Dynex Capital (DX) 10-K 28 Feb 22 2021 FY Annual report Financial data

Document and Entity Information

Document and Entity Information Document and Entity Information - USD ($)	12 Months Ended
	Dec. 31, 2021	Feb. 25, 2022	Jun. 30, 2021	Dec. 31, 2020
Document Information [Line Items]
Document Type	10-K
Document Annual Report	true
Document Period End Date	Dec. 31, 2021
Document Transition Report	false
Entity File Number	001-09819
Entity Registrant Name	DYNEX CAPITAL, INC.
Entity Incorporation, State or Country Code	VA
Entity Tax Identification Number	52-1549373
Entity Address, Address Line One	4991 Lake Brook Drive
Entity Address, Address Line Two	Suite 100
Entity Address, City or Town	Glen Allen,
Entity Address, State or Province	VA
Entity Address, Postal Zip Code	23060-9245
City Area Code	(804)
Local Phone Number	217-5800
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
ICFR Auditor Attestation Flag	true
Entity Shell Company	false
Entity Public Float			$ 626,912,407
Entity Common Stock, Shares Outstanding		36,665,805
Common Stock, Par or Stated Value Per Share	$ 0.01			$ 0.01
Entity Central Index Key	0000826675
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2021
Document Fiscal Period Focus	FY
Amendment Flag	false
Common Stock
Document Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	DX
Security Exchange Name	NYSE
Series C Preferred Stock
Document Information [Line Items]
Title of 12(b) Security	6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share
Trading Symbol	DXPRC
Security Exchange Name	NYSE

Audit Information

Audit Information	12 Months Ended
	Dec. 31, 2021
Audit Information [Abstract]
Auditor Name	BDO USA, LLP
Auditor Location	Richmond, Virginia
Auditor Firm ID	243

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Assets [Abstract]
Cash	$ 366,023	$ 295,602
Cash collateral posted to counterparties	55,284	14,133
Mortgage-backed securities (including pledged of $3,011,319 and $2,467,859, respectively), at fair value	3,181,839	2,596,255
Mortgage loans held for investment, at fair value	4,268	6,264
Receivable for securities pending settlement	2,771	150,432
Derivative assets	7,969	11,342
Accrued interest receivable	14,184	14,388
Other assets, net	7,400	6,394
Total assets	3,639,738	3,094,810
Liabilities:
Repurchase agreements	2,849,916	2,437,163
Derivative liabilities	2,471	1,009
Cash collateral posted by counterparties	1,834	7,681
Accrued interest payable	1,365	1,410
Accrued dividends payable	6,541	5,814
Other liabilities	6,332	8,280
Total liabilities	2,868,459	2,461,357
Stockholders' Equity Attributable to Parent [Abstract]
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; 4,460,000 and 7,248,330 shares issued and outstanding, respectively ($111,500 and $181,208 aggregate liquidation preference, respectively)	107,843	174,564
Common stock, par value $0.01 per share, 90,000,000 shares authorized; 36,665,805 and 23,697,970 shares issued and outstanding, respectively	367	237
Additional paid-in capital	1,107,792	869,495
Accumulated other comprehensive income	6,729	80,261
Accumulated deficit	(451,452)	(491,104)
Total shareholders’ equity	771,279	633,453
Total liabilities and shareholders’ equity	$ 3,639,738	$ 3,094,810

Consolidated Statements of Comp

Consolidated Statements of Comprehensive Income - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Interest income	$ 60,051	$ 96,468	$ 170,168
Interest expense	(5,671)	(32,615)	(114,111)
Net interest income	54,380	63,853	56,057
Realized gain (loss) on sale of investments, net	6,705	308,084	(5,755)
Unrealized (loss) gain on investments, net	(14,814)	20	(56)
Gain (loss) on derivative instruments, net	(81,417)	172,290	186,949
Other operating (expense) income, net	(1,342)	(1,057)	22
General and administrative expenses:
Compensation and benefits	(12,757)	(11,743)	(7,520)
Other general and administrative	(11,328)	(9,337)	(8,467)
Net income (loss)	102,261	177,530	(152,668)
Preferred stock dividends	(8,329)	(13,599)	(12,967)
Preferred stock redemption charge	(2,987)	(3,914)	0
Net income (loss) to common shareholders	90,945	160,017	(165,635)
Other comprehensive income:
Unrealized (loss) gain on available-for-sale investments, net	(66,827)	214,539	203,995
Reclassification adjustment for realized (gain) loss on available-for-sale investments, net	(6,705)	(308,084)	5,755
Reclassification adjustment for de-designated cash flow hedges	0	0	(165)
Total other comprehensive (loss) income	(73,532)	(93,545)	209,585
Comprehensive income to common shareholders	$ 17,413	$ 66,472	$ 43,950
Weighted average common shares-basic (in shares)	32,596,272	23,106,200	23,620,125
Weighted average common shares-diluted (in shares)	32,761,331	23,106,200	23,620,125
Net income (loss) per common share-basic (in dollars per share)	$ 2.79	$ 6.93	$ (7.01)
Net income (loss) per common share-diluted (in dollars per share)	$ 2.78	$ 6.93	$ (7.01)

Consolidated Statements of Shar

Consolidated Statements of Shareholders' Equity Statement - USD ($) $ in Thousands	Total	Cumulative Effect, Period of Adoption, Adjustment	Cumulative Effect, Period of Adoption, Adjusted Balance	Preferred Stock	Preferred StockCumulative Effect, Period of Adoption, Adjusted Balance	Preferred Stock Including Additional Paid in Capital	Preferred Stock Including Additional Paid in CapitalCumulative Effect, Period of Adoption, Adjusted Balance	Common Stock	Common StockCumulative Effect, Period of Adoption, Adjusted Balance	Additional Paid-in Capital	Additional Paid-in CapitalCumulative Effect, Period of Adoption, Adjusted Balance	Accumulated Other Comprehensive Income (Loss)	Accumulated Other Comprehensive Income (Loss)Cumulative Effect, Period of Adoption, Adjusted Balance	Accumulated Deficit	Accumulated DeficitCumulative Effect, Period of Adoption, Adjustment	Accumulated DeficitCumulative Effect, Period of Adoption, Adjusted Balance
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Cumulative effect of adoption accounting standard 2019-05	$ 527,153					$ 142,883		$ 209		$ 818,861		$ (35,779)		$ (399,021)
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2018				5,954,594
Balance, Common shares outstanding at Dec. 31, 2018								20,939,073
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				833,736				3,664,418
Restricted stock granted, net of amortization								68,004
Stock Repurchased During Period, Shares								(1,709,271)
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation								(16,231)
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2019				6,788,330	6,788,330
Balance, Common shares outstanding at Dec. 31, 2019								22,945,993	22,945,993
Balance at Dec. 31, 2018	527,153					142,883		$ 209		818,861		(35,779)		(399,021)
Balance at Dec. 31, 2018	(527,153)					(142,883)		(209)		(818,861)		35,779		399,021
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, value	83,812					19,924		36		63,852
Preferred stock redemption charge	0
Restricted stock granted, net of amortization	1,206							1		1,205
Stock Repurchased During Period, Value	(25,034)							17		(25,017)
Adjustments for tax withholding on share-based compensation	(296)									(296)
Stock issuance costs	(258)									(258)
Net income (loss)	(152,668)													(152,668)
Dividends on preferred stock	(12,967)													(12,967)
Dividends on common stock	(47,545)													(47,545)
Other Comprehensive Income (Loss), Net of Tax	209,585											209,585
Balance at Dec. 31, 2019	582,988	$ (548)	$ 582,440			162,807	$ 162,807	229	$ 229	858,347	$ 858,347	173,806	$ 173,806	(612,201)	$ (548)	$ (612,749)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Cumulative effect of adoption accounting standard 2019-05	$ 582,988	(548)	582,440			162,807	162,807	$ 229	229	858,347	858,347	173,806	173,806	(612,201)	(548)	(612,749)
Stock issuance, shares				4,460,000				558,583
Stock Redeemed or Called During Period, Shares				(4,000,000)
Restricted stock granted, net of amortization								239,661
Stock Repurchased During Period, Shares								(32,925)
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation								(13,342)
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2020	7,248,330			7,248,330
Balance, Common shares outstanding at Dec. 31, 2020	23,697,970							23,697,970
Balance at Dec. 31, 2019	$ (582,988)	$ 548	$ (582,440)			(162,807)	$ (162,807)	$ (229)	$ (229)	(858,347)	$ (858,347)	(173,806)	$ (173,806)	612,201	$ 548	$ 612,749
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, value	117,818					107,843		6		9,969
Stock Redeemed or Called During Period, Value	(100,000)					(96,086)
Preferred stock redemption charge	(3,914)													(3,914)
Restricted stock granted, net of amortization	1,823							2		1,821
Stock Repurchased During Period, Value	(372)									(372)
Adjustments for tax withholding on share-based compensation	(245)									(245)
Stock issuance costs	(25)									(25)
Net income (loss)	177,530													177,530
Dividends on preferred stock	(13,599)													(13,599)
Dividends on common stock	(38,372)													(38,372)
Other Comprehensive Income (Loss), Net of Tax	(93,545)											(93,545)
Balance at Dec. 31, 2020	633,453					174,564		237		869,495		80,261		(491,104)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Cumulative effect of adoption accounting standard 2019-05	$ 633,453					174,564		$ 237		869,495		80,261		(491,104)
Stock issuance, shares								12,972,447
Stock Redeemed or Called During Period, Shares				(2,788,330)
Restricted stock granted, net of amortization								40,027
Share-based Payment Arrangement, Shares Withheld for Tax Withholding Obligation								(44,639)
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2021	4,460,000			4,460,000
Balance, Common shares outstanding at Dec. 31, 2021	36,665,805							36,665,805
Balance at Dec. 31, 2020	$ (633,453)					(174,564)		$ (237)		(869,495)		(80,261)		491,104
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, value	237,130							130		237,000
Stock Redeemed or Called During Period, Value	(69,708)					(66,721)
Preferred stock redemption charge	(2,987)													(2,987)
Restricted stock granted, net of amortization	1,816									1,816
APIC, Share-based Payment Arrangement, Increase for Cost Recognition	700									700
Adjustments for tax withholding on share-based compensation	(853)									(853)
Stock issuance costs	(366)									(366)
Net income (loss)	102,261													102,261
Dividends on preferred stock	(8,329)													(8,329)
Dividends on common stock	(51,293)													(51,293)
Other Comprehensive Income (Loss), Net of Tax	(73,532)											(73,532)
Balance at Dec. 31, 2021	771,279					107,843		367		1,107,792		6,729		(451,452)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Cumulative effect of adoption accounting standard 2019-05	$ 771,279					$ 107,843		$ 367		$ 1,107,792		$ 6,729		$ (451,452)

