amount	$ 6,172		$ 6,172		$ 13,596
Currency Forward Contracts | Euro
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional Amount	$ 6,200		$ 6,200		$ 13,600

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Notional Amount	$ 9,831,172	$ 9,663,596
Interest Rate Swap, Fixed Rate
Derivative [Line Items]
Notional Amount	$ 5,800,000	$ 6,300,000
Weighted Average Fixed Pay Rate	0.45%	0.30%
Weighted Average Floating Receive Rate	1.50%	0.05%
Weighted Average Years to Maturity	6 years 9 months 18 days	5 years 8 months 12 days
Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative [Line Items]
Notional Amount	$ 3,575,000	$ 1,750,000
Weighted Average Fixed Pay Rate	1.50%	0.05%
Weighted Average Floating Receive Rate	2.90%	0.98%
Weighted Average Years to Maturity	6 years 7 months 6 days	4 years 10 months 24 days
Less than 3 years | Interest Rate Swap, Fixed Rate
Derivative [Line Items]
Notional Amount	$ 650,000	$ 1,000,000
Weighted Average Fixed Pay Rate	0.06%	0.06%
Weighted Average Floating Receive Rate	1.50%	0.05%
Weighted Average Years to Maturity	2 years 1 month 6 days	2 years 7 months 6 days
Less than 3 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative [Line Items]
Notional Amount	$ 1,200,000	$ 1,000,000
Weighted Average Fixed Pay Rate	1.50%	0.05%
Weighted Average Floating Receive Rate	3.32%	0.77%
Weighted Average Years to Maturity	2 years	2 years 7 months 6 days
3 to 5 years | Interest Rate Swap, Fixed Rate
Derivative [Line Items]
Notional Amount	$ 900,000	$ 1,250,000
Weighted Average Fixed Pay Rate	0.11%	0.12%
Weighted Average Floating Receive Rate	1.50%	0.05%
Weighted Average Years to Maturity	3 years 1 month 6 days	3 years 7 months 6 days
3 to 5 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative [Line Items]
Notional Amount	$ 600,000
Weighted Average Fixed Pay Rate	1.50%
Weighted Average Floating Receive Rate	2.73%
Weighted Average Years to Maturity	4 years 4 months 24 days
5 to 7 years | Interest Rate Swap, Fixed Rate
Derivative [Line Items]
Notional Amount	$ 1,925,000	$ 2,225,000
Weighted Average Fixed Pay Rate	0.29%	0.32%
Weighted Average Floating Receive Rate	1.50%	0.05%
Weighted Average Years to Maturity	5 years 4 months 24 days	5 years 10 months 24 days
5 to 7 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative [Line Items]
Notional Amount	$ 1,175,000	$ 500,000
Weighted Average Fixed Pay Rate	1.50%	0.05%
Weighted Average Floating Receive Rate	2.67%	1.26%
Weighted Average Years to Maturity	6 years 3 months 18 days	6 years 10 months 24 days
7 to 10 years | Interest Rate Swap, Fixed Rate
Derivative [Line Items]
Notional Amount	$ 1,825,000	$ 1,825,000
Weighted Average Fixed Pay Rate	0.52%	0.52%
Weighted Average Floating Receive Rate	1.50%	0.05%
Weighted Average Years to Maturity	8 years 1 month 6 days	8 years 7 months 6 days
7 to 10 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative [Line Items]
Notional Amount	$ 325,000	$ 250,000
Weighted Average Fixed Pay Rate	1.50%	0.05%
Weighted Average Floating Receive Rate	2.61%	1.27%
Weighted Average Years to Maturity	9 years 3 months 18 days	10 years
Greater than 10 years | Interest Rate Swap, Fixed Rate
Derivative [Line Items]
Notional Amount	$ 500,000
Weighted Average Fixed Pay Rate	1.92%
Weighted Average Floating Receive Rate	1.50%
Weighted Average Years to Maturity	19 years 8 months 12 days
Greater than 10 years | Interest Rate Swap, Variable Rate | Secured Overnight Financing Rate (SOFR) Overnight Index Swap Rate
Derivative [Line Items]
Notional Amount	$ 275,000
Weighted Average Fixed Pay Rate	1.50%
Weighted Average Floating Receive Rate	2.72%
Weighted Average Years to Maturity	30 years

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - TBA Contracts (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Notional Amount	$ 9,831,172	$ 9,663,596
Derivative assets, at fair value	4,289	270
Derivative liabilities, at fair value	37,284	14,356
TBA Purchase Contracts
Derivative [Line Items]
Notional Amount	1,311,000	1,600,000
Implied Cost Basis	1,324,001	1,636,906
Implied Market Value	1,323,965	1,633,955
Net Carrying Value	(36)	$ (2,951)
Derivative assets, at fair value	4,200
Derivative liabilities, at fair value	4,300
TBA Sales Contracts
Derivative [Line Items]
Notional Amount	(861,000)
Implied Cost Basis	(857,442)
Implied Market Value	(864,683)
Net Carrying Value	(7,241)
Derivative liabilities, at fair value	7,200
Net TBA Derivatives
Derivative [Line Items]
Notional Amount	450,000
Implied Cost Basis	466,559
Implied Market Value	459,282
Net Carrying Value	$ (7,277)

Derivatives and Hedging Activ_7

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Derivatives, Fair Value
Derivative assets, at fair value	$ 4,289	$ 270
Derivative liabilities, at fair value	37,284	14,356
Interest Rate Swaps
Derivatives, Fair Value
Derivative assets, at fair value	0	0
Derivative liabilities, at fair value	25,771	11,405
Currency Forward Contracts
Derivatives, Fair Value
Derivative assets, at fair value	53	270
Derivative liabilities, at fair value	0	0
TBAs
Derivatives, Fair Value
Derivative assets, at fair value	4,236	0
Derivative liabilities, at fair value	$ 11,513	$ 2,951

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		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	$ 181,742	$ (186,284)	$ 420,602	$ 100,677
Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	4,800	5,400	10,000	10,800
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	141,232	(155,947)	424,661	126,303
Contractual net interest income (expense)	13,566	(4,572)	14,850	(9,121)
Unrealized gain (loss), net	26,944	(25,765)	(18,909)	(16,505)
Gain (loss) on derivative instruments, net	181,742	(186,284)	420,602	100,677
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	209,913	(166,365)	553,222	161,162
Contractual net interest income (expense)	13,566	(4,572)	14,850	(9,121)
Unrealized gain (loss), net	(2,966)	(32,786)	(14,365)	(11,705)
Gain (loss) on derivative instruments, net	220,513	(203,723)	553,707	140,336
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	486	(13)	679	(552)
Contractual net interest income (expense)	0	0	0	0
Unrealized gain (loss), net	(177)	(142)	(218)	1,113
Gain (loss) on derivative instruments, net	309	(155)	461	561
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 | TBAs
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(69,167)	10,431	(129,240)	(33,754)
Contractual net interest income (expense)	0	0	0	0
Unrealized gain (loss), net	30,087	7,163	(4,326)	(5,913)
Gain (loss) on derivative instruments, net	$ (39,080)	$ 17,594	$ (133,566)	$ (39,667)

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Derivative liabilities, at fair value	$ 37,284	$ 14,356
Central Clearing Counterparty
Derivative [Line Items]
Derivative liabilities, at fair value	$ 25,800	$ 11,400

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Derivatives
Gross amounts of recognized assets	$ 4,289	$ 270
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	4,289	270
Gross amounts not offset in the consolidated balance sheets, financial instruments	(3,742)	0
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged	(547)	(270)
Net Amount	$ 0	$ 0