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Operating activities:
Net income (loss)	$ 102,261	$ 177,530	$ (152,668)
Adjustments to reconcile net income (loss) to cash provided by operating activities:
Realized (gain) loss on sale of investments, net	(6,705)	(308,084)	5,755
Unrealized loss (gain) on investments, net	14,814	(20)	56
(Gain) loss on derivative instruments, net	(81,417)	172,290	186,949
Amortization of investment premiums, net	118,171	126,395	133,690
Other amortization and depreciation, net	2,308	1,989	1,684
Share-based compensation expense	2,516	1,823	1,205
Decrease (increase) in accrued interest receivable	204	11,821	(5,190)
(Decrease) increase in accrued interest payable	(45)	(14,175)	5,277
Change in other assets and liabilities, net	(5,137)	4,383	(1,412)
Net cash provided by operating activities	146,970	173,952	175,346
Investing activities:
Purchase of investments	(1,541,678)	(2,436,953)	(2,991,311)
Principal payments received on investments	430,856	474,731	537,481
Proceeds from sales of investments	472,943	4,491,873	1,033,066
Principal payments received on mortgage loans held for investment	2,101	2,854	2,103
Net receipts (payments) on derivatives, including terminations	86,247	(185,482)	(184,920)
(Decrease) increase in cash collateral posted by counterparties	(5,847)	5,681	(1,717)
Other investing activities	0	0	(121)
Net cash (used in) provided by investing activities	(555,378)	2,352,704	(1,605,419)
Financing activities:
Borrowings under repurchase agreements	12,635,222	31,054,242	102,505,318
Repayments of repurchase agreement borrowings	(12,222,469)	(33,369,427)	(101,020,954)
Principal payments on non-recourse collateralized financing	(118)	(2,646)	(738)
Proceeds from issuance of preferred stock	0	107,843	19,924
Proceeds from issuance of common stock	237,130	9,891	63,889
Cash paid for redemption of preferred stock	(69,708)	(100,000)	0
Cash paid for stock issuance costs	(329)	0	(185)
Cash paid for common stock repurchases	0	372	25,034
Payments related to tax withholding for share-based compensation	(853)	(245)	(296)
Dividends paid	(58,895)	(52,437)	(68,042)
Net cash provided by (used in) financing activities	519,980	(2,353,151)	1,473,882
Net increase in cash including cash posted to counterparties	111,572	173,505	43,809
Cash including cash posted to counterparties at beginning of period	309,735	136,230	92,421
Cash including cash posted to counterparties at end of period	421,307	309,735	136,230
Supplemental Disclosure of Cash Activity:
Cash paid for interest	$ 5,709	$ 46,054	$ 108,986

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Mortgage-backed securities (including pledged of $3,011,319 and $2,467,859, respectively), at fair value	$ 3,011,319	$ 2,467,859
Preferred stock, Shares Authorized (in shares)	50,000,000	50,000,000
Preferred Stock, Shares Outstanding (in shares)	4,460,000	7,248,330
Preferred Stock, Shares Issued	4,460,000	7,248,330
Preferred Stock, Liquidation Preference, Value	$ 111,500	$ 181,208
Preferred Stock, Par or Stated Value Per Share	$ 0.01	$ 0.01
Common Stock, Shares Authorized	90,000,000	90,000,000
Common Stock, Shares, Issued	36,665,805	23,697,970
Common Stock, Shares, Outstanding	36,665,805	23,697,970
Common Stock, Par or Stated Value Per Share	$ 0.01	$ 0.01