Offsetting Assets and Liabili_5

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($)	Jun. 30, 2022	Dec. 31, 2021
Derivatives:
Gross amounts of recognized liabilities	$ (11,513,000)	$ (2,951,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(11,513,000)	(2,951,000)
Gross amounts not offset in the consolidated balance sheets, financial instruments	3,742,000	0
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged	6,999,000	2,951,000
Net Amount	(772,000)	0
Repurchase Agreements:
Gross Amounts of Recognized Assets (Liabilities)	(3,262,530,000)	(6,987,834,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(3,262,530,000)	(6,987,834,000)
Gross amounts not offset in the consolidated balance sheets, financial instruments	3,262,530,000	6,987,834,000
Gross amounts not offset in the consolidated balance sheets, cash collateral (received) pledged	0	0
Net Amount	0	0
Gross Amounts of Recognized Assets (Liabilities)	(3,274,043,000)	(6,990,785,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(3,274,043,000)	(6,990,785,000)
Gross amounts not offset with financial assets (liabilities) in the balance sheets, financial instruments	3,266,272,000	6,987,834,000
Gross amounts not offset with financial assets (liabilities) in the balance sheets, cash collateral (received) pledged	6,999,000	2,951,000
Net Amount	(772,000)	0
Cash collateral pledged on derivatives	138,800,000	224,400,000
Cash collateral received	5,728,000	280,000
Fair value of securities pledged under repurchase agreements, excluding cash collateral	3,500,000,000	7,300,000,000
Cash
Repurchase Agreements:
Securities sold under agreements to repurchase fair value of collateral	0	3,500,000
Interest Rate Swaps
Repurchase Agreements:
Cash collateral received	2,155,000	280,000
Repurchase Agreement
Repurchase Agreements:
Cash collateral received	$ 3,573,000	$ 0

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities	$ 3,915,165	$ 7,804,259
Derivative assets	4,289	270
Derivative liabilities	11,513	2,951
Purchase of mortgage-backed securities
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities	3,852,233	7,771,694
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities		7,804,259
Derivative assets	4,289	270
Other assets	27,100	35,991
Total assets	3,946,554	7,840,520
Derivative liabilities	37,284	14,356
Total liabilities	37,284	14,356
Recurring | Purchase of mortgage-backed securities
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities	3,915,165
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities		0
Derivative assets	0	0
Other assets	0	0
Total assets	0	0
Derivative liabilities	0	0
Total liabilities	0	0
Recurring | Level 1 | Purchase of mortgage-backed securities
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities	0
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities		7,804,259
Derivative assets	4,289	270
Other assets	0	0
Total assets	3,919,454	7,804,529
Derivative liabilities	37,284	14,356
Total liabilities	37,284	14,356
Recurring | Level 2 | Purchase of mortgage-backed securities
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities	3,915,165
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities		0
Derivative assets	0	0
Other assets	23,478	23,515
Total assets	23,478	23,515
Derivative liabilities	0	0
Total liabilities	0	0
Recurring | Level 3 | Purchase of mortgage-backed securities
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Mortgage-backed securities	0
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
NAV as a practical expedient	$ 3,622	$ 12,476

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Loan Participation Interest Level 3 Roll Forward (Details) - Commercial loan - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance	$ 23,391	$ 20,000	$ 23,515	$ 23,098
Unrealized gains (losses)	87	822	(37)	(2,276)
Ending balance	$ 23,478	$ 20,822	$ 23,478	$ 20,822

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Schedule of Fair Value Measurement of Commercial Loan (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Commercial loan, held-for-investment	$ 23,478	$ 23,515
Measurement Input, Discount Rate | Level 3
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Loan receivable measurement input	18.50%	18.80%

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	Jun. 30, 2022	Dec. 31, 2021
Carrying Value
Financial Liabilities
Repurchase agreements	$ 3,262,530	$ 6,987,834
Total	3,262,530	6,987,834
Estimated Fair Value
Financial Liabilities
Repurchase agreements	3,261,968	6,987,806
Total	$ 3,261,968	$ 6,987,806

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Related Party Transaction [Line Items]
Management fee – related party	$ 4,619	$ 5,455	$ 9,893	$ 10,339
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	$ 337	$ 261	$ 750	$ 559

Related Party Transactions - Re

Related Party Transactions - Related Party Transactions (Details) - Manager - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2022	Jun. 30, 2021	Jun. 30, 2022	Jun. 30, 2021
Related Party Transaction [Line Items]
Total incurred costs, originally paid by our Manager	$ 2,179	$ 2,011	$ 3,574	$ 3,245
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Total incurred costs, originally paid by our Manager	2,020	1,696	3,357	2,853
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Total incurred costs, originally paid by our Manager	$ 159	$ 315	$ 217	$ 392

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) $ / shares in Units, $ in Thousands		1 Months Ended	3 Months Ended		6 Months Ended
	May 03, 2022	May 31, 2022 shares	Jun. 30, 2022 USD ($) $ / shares shares	Jun. 30, 2021 USD ($) shares	Jun. 30, 2022 USD ($) $ / shares shares	Jun. 30, 2021 USD ($) shares
Class of Stock [Line Items]
Issuance and redemption costs of redeemed preferred stock | $			$ 0	$ 4,682	$ 0	$ 4,682
Number of shares repurchased during period (in shares)			0	0	0	0
Restricted Stock
Class of Stock [Line Items]
Shares granted during the period (in shares)		32,571
Common Stock
Class of Stock [Line Items]
Reverse stock split conversion ratio	0.1	0.1			0.1
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption amount | $				$ 140,000		$ 140,000
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, liquidation preference (in USD per share) | $ / shares			$ 25		$ 25
Number of shares repurchased and retired during period (in shares)			43,820		43,820
Purchase of additional shares (in shares)			2,956,180		2,956,180
Preferred stock dividend rate					7.75%
Preferred stock, dividends per annum (in USD per share) | $ / shares					$ 1.9375
Series B Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread			5.18%		5.18%
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, liquidation preference (in USD per share) | $ / shares			$ 25		$ 25
Number of shares repurchased and retired during period (in shares)			620,141		620,141
Purchase of additional shares (in shares)			4,379,859		4,379,859
Preferred stock dividend rate					7.50%
Preferred stock, dividends per annum (in USD per share) | $ / shares					$ 1.875
Series C Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread			5.289%		5.289%
Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price per share (in USD per share) | $ / shares			$ 25		$ 25
Equity distribution agreement, authorized (in shares)					5,500,000
Common Stock
Class of Stock [Line Items]
Purchase of additional shares (in shares)			1,816,398		1,816,398
Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Equity distribution agreement, authorized (in shares)					5,686,598
Number of shares issued during period						1,555,000
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				6 Months Ended
	Jun. 30, 2022	Mar. 31, 2022	Jun. 30, 2021	Mar. 31, 2021	Jun. 30, 2022	Jun. 30, 2021
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed securities, net	$ (1,825)		$ 1,155		$ (4,246)	$ 2,136
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(4,802)		(5,429)		(9,998)	(10,797)
Currency translation adjustments on investment in unconsolidated venture	(93)		(632)		(293)	(23)
Total other comprehensive income (loss)	(6,720)		(4,906)		(14,537)	(8,684)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning balance	1,127,947	$ 1,402,135	1,481,932	$ 1,367,158	1,402,135	1,367,158
Total other comprehensive income (loss)	(6,720)	(7,817)	(4,906)	(3,778)	(14,537)	(8,684)
Ending balance	959,463	1,127,947	1,373,379	1,481,932	959,463	1,373,379
Equity method investments
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	(93)		(632)		(293)	(23)
Total other comprehensive income (loss)	(93)		(632)		(293)	(23)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning balance	224	424	1,108	499	424	499
Total other comprehensive income (loss)	(93)		(632)		(293)	(23)
Ending balance	131	224	476	1,108	131	476
Available-for-sale securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed securities, net	(1,825)		1,155		(4,246)	2,136
Total other comprehensive income (loss)	(1,825)		1,155		(4,246)	2,136
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning balance	4,328	6,749	6,974	5,993	6,749	5,993
Total other comprehensive income (loss)	(1,825)		1,155		(4,246)	2,136
Ending balance	2,503	4,328	8,129	6,974	2,503	8,129
Derivatives and hedging
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	(4,802)		(5,429)		(9,998)	(10,797)
Total other comprehensive income (loss)	(4,802)		(5,429)		(9,998)	(10,797)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning balance	24,917	30,113	46,745	52,113	30,113	52,113
Total other comprehensive income (loss)	(4,802)		(5,429)		(9,998)	(10,797)
Ending balance	20,115	24,917	41,316	46,745	20,115	41,316
Accumulated other comprehensive income
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning balance	29,469	37,286	54,827	58,605	37,286	58,605
Total other comprehensive income (loss)	(6,720)	(7,817)	(4,906)	(3,778)
Ending balance	$ 22,749	$ 29,469	$ 49,921	$ 54,827	$ 22,749	$ 49,921