Organization and Summary of Sig

Organization and Summary of Significant Accounting Policies (Notes)	12 Months Ended
	Dec. 31, 2021
Accounting Policies [Abstract]
Organization and Summary of Significant Accounting Policies	ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization Dynex Capital, Inc. (“Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company is an internally managed mortgage real estate investment trust, or mortgage REIT, which primarily earns income from investing on a leveraged basis in debt securities, the majority of which are specified pools of Agency mortgage-backed securities (“MBS”) consisting of residential MBS (“RMBS”), commercial MBS (“CMBS”), and CMBS interest-only (“IO”) securities and non-Agency MBS, which consist mainly of CMBS IO. Agency MBS have a guaranty of principal payment by a U.S. government-sponsored entity (“GSE”) such as Fannie Mae and Freddie Mac, which are in conservatorship and are currently supported by a senior preferred stock purchase agreement from the U.S. Treasury. Non-Agency MBS are issued by non-governmental enterprises and do not have a guaranty of principal payment. The Company also invests in other types of mortgage-related securities, such as to-be-announced securities (“TBAs” or “TBA securities”). Basis of Presentation The accompanying consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) the instructions to the Annual Report on Form 10-K and Article 3 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reported period. Actual results could differ from those estimates. The most significant estimates used by management include, but are not limited to, amortization of premiums and discounts and fair value measurements of its investments. These items are discussed further below within this note to the consolidated financial statements. The Company believes the estimates and assumptions underlying the consolidated financial statements included herein are reasonable and supportable based on the information available as of December 31, 2021. Reclassifications Certain items on the Company’s consolidated balance sheet as of December 31, 2020 have been reclassified to conform to the current period’s presentation. In the Company’s 2020 Form 10-K, restricted cash on the consolidated balance sheet as of December 31, 2020 consisted of the cash collateral posted by the Company to its counterparties to cover initial and variation margin related to its financing and derivative instruments, net of any cash collateral received by the Company from its counterparties. Restricted cash has been renamed “cash collateral posted to counterparties” within total assets, and cash collateral of $7,681 posted by counterparties as of December 31, 2020 has been reclassified to “cash collateral posted by counterparties” within total liabilities. This change in presentation also impacted the cash flow statements for the years ended December 31, 2020 and December 31, 2019, resulting in the addition of “(decrease) increase in cash collateral posted by counterparties” of $5,681 and $(1,717) which is the difference in the balances of that line item on the Company’s consolidated balance sheets as of December 31, 2019 and December 31, 2020. The Company has changed the method used to record its U.S. Treasury futures from gross fair value before variation margin settlements to net fair value after variation margin settlements. This change in presentation resulted in a reclassification of $625 from “cash collateral posted to counterparties” to “derivative liabilities” as of December 31, 2020 and a corresponding increase in “net payments on derivatives, including terminations” on the consolidated statement of cash flow for the year ended December 31, 2020. In addition, “non-recourse collateralized financing” and “payable for unsettled securities” on the consolidated balance sheet as of December 31, 2020 have been reclassified to “other liabilities”. Consolidation and Variable Interest Entities The consolidated financial statements include the accounts of the Company and the accounts of its majority owned subsidiaries and variable interest entities (“VIE”) for which it is the primary beneficiary. All intercompany accounts and transactions have been eliminated in consolidation. The Company consolidates a VIE if the Company is determined to be the VIE’s primary beneficiary, which is defined as the party that has both: (i) the power to control the activities that most significantly impact the VIE’s financial performance and (ii) the right to receive benefits or absorb losses that could potentially be significant to the VIE. The Company reconsiders its evaluation of whether to consolidate a VIE on an ongoing basis, based on changes in the facts and circumstances pertaining to the VIE. Though the Company invests in Agency and non-Agency MBS which are generally considered to be interests in VIEs, the Company does not consolidate these entities because it does not meet the criteria to be deemed a primary beneficiary. The Company consolidates a securitization trust, which has residential mortgage loans included in “mortgage loans held for investment” on its consolidated balance sheet. The Company is the primary beneficiary because it owns all of the remaining interests in the trust, which is discussed further in Note 4. Income Taxes The Company has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986 and the corresponding provisions of state law. To qualify as a REIT, the Company must meet certain tests including investing in primarily real estate-related assets and the required distribution of at least 90% of its annual REIT taxable income to shareholders after consideration of its net operating loss (“NOL”) carryforward and not including taxable income retained in its taxable subsidiaries. As a REIT, the Company generally will not be subject to federal income tax on the amount of its income or capital gains that is distributed as dividends to shareholders. The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities and records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred. Net Income (Loss) Per Common Share The Company calculates basic net income (loss) per common share by dividing net income (loss) to common shareholders for the period by weighted-average shares of common stock outstanding for that period. Please see Note 2 for the calculation of the Company’s basic and diluted net income (loss) per common share for the periods indicated. The Company currently has unvested restricted stock, service-based restricted stock units (“RSUs”) and performance-based stock units (“PSUs”) issued and outstanding. Upon vesting (or settlement, in the case of units), restrictions on transfer expire on each share of restricted stock, RSU, and PSU, and each such share represents one unrestricted share of common stock. Restricted stock awards are considered participating securities and therefore are included in the computation of basic net income per common share using the two-class method because holders of unvested shares of restricted stock are eligible to receive non-forfeitable dividends. Holders of unvested RSUs and PSUs accrue forfeitable dividend equivalent rights over the vesting period, receiving dividend payments only upon the settlement date if the requisite service-based and performance-based conditions have been achieved. As such, unvested RSUs and PSUs are excluded from the computation of basic net income per common share, but are included in the computation of diluted net income per common share unless the effect is to reduce a net loss or increase the net income per common share (also known as “anti-dilutive”). Because the Company’s 6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) is redeemable at the Company’s option for cash only and convertible into shares of common stock only upon a change of control of the Company (and subject to other circumstances) as described in Article IIIC of the Company’s Restated Articles of Incorporation, the effect of those shares and their related dividends were excluded from the calculation of diluted net income per common share for the periods presented. Cash Cash includes unrestricted demand deposits at highly rated financial institutions. The Company’s cash balances fluctuate throughout the year and may exceed Federal Deposit Insurance Corporation (“FDIC”) insured limits from time to time. Although the Company bears risk to amounts in excess of those insured by the FDIC, it does not anticipate any losses as a result due to the financial position and creditworthiness of the depository institutions in which those deposits are held. Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents amounts pledged/received to cover initial and variation margin related to the Company’s financing and derivative instruments. The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the Company's consolidated balance sheets as of the periods indicated that sum to the total of the same such amounts shown on the Company’s consolidated statements of cash flows for the years ended December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 Cash $ 366,023 $ 295,602 Cash collateral posted to counterparties 55,284 14,133 Total cash including cash posted to counterparties shown on consolidated statement of cash flows $ 421,307 $ 309,735 Mortgage-Backed Securities The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. MBS purchased prior to January 1, 2021 are designated as available-for-sale (“AFS”) with changes in fair value reported in other comprehensive income (“OCI”) as an unrealized gain (loss) until the security is sold or matures. Effective January 1, 2021, the Company elected the fair value option for all MBS purchased on or after that date with changes in fair value reported in net income as “unrealized gain (loss) on investments, net” until the security is sold or matures. Upon the sale of an MBS, any unrealized gain or loss is reclassified to “realized gain (loss) on sale of investments, net” using the specific identification method. Management elected the fair value option so that GAAP net income will reflect the changes in fair value for its future purchases of MBS in a manner consistent with the presentation and timing of the changes in fair value of its derivative instruments. Electing the fair value option is increasing as an industry trend for mortgage REITs who have not elected cash flow hedge accounting. “Unrealized gain (loss) on investments, net” also includes changes in fair value for mortgage loans held for investment for which the Company elected the fair value option effective January 1, 2020. Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based on the outstanding principal balance (or notional balance in the case of interest-only, or “IO” securities) and their contractual terms. Premiums or discounts associated with the purchase of Agency MBS as well as any non-Agency MBS are amortized or accreted into interest income over the projected life of such securities using the effective yield method, and adjustments to premium amortization and discount accretion are made for actual cash payments. The Company’s projections of future cash payments are based on input and analysis received from external sources and internal models and include assumptions about the amount and timing of loan prepayment rates, fluctuations in interest rates, credit losses, and other factors. On at least a quarterly basis, the Company reviews and makes any necessary adjustments to its cash flow projections and updates the yield recognized on these assets. The Company does not currently hold any non-Agency MBS that were purchased at a discount with credit ratings of less than ‘AA’ or not rated by any of the nationally recognized credit rating agencies at the time of purchase. Determination of MBS Fair Value. The Company estimates the fair value of the majority of its MBS based upon prices obtained from pricing services and broker quotes. The remainder of the Company’s MBS are valued by discounting the estimated future cash flows derived from cash flow models that utilize information such as the security’s coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected losses, and credit enhancements as well as certain other relevant information. Please refer to Note 7 for further discussion of MBS fair value measurements. Allowance for Credit Losses. On at least a quarterly basis, the Company evaluates any MBS designated as AFS with a fair value less than its amortized cost for credit losses. If the difference between the present value of cash flows expected to be collected on the MBS is less than its amortized cost, the difference is recorded as an allowance for credit loss through net income up to and not exceeding the amount that the amortized cost exceeds current fair value. Subsequent changes in credit loss estimates are recognized in earnings in the period in which they occur. Because the majority of the Company’s investments are higher credit quality and most are guaranteed by a GSE, the Company is not likely to have an allowance for credit losses related to its MBS recorded on its consolidated balance sheet. Repurchase Agreements The Company’s repurchase agreements, which are used to finance its purchases of MBS, are accounted for as secured borrowings under which the Company pledges its securities as collateral to secure a loan, which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral, which is disclosed parenthetically on the Company’s consolidated balance sheets. At the maturity of a repurchase agreement, the Company is required to repay the loan and concurrently receives back its pledged collateral from the lender or, with the consent of the lender, the Company may renew the agreement at the then prevailing financing rate. A repurchase agreement lender may require the Company to pledge additional collateral in the event of a decline in the fair value of the collateral pledged. Repurchase agreement financing is recourse to the Company and the assets pledged. Most of the Company’s repurchase agreements are based on the September 1996 version of the Bond Market Association Master Repurchase Agreement, which generally provides that the lender, as buyer, is responsible for obtaining collateral valuations from a generally recognized source agreed to by both the Company and the lender, or, in an instance when such source is not available, the value determination is made by the lender. Derivative Instruments During the year ended December 31, 2021, the Company’s derivative instruments have included U.S. Treasury futures, options on U.S. Treasury futures, options on interest rate swaps (“swaptions”) and TBA securities, which are forward contracts for the purchase or sale of Agency RMBS on a non-specified pool basis. Derivative instruments are reported at their fair value on the Company’s consolidated balance sheet as derivative assets if in a gain position or as derivative liabilities if in a loss position, at the end of the period reported. All income/expenses and changes in fair value of derivative instruments, including gains and losses realized upon termination, maturity, or settlement are recorded in “gain (loss) on derivative instruments, net” on the Company’s consolidated statement of comprehensive income (loss). Cash receipts and payments related to derivative instruments are classified in the investing activities section of the consolidated statements of cash flows in accordance with the underlying nature or purpose of the derivative transactions. The Company currently has short positions in U.S. Treasury futures contracts, which are valued based on exchange pricing with daily margin settlements. The Company realizes gains or losses on these contracts upon expiration at an amount equal to the difference between the current fair value of the underlying asset and the contractual price of the futures contract. The Company’s options on U.S. Treasury futures provide the Company the right, but not an obligation, to buy U.S. Treasury futures at a predetermined notional amount and stated term in the future. Options on U.S. Treasury futures are valued based on exchange pricing without daily exchanges of margin amounts. The Company records the premium paid for the option contract as a derivative asset on its consolidated balance sheet and adjusts the balance for changes in fair value through “gain (loss) on derivative instruments” until the option is exercised or the contract expires. The Company may also purchase swaptions and defer the premium payment until the effective date. The premium payable and underlying swaption are accounted for as a single unit of account. A TBA security is a forward contract (“TBA contract”) for the purchase (“long position”) or sale (“short position”) of a non-specified Agency MBS at a predetermined price with certain principal and interest terms and certain types of collateral, but the particular Agency securities to be delivered are not identified until shortly before the settlement date. The Company accounts for long and short positions in TBAs as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA transaction that its settlement will result in physical delivery of the underlying Agency RMBS or that the individual TBA transaction will not settle in the shortest time period possible. Please refer to Note 6 for additional information regarding the Company’s derivative instruments as well as Note 7 for information on how the fair value of these instruments is calculated. Share-Based Compensation The Company’s 2020 Stock and Incentive Plan (the “2020 Plan”) reserves for issuance up to 2,300,000 common shares for eligible employees, non-employee directors, consultants, and advisors to the Company to be granted in the form of stock options, restricted stock, restricted stock units (“RSUs”), stock appreciation rights, performance-based stock units (“PSUs”), and performance-based cash awards (collectively, “awards”). As of December 31, 2021, 1,951,245 common shares are available for issuance under the 2020 Plan. Awards previously granted under the Company’s 2018 Stock and Incentive Plan (“2018 Plan”) or any other prior equity plan remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2018 Plan or any other prior equity plan. Currently, the Company has shares of restricted stock and RSUs issued and outstanding which are treated as equity awards and recorded at their fair value using the closing stock price on the grant date. The compensation cost is recognized over the vesting period with a corresponding credit to shareholders’ equity using the straight-line method. The Company also has PSUs issued and outstanding which contain either Company performance-based or market performance-based conditions. PSUs subject to Company performance-based conditions are initially recognized as equity at their fair value which is measured using the closing stock price on the grant date multiplied by the number of units expected to vest based on an assessment of the probability of achievement of the Company performance-based conditions as of the grant date. The grant date fair value is recognized as expense on the Company’s consolidated statements of comprehensive income within “Compensation and benefits” on a straight-line basis over the vesting period and adjusted if necessary based on any change in probability of achievement which is re-assessed as of each reporting date and on at least a quarterly basis. PSUs subject to market performance-based conditions are recognized as equity at their grant date fair value determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return (“TSR”) relative to the common stock TSR of the group of peer companies specified in the award agreement. Awards subject to market performance-based conditions are not assessed for probability of achievement and are not remeasured subsequent to issuance. The grant date fair value is recognized as expense on the Company’s consolidated statements of comprehensive income within “Compensation and benefits” on a straight-line basis over the vesting period even if the market performance-based conditions are not achieved. The Company does not estimate forfeitures for any of its share-based compensation awards, but adjusts for actual forfeitures in the periods in which they occur. Because RSUs and PSUs have forfeitable dividend equivalent rights that are paid only upon settlement, any accrued dividend equivalent rights on forfeited units are reversed with a corresponding credit to “Compensation and benefits.” Contingencies In the normal course of business, there may be various lawsuits, claims, and other contingencies pending against the Company. On a quarterly basis, the Company evaluates whether to establish provisions for estimated losses from those matters. The Company recognizes a liability for a contingent loss when: (a) the underlying causal event has occurred prior to the balance sheet date; (b) it is probable that a loss has been incurred; and (c) there is a reasonable basis for estimating that loss. A liability is not recognized for a contingent loss when it is only possible or remotely possible that a loss has been incurred, however, possible contingent losses shall be disclosed. If the contingent loss (or an additional loss in excess of any accrual) is at least a reasonable possibility and material, then the Company discloses a reasonable estimate of the possible loss or range of loss, if such reasonable estimate can be made. If the Company cannot make a reasonable estimate of the possible material loss, or range of loss, then that fact is disclosed. As previously disclosed in the 2020 Form 10-K, the receiver (the “Receiver”) for one of the plaintiffs awarded damages in a judgment (the "DCI Judgment") against Dynex Commercial, Inc. ("DCI"), a subsidiary of a former affiliate of the Company, filed a separate claim in May 2018 against the Company seeking payment of the damages awarded in connection with the DCI Judgment, alleging that the Company breached a litigation cost sharing agreement, as amended (the "Agreement"), that was initially entered into by the Company and DCI in December 2000. On November 21, 2019, the U.S. District Court, Northern District of Texas ("Northern District Court") granted in part and denied in part summary judgment on the Receiver’s claim and the Company’s claim for offset and recoupment. The Northern District Court found that the Company breached the Agreement and therefore must pay damages to the Receiver. The Northern District Court simultaneously granted the Company’s motion for summary judgment finding that DCI also breached the Agreement and that the Company can recover amounts due to it from DCI under the Agreement. Following a brief trial in September 2021, on November 1, 2021, the Northern District Court entered a take nothing judgment in the Company’s favor against the Receiver, and dismissed the Receiver’s claim against the Company. The Receiver did not file an appeal to the United States Court of Appeals for the Fifth Circuit within the allowed timeframe, and the Company considers this matter closed. Recently Issued Accounting Pronouncements The Company evaluates Accounting Standards Updates (“ASU”) issued by the Financial Accounting Standards Board (“FASB”) on at least a quarterly basis to evaluate applicability and significance of any impact on its financial condition and results of operations. There were no accounting pronouncements issued during the year ended December 31, 2021 that are expected to have a material impact on the Company’s financial condition or results of operations.