Stockholders' Equity - Dividend

Stockholders' Equity - Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands		3 Months Ended
	Jun. 16, 2021	Jun. 30, 2022	Mar. 31, 2022	Jun. 30, 2021	Mar. 31, 2021
Class of Stock [Line Items]
Common stock dividend declared (in USD per share)		$ 0.90	$ 0.90	$ 0.90	$ 0.90
Dividends, common stock		$ 29,721	$ 29,693	$ 26,071	$ 22,176
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.2691				$ 0.4844
Dividends, preferred stock	$ 1,500				$ 2,713
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (in USD per share)		$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844
Dividends, preferred stock		$ 2,991	$ 3,003	$ 3,004	$ 3,003
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (in USD per share)		$ 0.46875	$ 0.46875	$ 0.46875	$ 0.46875
Dividends, preferred stock		$ 5,109	$ 5,391	$ 5,390	$ 5,391

Earnings (Loss) per Common Sh_3

Earnings (Loss) per Common Share - Earnings (Loss) Per Share (Details) $ / shares in Units, $ in Thousands		1 Months Ended	3 Months Ended		6 Months Ended
	May 03, 2022	May 31, 2022	Jun. 30, 2022 USD ($) $ / shares shares	Jun. 30, 2021 USD ($) $ / shares shares	Jun. 30, 2022 USD ($) $ / shares shares	Jun. 30, 2021 USD ($) $ / shares shares
Basic Earnings:
Net income (loss) available to common stockholders | $			$ (116,144)	$ (88,340)	$ (352,960)	$ (108,722)
Basic Earnings:
Shares available to common stockholders (in shares)			32,990,000	26,014,000	32,988,000	24,215,000
Dilutive Shares (in shares)			32,990,000	26,014,000	32,988,000	24,215,000
Net income (loss) attributable to common stockholders
Basic (in USD per share) | $ / shares			$ (3.52)	$ (3.40)	$ (10.70)	$ (4.49)
Diluted (in USD per share) | $ / shares			$ (3.52)	$ (3.40)	$ (10.70)	$ (4.49)
Common Stock
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Reverse stock split conversion ratio	0.1	0.1			0.1
Restricted Stock Awards
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Antidilutive securities excluded from computation of EPS (in shares)			1,127	2,082	1,314	1,722

Commitments and Contingencies (

Commitments and Contingencies (Details) $ in Millions	Jun. 30, 2022 USD ($)
Commitments and Contingencies Disclosure [Abstract]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 6.2

Subsequent Events (Details)

Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands		1 Months Ended	3 Months Ended				6 Months Ended
	Aug. 02, 2022	Aug. 04, 2022	Jun. 30, 2022	Mar. 31, 2022	Jun. 30, 2021	Mar. 31, 2021	Jun. 30, 2022	Jun. 30, 2021	Aug. 03, 2022	Dec. 31, 2021
Subsequent Event [Line Items]
Number of shares repurchased during period (in shares)			0		0		0	0
Redemption of preferred stock					$ 140,038
Common stock - par value (in USD per share)			$ 0.01				$ 0.01			$ 0.01
Common stock - shares authorized (in shares)			450,000,000				450,000,000			450,000,000
Subsequent Event
Subsequent Event [Line Items]
Common stock - par value (in USD per share)									$ 0.01
Common stock - shares authorized (in shares)	450,000,000								67,000,000
Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)			$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844
Series B Preferred Stock | Forecast
Subsequent Event [Line Items]
Number of shares repurchased during period (in shares)		1,618,546
Redemption of preferred stock		$ 35,000
Series B Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.4844
Authorized number of shares repurchased (in shares)		1,337,634
Series C Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)			$ 0.46875	$ 0.46875	$ 0.46875	$ 0.46875
Series C Preferred Stock | Forecast
Subsequent Event [Line Items]
Number of shares repurchased during period (in shares)		3,063,389
Redemption of preferred stock		$ 65,600
Series C Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Preferred stock dividend declared (in USD per share)	$ 0.46875
Authorized number of shares repurchased (in shares)		1,316,470