Net Income (Loss) Per Common Sh

Net Income (Loss) Per Common Share	12 Months Ended
	Dec. 31, 2021
Earnings Per Share [Abstract]
Net Income (Loss) Per Common Share	NET INCOME (LOSS) PER COMMON SHARE Please refer to Note 1 for information regarding the Company’s treatment of its preferred stock and stock awards in the calculation of its basic and diluted net income (loss) per common share and to Note 8 for information regarding the Company’s stock award activity for the periods presented. The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated: Year Ended December 31, 2021 2020 2019 Weighted average number of common shares outstanding - basic 32,596,272 23,106,200 23,620,125 Incremental common shares-unvested RSUs 55,019 — — Incremental common shares-unvested PSUs 110,040 — — Weighted average number of common shares outstanding - diluted 32,761,331 23,106,200 23,620,125 Net income (loss) to common shareholders $ 90,945 $ 160,017 $ (165,635) Net income (loss) per common share-basic $ 2.79 $ 6.93 $ (7.01) Net income (loss) per common share-diluted $ 2.78 $ 6.93 $ (7.01) The Company did not have any potentially dilutive instruments outstanding during the years ended December 31, 2020 or December 31, 2019.

Mortgage-Backed Securities

Mortgage-Backed Securities	12 Months Ended
	Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	MORTGAGE-BACKED SECURITIES The following tables present the Company’s MBS by investment type as of the dates indicated: December 31, 2021 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,193,951 $ 174,899 $ — $ 966 $ 1,369,816 Unamortized premium (discount) 38,787 2,312 276,354 (189) 317,264 Amortized cost 1,232,738 177,211 276,354 777 1,687,080 Gross unrealized gain 7,779 7,636 11,713 63 27,191 Gross unrealized loss (19,994) — (426) (42) (20,462) Fair value 1,220,523 184,847 287,641 798 1,693,809 MBS measured at fair value through net income: Par value $ 1,445,796 $ — $ — $ — $ 1,445,796 Unamortized premium 35,373 — 21,843 — 57,216 Amortized cost 1,481,169 — 21,843 — 1,503,012 Gross unrealized gain — — 57 — 57 Gross unrealized loss (14,917) — (122) — (15,039) Fair value 1,466,252 — 21,778 — 1,488,030 Total as of December 31, 2021 $ 2,686,775 $ 184,847 $ 309,419 $ 798 $ 3,181,839 (1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,217 as of December 31, 2021. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $10,189,497 and $8,635,666 respectively, as of December 31, 2021. December 31, 2020 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,839,046 $ 235,801 $ — $ 1,499 $ 2,076,346 Unamortized premium (discount) 57,997 3,152 378,939 (440) 439,648 Amortized cost 1,897,043 238,953 378,939 1,059 2,515,994 Gross unrealized gain 49,348 19,597 12,081 267 81,293 Gross unrealized loss — — (981) (51) (1,032) Fair value 1,946,391 258,550 390,039 1,275 2,596,255 MBS measured at fair value through net income: Par value $ — $ — $ — $ — $ — Unamortized premium — — — — — Amortized cost — — — — — Gross unrealized gain — — — — — Gross unrealized loss — — — — — Fair value — — — — — Total as of December 31, 2020 $ 1,946,391 $ 258,550 $ 390,039 $ 1,275 $ 2,596,255 (1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020. The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 5 . Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table presents information regarding the "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income for the periods indicated: Year Ended December 31, 2021 2020 2019 Proceeds Received Realized Gain Proceeds Received Realized Gain Proceeds Received Realized Gain Agency RMBS-designated as AFS $ 287,409 $ 3,938 $ 2,395,032 $ 82,689 $ 796,699 $ 506 Agency CMBS-designated as AFS 37,873 2,767 2,247,273 225,395 213,199 (6,493) Agency CMBS IO -designated as AFS — — — — 23,168 232 $ 325,282 $ 6,705 $ 4,642,305 $ 308,084 $ 1,033,066 $ (5,755) The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated: December 31, 2021 December 31, 2020 Fair Value Gross Unrealized Losses # of Securities Fair Value Gross Unrealized Losses # of Securities Continuous unrealized loss position for less than 12 months: Agency MBS $ 1,051,233 $ (20,118) 23 $ 19,266 $ (399) 19 Non-Agency MBS 11,667 (247) 14 33,417 (408) 23 Continuous unrealized loss position for 12 months or longer: Agency MBS $ — $ — — $ 749 $ (133) 2 Non-Agency MBS 1,241 (97) 6 2,156 (93) 5 The unrealized losses on the Company’s MBS were the result of declines in market prices and were not credit related; therefore, the Company’s allowance for credit losses on its MBS designated as AFS was $0 as of December 31, 2021 and December 31, 2020. The principal related to Agency MBS is guaranteed by the GSEs Fannie Mae and Freddie Mac. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. In addition, for its non-Agency MBS, the Company reviews the credit ratings, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses.

Mortgage Loans Held for Investm

Mortgage Loans Held for Investment	12 Months Ended
	Dec. 31, 2021
Receivables [Abstract]
Mortgage Loans Held for Investment	MORTGAGE LOANS HELD FOR INVESTMENTThe Company's mortgage loans held for investment are single-family mortgage loans which were originated or purchased by the Company prior to 2000. Effective January 1, 2020, the Company elected the fair value option to account for these loans. During the years ended December 31, 2021 and December 31, 2020, the Company recorded an unrealized gain of $131 and an unrealized loss of $(253), respectively. The amortized cost of the Company’s mortgage loans declined to $4,488 as of December 31, 2021 from $6,613 as of December 31, 2020 due primarily to principal payments. The balance as of December 31, 2021 includes $4,261 of loans remaining in a securitization trust owned entirely by the Company, which is the Company’s maximum exposure to loss. The securitization bond is no longer outstanding as of December 31, 2021.

Repurchase Agreements

Repurchase Agreements	12 Months Ended
	Dec. 31, 2021
Disclosure of Repurchase Agreements [Abstract]
Repurchase agreements	REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of December 31, 2021 and December 31, 2020 are summarized in the following tables: December 31, 2021 December 31, 2020 Collateral Type Balance Weighted Fair Value of Balance Weighted Fair Value of Collateral Pledged (1) Agency RMBS $ 2,408,126 0.17 % $ 2,536,094 $ 1,874,176 0.23 % $ 1,973,608 Agency CMBS 176,268 0.14 % 184,847 237,649 0.23 % 255,741 Agency CMBS IO 180,912 0.68 % 192,481 209,393 0.90 % 243,042 Non-Agency CMBS IO 84,610 0.99 % 97,897 115,945 1.28 % 136,684 Total repurchase agreements $ 2,849,916 0.23 % $ 3,011,319 $ 2,437,163 0.34 % $ 2,609,075 (1) The amounts for fair value of collateral pledged in the table above as of December 31, 2020 include securities with an amortized cost of $141,215 which were sold but not settled as of that date, and for which the proceeds of $150,432 are recorded within “receivable for securities pending settlement” on the consolidated balance sheet. These securities collateralized $140,612 of the Company’s repurchase agreement borrowings outstanding as of December 31, 2020. The Company had repurchase agreement borrowings outstanding with 22 different counterparties as of December 31, 2021, and its equity at risk did not exceed 10% with any counterparty as of that date. The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the dates indicated: December 31, 2021 December 31, 2020 Remaining Term to Maturity Balance Weighted WAVG Original Term to Maturity Balance Weighted WAVG Original Term to Maturity Less than 30 days $ 602,994 0.42 % 123 $ 1,416,608 0.37 % 53 30 to 90 days 763,302 0.14 % 166 845,394 0.31 % 35 91 to 180 days 1,075,324 0.15 % 198 175,161 0.22 % 13 180 days to 1 year 408,296 0.30 % 366 — — % — Total $ 2,849,916 0.23 % 198 $ 2,437,163 0.34 % 44 The Company has an agreement with Wells Fargo Bank, N.A. for a committed repurchase facility, which has an aggregate maximum borrowing capacity of $250,000 and a maturity date of June 8, 2023. As of December 31, 2021, the Company had $87,152 outstanding with this facility at a weighted average borrowing rate of 0.87%. The remaining repurchase facilities available to the Company are uncommitted with no guarantee of renewal or terms of renewal. The Company’s counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth and earnings, maximum declines in net worth in a given period, and maximum leverage requirements as well as maintaining the Company’s REIT status. In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing agreements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company believes it was in full compliance with all covenants in master repurchase agreements under which there were amounts outstanding as of December 31, 2021. The Company's repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its repurchase agreements to these arrangements on a gross basis. The following table presents information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of December 31, 2021 and December 31, 2020: Gross Amount of Recognized Liabilities Gross Amount Offset in the Balance Sheet Net Amount of Liabilities Presented in the Balance Sheet Gross Amount Not Offset in the Balance Sheet (1) Net Amount Financial Instruments Posted as Collateral Cash Posted as Collateral December 31, 2021 Repurchase agreements $ 2,849,916 $ — $ 2,849,916 $ (2,849,916) $ — $ — December 31, 2020 Repurchase agreements $ 2,437,163 $ — $ 2,437,163 $ (2,437,163) $ — $ — (1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please see Note 6

Derivatives

Derivatives	12 Months Ended
	Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives	DERIVATIVES Types and Uses of Derivatives Instruments Interest Rate Derivatives. During the year ended December 31, 2021, the Company used short positions in U.S. Treasury futures, put options on U.S. Treasury futures, and interest rate swaptions to mitigate the impact of changing interest rates on the fair value of its investments and its net interest earnings. TBA Transactions. The Company purchases TBA securities as a means of investing in non-specified fixed-rate Agency RMBS and may also periodically sell TBA securities as a means of economically hedging its book value exposure to Agency RMBS. The Company holds long and short positions in TBA securities by executing a series of transactions, commonly referred to as “dollar roll” transactions, which effectively delay the settlement of a forward purchase (or sale) of a non-specified Agency RMBS by entering into an offsetting TBA position, net settling the paired-off positions in cash, and simultaneously entering into an identical TBA long (or short) position with a later settlement date. TBA securities purchased (or sold) for a forward settlement date are generally priced at a discount relative to TBA securities settling in the current month. This discount, often referred to as “drop income” represents the economic equivalent of net interest income (interest income less implied financing cost) on the underlying Agency security from trade date to settlement date. The Company accounts for all TBAs (whether net long or net short positions, or collectively “TBA dollar roll positions”) as derivative instruments because it cannot assert that it is probable at inception and throughout the term of an individual TBA transaction that its settlement will result in physical delivery of the underlying Agency RMBS, or that the individual TBA transaction will not settle in the shortest period possible. Gain (Loss) on Derivative Instruments, Net The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated: Year Ended December 31, Type of Derivative Instrument 2021 2020 2019 Interest rate swaps $ — $ (182,942) $ (202,450) Interest rate swaptions 40,330 680 (5,607) U.S. Treasury futures 61,215 (15,046) 2,250 Options on U.S. Treasury futures (2,141) (26,186) (1,422) TBA securities - long positions (17,987) 61,245 20,020 TBA securities - short positions — (10,041) 260 Gain (loss) on derivative instruments, net $ 81,417 $ (172,290) $ (186,949) The table below summarizes information about the carrying value by type of derivative instrument on the Company’s consolidated balance sheets as of the dates indicated: Type of Derivative Instrument Balance Sheet Location Purpose December 31, 2021 December 31, 2020 Options on U.S. Treasury futures Derivative assets Economic hedging $ — $ 1,094 Interest rate swaptions Derivative assets Economic hedging 3,202 1,360 TBA securities Derivative assets Investing 4,767 8,888 Total derivatives assets $ 7,969 $ 11,342 Interest rate swaptions Derivative liabilities Economic hedging $ — $ (107) U.S. Treasury futures Derivative liabilities Economic hedging (2,471) (902) Total derivatives liabilities $ (2,471) $ (1,009) The following table provides details on the Company’s interest rate swaptions held as of the dates indicated: Option Underlying Payer Swap Average Months to Expiration Cost Fair Value Notional Amount Average Fixed Pay Rate Average Term in Years As of December 31, 2021: 6-9 months $ 9,375 $ 3,202 $ 500,000 1.60% 10 As of December 31, 2020: 6 months or less $ 6,312 $ 1,161 $ 750,000 1.02% 10 6-9 months 6,688 92 500,000 1.16% 10 $ 13,000 $ 1,253 $ 1,250,000 1.07% The following table provides details on the Company’s U.S. Treasury futures and options on U.S. Treasury futures held as of the dates indicated: December 31, 2021 December 31, 2020: Notional Amount Long (Short) Fair Value Average Term to Expiration Notional Amount Long (Short) Fair Value Average Term to Expiration Options on U.S. Treasury futures $ — $ — n/a $ 500,000 $ 1,094 1 month U.S. Treasury futures (3,890,000) (2,471) 3 months (825,000) (902) 2 months The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated: December 31, 2021 December 31, 2020 Implied market value (1) $ 1,531,188 $ 1,572,949 Implied cost basis (2) 1,526,421 1,564,061 Net carrying value (3) $ 4,767 $ 8,888 (1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated. Volume of Activity The tables below summarize changes in the Company’s derivative instruments for the year ended December 31, 2021: Type of Derivative Instrument Beginning Additions Settlements, Ending Interest rate swaptions 1,250,000 500,000 (1,250,000) 500,000 U.S. Treasury futures (825,000) (15,880,000) 12,815,000 (3,890,000) Options on U.S. Treasury futures 500,000 2,350,000 (2,850,000) — TBA securities 1,515,000 22,920,000 (22,905,000) 1,530,000 Offsetting The Company's derivatives are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its derivative assets and liabilities subject to these arrangements on a gross basis. Please see Note 5 for information related to the Company’s repurchase agreements, which are also subject to underlying agreements with master netting or similar arrangements. The following tables present information regarding those derivative assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of December 31, 2021 and December 31, 2020: Offsetting of Assets Gross Amount of Recognized Assets Gross Amount Offset in the Balance Sheet Net Amount of Assets Presented in the Balance Sheet Gross Amount Not Offset in the Balance Sheet (1) Net Amount Financial Instruments Received as Collateral Cash Received as Collateral December 31, 2021 Interest rate swaptions $ 3,202 $ — $ 3,202 $ — $ (481) $ 2,721 TBA securities 4,767 — 4,767 — (1,353) 3,414 Derivative assets $ 7,969 $ — $ 7,969 $ — $ (1,834) $ 6,135 December 31, 2020 Interest rate swaptions $ 1,360 $ — $ 1,360 $ (107) $ — $ 1,253 Options on U.S. Treasury futures 1,094 — 1,094 — — 1,094 TBA securities 8,888 — 8,888 — (7,681) 1,207 Derivative assets $ 11,342 $ — $ 11,342 $ (107) $ (7,681) $ 3,554 Offsetting of Liabilities Gross Amount of Recognized Liabilities Gross Amount Offset in the Balance Sheet Net Amount of Liabilities Presented in the Balance Sheet Gross Amount Not Offset in the Balance Sheet (1) Net Amount Financial Instruments Posted as Collateral Cash Posted as Collateral December 31, 2021 U.S. Treasury futures-short positions $ (2,471) — $ (2,471) $ — $ — $ (2,471) Derivative liabilities $ (2,471) $ — $ (2,471) $ — $ — $ (2,471) December 31, 2020 U.S. Treasury futures-short positions $ (902) — $ (902) $ — $ — $ (902) Interest rate swaptions (107) — (107) 107 — — Derivative liabilities $ (1,009) $ — $ (1,009) $ 107 $ — $ (902) (1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”

Fair Value of Financial Instrum

Fair Value of Financial Instruments	12 Months Ended
	Dec. 31, 2021
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	FAIR VALUE OF FINANCIAL INSTRUMENTS Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is based on the assumptions market participants would use when pricing an asset or liability and also considers all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC Topic 820 established a valuation hierarchy of three levels as follows: • Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities as of the measurement date. • Level 2 – Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs either directly observable or indirectly observable through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life. • Level 3 – Unobservable inputs are supported by little or no market activity. The unobservable inputs represent management’s best estimate of how market participants would price the asset or liability at the measurement date. Consideration is given to the risk inherent in the valuation technique and the risk inherent in the inputs to the model. The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated: December 31, 2021 December 31, 2020 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 3,181,839 $ — $ 3,181,041 $ 798 $ 2,596,255 $ — $ 2,594,980 $ 1,275 Mortgage loans held for investment 4,268 — — 4,268 6,264 — — 6,264 Derivative assets: Options on U.S. Treasury futures — — — — 1,094 1,094 — — Interest rate swaptions 3,202 — 3,202 — 1,360 — 1,360 — TBA securities-long position 4,767 — 4,767 — 8,888 — 8,888 — Total assets carried at fair value $ 3,194,076 $ — $ 3,189,010 $ 5,066 $ 2,613,861 $ 1,094 $ 2,605,228 $ 7,539 Liabilities carried at fair value: U.S. Treasury futures $ 2,471 $ 2,471 $ — $ — $ 902 $ 902 $ — $ — Interest rate swaptions — — — — 107 — 107 — Total liabilities carried at fair value $ 2,471 $ 2,471 $ — $ — $ 1,009 $ 902 $ 107 $ — The fair value measurements for the Company's MBS are considered Level 2 when there are substantially similar securities actively trading or for which there has been recent trading activity in their respective markets and are based on prices received from pricing services and quotes from brokers. In valuing a security, the pricing service uses either a market approach, which uses observable prices and other relevant information that is generated by market transactions of identical or similar securities, or an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. The Company reviews the prices it receives from its pricing sources as well as the assumptions and inputs utilized by its pricing sources for reasonableness. Examples of these observable inputs and assumptions include market interest rates, credit spreads, and projected prepayment speeds, among other things. The Company owns other non-Agency MBS and mortgage loans that are considered Level 3 assets because there has been no recent trading activity of similar instruments upon which their fair value can be measured. The fair value for these Level 3 assets is measured by discounting the estimated future cash flows derived from cash flow models using significant inputs which are determined by the Company when market observable inputs are not available. Information utilized in those pricing models include the security’s credit rating, coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected credit losses, and credit enhancement as well as certain other relevant information. The Company used a constant prepayment rate assumption of 10%, default rate of 2%, loss severity of 20%, and a discount rate of 7.0% in measuring the fair value of its Level 3 assets as of December 31, 2021. Significant changes in any of these inputs in isolation may result in a significantly different fair value measurement. Level 3 assets are generally most sensitive to the default rate and severity assumptions. The activity of the Company’s Level 3 assets during the year ended December 31, 2021 is presented in the following table: Year Ended December 31, 2021 Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 1,275 $ 6,264 Change in fair value (1) (195) 131 Principal payments (533) (2,101) Accretion (amortization) 251 (26) Balance as of end of period $ 798 $ 4,268 (1) Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income.” U.S. Treasury futures and options on U.S. Treasury futures are valued based on closing exchange prices on these contracts and are classified accordingly as Level 1 measurements. The fair value of interest rate swaptions is based on the fair value of the underlying interest rate swap and time remaining until its expiration and is carried on the balance sheet net of any deferred premium to be paid upon expiration. The fair value of TBA securities is estimated using methods similar those used to fair value the Company’s Level 2 MBS.

Shareholders' Equity and Share-

Shareholders' Equity and Share-Based Compensation (Notes)	12 Months Ended
	Dec. 31, 2021
Equity [Abstract]
Shareholders' Equity and Share-based Compensation	SHAREHOLDERS’ EQUITY AND SHARE-BASED COMPENSATION Preferred Stock. The Company’s Board of Directors has designated 6,600,000 shares of the Company’s preferred stock for issuance as Series C Preferred Stock, of which the Company has 4,460,000 of such shares outstanding as of December 31, 2021. The Series C Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption, and will remain outstanding indefinitely unless redeemed or otherwise repurchased or converted into common stock pursuant to the terms of the Series C Preferred Stock. Except under certain limited circumstances described in Article IIIC of the Company’s Restated Articles of Incorporation, the Company may not redeem the Series C Preferred Stock prior to April 15, 2025. On or after that date, the Series C Preferred Stock may be redeemed at any time and from time to time at the Company's option at a cash redemption price of $25.00 per share plus any accumulated and unpaid dividends. Because the Series C Preferred Stock is redeemable only at the option of the issuer, it is classified as equity on the Company’s consolidated balance sheet. The Series C Preferred Stock pays a cumulative cash dividend equivalent to 6.900% of the $25.00 liquidation preference per share each year until April 15, 2025. The terms of the Series C Preferred Stock state that upon April 15, 2025 and thereafter, the Company will pay cumulative cash dividends at a percentage of the $25.00 liquidation value per share equal to an annual floating rate of 3-month LIBOR plus a spread of 5.461%. However, because 3-month LIBOR will cease to be a published rate as of June 30, 2023, the fallback provision provided in the terms of the Series C Preferred Stock will allow for the Company to appoint a third-party independent financial institution of national standing to select an industry accepted alternative base rate. The Company paid its regular quarterly dividend of $0.43125 per share of Series C Preferred Stock on January 17, 2022 to shareholders of record as of January 1, 2022. During the first quarter of 2021, the Company redeemed the remaining 2,788,330 outstanding shares of its 7.625% Series B Cumulative Redeemable Preferred Stock at an aggregate redemption price of approximately $25.15 per share, which included accumulated and unpaid dividends declared as of the redemption date February 15, 2021. The excess of the $25.00 liquidation price per share over the carrying value of the preferred stock redeemed resulted in a charge of $(2,987) to net income to common shareholders for the year ended December 31, 2021. Common Stock. During the year months ended December 31, 2021, the Company issued 5,784,947 shares of its common stock through its ATM program at an aggregate value of $108,980, net of $1,380 in broker commissions and fees, of which 730,499 shares were issued during the fourth quarter of 2021 at an aggregate value of $12,780, net of $162 in broker commissions and fees. Share-Based Compensation. Total share-based compensation expense recognized by the Company for the year ended December 31, 2021 was $2,516 compared to $1,823 and $1,205 for the years ended December 31, 2020 and December 31, 2019, respectively. The following tables present a rollforward of share-based awards for the periods indicated: Year Ended December 31, 2021 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 281,761 $ 14.74 — $ — — $ — Granted 40,027 19.02 55,019 19.40 110,040 19.40 Vested (123,984) 15.28 — — — — Awards outstanding, end of period 197,804 $ 15.27 55,019 $ 19.40 110,040 $ 19.40 Year Ended December 31, 2020 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 119,213 $ 18.56 — $ — — $ — Granted 240,293 13.88 — — — — Vested (77,113) 17.94 — — — — Forfeited (632) 17.10 — — — — Awards outstanding, end of period 281,761 $ 14.74 — $ — — $ — Year Ended December 31, 2019 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 113,904 $ 19.19 — $ — — $ — Granted 68,004 18.09 — — — — Vested (62,695) 19.20 — — — — Awards outstanding, end of period 119,213 $ 18.56 — $ — — $ — The number of RSUs that may potentially vest will range from 0% if the recipient’s time-based vesting condition is not met to 100% if the time-based vesting condition is met. The number of PSUs that may potentially vest will range from 0% to 200% based on the achievement of the performance goals defined in the grant award. As of December 31, 2021, the Company expects 100% of the 110,040 PSUs will vest on December 31, 2023. The following table discloses the grant date fair value of the Company’s remaining unvested awards as of December 31, 2021, which will be amortized into compensation expense over the period disclosed: December 31, 2021 Remaining Compensation Cost WAVG Period of Recognition Restricted stock $ 1,712 1.3 RSUs 841 2.3 PSUs 1,622 2.0 Total $ 4,175 1.7

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2021
Income Tax Disclosure [Abstract]
Income Taxes	INCOME TAXESThe Company's estimated REIT taxable income before consideration of its NOL carryforward was $14,884 for the year ended December 31, 2021, $77,492 for the year ended December 31, 2020, and $23,334 for the year ended December 31, 2019. After common and preferred dividend distributions during those years as well as utilization of the Company's NOL carryforward to offset taxable earnings, the Company does not expect to incur any income tax liability for the year ended December 31, 2021 and did not incur any material income tax liability for the years ending December 31, 2020 or December 31, 2019. As of December 31, 2021, the Company has $17,353 of NOL carryforward remaining which will expire over the next 4 years.After reviewing for any potentially uncertain income tax positions, the Company has concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria of ASC Topic 740 as of December 31, 2021, December 31, 2020, or December 31, 2019, although its tax returns for those tax years are open to examination by the IRS. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes.

Organization and Summary of S_2

Organization and Summary of Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2021
Accounting Policies [Abstract]
Organization	OrganizationDynex Capital, Inc. (“Company”) was incorporated in the Commonwealth of Virginia on December 18, 1987 and commenced operations in February 1988. The Company is an internally managed mortgage real estate investment trust, or mortgage REIT, which primarily earns income from investing on a leveraged basis in debt securities, the majority of which are specified pools of Agency mortgage-backed securities (“MBS”) consisting of residential MBS (“RMBS”), commercial MBS (“CMBS”), and CMBS interest-only (“IO”) securities and non-Agency MBS, which consist mainly of CMBS IO. Agency MBS have a guaranty of principal payment by a U.S. government-sponsored entity (“GSE”) such as Fannie Mae and Freddie Mac, which are in conservatorship and are currently supported by a senior preferred stock purchase agreement from the U.S. Treasury. Non-Agency MBS are issued by non-governmental enterprises and do not have a guaranty of principal payment. The Company also invests in other types of mortgage-related securities, such as to-be-announced securities (“TBAs” or “TBA securities”).
Basis of Presentation	Basis of PresentationThe accompanying consolidated financial statements of Dynex Capital, Inc. and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) the instructions to the Annual Report on Form 10-K and Article 3 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”).
Use of Estimates	Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reported period. Actual results could differ from those estimates. The most significant estimates used by management include, but are not limited to, amortization of premiums and discounts and fair value measurements of its investments. These items are discussed further below within this note to the consolidated financial statements. The Company believes the estimates and assumptions underlying the consolidated financial statements included herein are reasonable and supportable based on the information available as of December 31, 2021.
Reclassifications	Reclassifications Certain items on the Company’s consolidated balance sheet as of December 31, 2020 have been reclassified to conform to the current period’s presentation. In the Company’s 2020 Form 10-K, restricted cash on the consolidated balance sheet as of December 31, 2020 consisted of the cash collateral posted by the Company to its counterparties to cover initial and variation margin related to its financing and derivative instruments, net of any cash collateral received by the Company from its counterparties. Restricted cash has been renamed “cash collateral posted to counterparties” within total assets, and cash collateral of $7,681 posted by counterparties as of December 31, 2020 has been reclassified to “cash collateral posted by counterparties” within total liabilities. This change in presentation also impacted the cash flow statements for the years ended December 31, 2020 and December 31, 2019, resulting in the addition of “(decrease) increase in cash collateral posted by counterparties” of $5,681 and $(1,717) which is the difference in the balances of that line item on the Company’s consolidated balance sheets as of December 31, 2019 and December 31, 2020. The Company has changed the method used to record its U.S. Treasury futures from gross fair value before variation margin settlements to net fair value after variation margin settlements. This change in presentation resulted in a reclassification of $625 from “cash collateral posted to counterparties” to “derivative liabilities” as of December 31, 2020 and a corresponding increase in “net payments on derivatives, including terminations” on the consolidated statement of cash flow for the year ended December 31, 2020. In addition, “non-recourse collateralized financing” and “payable for unsettled securities” on the consolidated
Consolidation and Variable Interest Entities	Consolidation and Variable Interest Entities The consolidated financial statements include the accounts of the Company and the accounts of its majority owned subsidiaries and variable interest entities (“VIE”) for which it is the primary beneficiary. All intercompany accounts and transactions have been eliminated in consolidation. The Company consolidates a VIE if the Company is determined to be the VIE’s primary beneficiary, which is defined as the party that has both: (i) the power to control the activities that most significantly impact the VIE’s financial performance and (ii) the right to receive benefits or absorb losses that could potentially be significant to the VIE. The Company reconsiders its evaluation of whether to consolidate a VIE on an ongoing basis, based on changes in the facts and circumstances pertaining to the VIE. Though the Company invests in Agency and non-Agency MBS which are generally considered to be interests in VIEs, the Company does not consolidate these entities because it does not meet the criteria to be deemed a primary beneficiary.
Income Taxes	Income Taxes The Company has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986 and the corresponding provisions of state law. To qualify as a REIT, the Company must meet certain tests including investing in primarily real estate-related assets and the required distribution of at least 90% of its annual REIT taxable income to shareholders after consideration of its net operating loss (“NOL”) carryforward and not including taxable income retained in its taxable subsidiaries. As a REIT, the Company generally will not be subject to federal income tax on the amount of its income or capital gains that is distributed as dividends to shareholders. The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities and records these liabilities, if any, to the extent they are deemed more likely than not to have been incurred.
Net Income (Loss) Per Common Share	Net Income (Loss) Per Common Share The Company calculates basic net income (loss) per common share by dividing net income (loss) to common shareholders for the period by weighted-average shares of common stock outstanding for that period. Please see Note 2 for the calculation of the Company’s basic and diluted net income (loss) per common share for the periods indicated. The Company currently has unvested restricted stock, service-based restricted stock units (“RSUs”) and performance-based stock units (“PSUs”) issued and outstanding. Upon vesting (or settlement, in the case of units), restrictions on transfer expire on each share of restricted stock, RSU, and PSU, and each such share represents one unrestricted share of common stock. Restricted stock awards are considered participating securities and therefore are included in the computation of basic net income per common share using the two-class method because holders of unvested shares of restricted stock are eligible to receive non-forfeitable dividends. Holders of unvested RSUs and PSUs accrue forfeitable dividend equivalent rights over the vesting period, receiving dividend payments only upon the settlement date if the requisite service-based and performance-based conditions have been achieved. As such, unvested RSUs and PSUs are excluded from the computation of basic net income per common share, but are included in the computation of diluted net income per common share unless the effect is to reduce a net loss or increase the net income per common share (also known as “anti-dilutive”). Because the Company’s 6.900% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”) is redeemable at the Company’s option for cash only and convertible into shares of common stock only upon a change of control of the Company (and subject to other circumstances) as described in
Cash	Cash Cash includes unrestricted demand deposits at highly rated financial institutions. The Company’s cash balances fluctuate throughout the year and may exceed Federal Deposit Insurance Corporation (“FDIC”) insured limits from time to time. Although the Company bears risk to amounts in excess of those insured by the FDIC, it does not anticipate any losses as a result due to the financial position and creditworthiness of the depository institutions in which those deposits are held.
Cash Collateral Posted To/By Counterparties	Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents amounts pledged/received to cover initial and variation margin related to the Company’s financing and derivative instruments. The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the Company's consolidated balance sheets as of the periods indicated that sum to the total of the same such amounts shown on the Company’s consolidated statements of cash flows for the years ended December 31, 2021 and December 31, 2020: December 31, 2021 December 31, 2020 Cash $ 366,023 $ 295,602 Cash collateral posted to counterparties 55,284 14,133 Total cash including cash posted to counterparties shown on consolidated statement of cash flows $ 421,307 $ 309,735
Mortgage-Back Securities	Mortgage-Backed Securities The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. MBS purchased prior to January 1, 2021 are designated as available-for-sale (“AFS”) with changes in fair value reported in other comprehensive income (“OCI”) as an unrealized gain (loss) until the security is sold or matures. Effective January 1, 2021, the Company elected the fair value option for all MBS purchased on or after that date with changes in fair value reported in net income as “unrealized gain (loss) on investments, net” until the security is sold or matures. Upon the sale of an MBS, any unrealized gain or loss is reclassified to “realized gain (loss) on sale of investments, net” using the specific identification method. Management elected the fair value option so that GAAP net income will reflect the changes in fair value for its future purchases of MBS in a manner consistent with the presentation and timing of the changes in fair value of its derivative instruments. Electing the fair value option is increasing as an industry trend for mortgage REITs who have not elected cash flow hedge accounting. “Unrealized gain (loss) on investments, net” also includes changes in fair value for mortgage loans held for investment for which the Company elected the fair value option effective January 1, 2020. Interest Income, Premium Amortization, and Discount Accretion. Interest income on MBS is accrued based on the outstanding principal balance (or notional balance in the case of interest-only, or “IO” securities) and their contractual terms. Premiums or discounts associated with the purchase of Agency MBS as well as any non-Agency MBS are amortized or accreted into interest income over the projected life of such securities using the effective yield method, and adjustments to premium amortization and discount accretion are made for actual cash payments. The Company’s projections of future cash payments are based on input and analysis received from external sources and internal models and include assumptions about the amount and timing of loan prepayment rates, fluctuations in interest rates, credit losses, and other factors. On at least a quarterly basis, the Company reviews and makes any necessary adjustments to its cash flow projections and updates the yield recognized on these assets. The Company does not currently hold any non-Agency MBS that were purchased at a discount with credit ratings of less than ‘AA’ or not rated by any of the nationally recognized credit rating agencies at the time of purchase. Determination of MBS Fair Value. The Company estimates the fair value of the majority of its MBS based upon prices obtained from pricing services and broker quotes. The remainder of the Company’s MBS are valued by discounting the estimated future cash flows derived from cash flow models that utilize information such as the security’s coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected losses, and credit enhancements as well as certain other relevant information. Please refer to Note 7 for further discussion of MBS fair value measurements. Allowance for Credit Losses. On at least a quarterly basis, the Company evaluates any MBS designated as AFS with a fair value less than its amortized cost for credit losses. If the difference between the present value of cash flows expected to be collected on the MBS is less than its amortized cost, the difference is recorded as an allowance for credit loss through net income up to and not exceeding the amount that the amortized cost exceeds current fair value. Subsequent changes in credit loss estimates are recognized in earnings in the period in which they occur. Because the majority of the Company’s investments are higher credit quality and most are guaranteed by a GSE, the Company is not likely to have an allowance for credit losses related to its MBS recorded on its consolidated balance sheet.
Repurchase Agreements	Repurchase Agreements The Company’s repurchase agreements, which are used to finance its purchases of MBS, are accounted for as secured borrowings under which the Company pledges its securities as collateral to secure a loan, which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral, which is disclosed parenthetically on the Company’s consolidated balance sheets. At the maturity of a repurchase agreement, the Company is required to repay the loan and concurrently receives back its pledged collateral from the lender or, with the consent of the lender, the Company may renew the agreement at the then prevailing financing rate. A repurchase agreement lender may require the Company to pledge additional collateral in the event of a decline in the fair value of the collateral pledged. Repurchase agreement financing is recourse to the Company and the assets pledged. Most of the Company’s repurchase agreements are based on the September 1996 version of the Bond Market Association Master Repurchase Agreement, which generally provides that the lender, as buyer, is responsible for obtaining collateral valuations from a generally recognized source agreed to by both the Company and the lender, or, in an instance when such source is not available, the value determination is made by the lender.
Derivative Instruments	Derivative Instruments During the year ended December 31, 2021, the Company’s derivative instruments have included U.S. Treasury futures, options on U.S. Treasury futures, options on interest rate swaps (“swaptions”) and TBA securities, which are forward contracts for the purchase or sale of Agency RMBS on a non-specified pool basis. Derivative instruments are reported at their fair value on the Company’s consolidated balance sheet as derivative assets if in a gain position or as derivative liabilities if in a loss position, at the end of the period reported. All income/expenses and changes in fair value of derivative instruments, including gains and losses realized upon termination, maturity, or settlement are recorded in “gain (loss) on derivative instruments, net” on the Company’s consolidated statement of comprehensive income (loss). Cash receipts and payments related to derivative instruments are classified in the investing activities section of the consolidated statements of cash flows in accordance with the underlying nature or purpose of the derivative transactions. The Company currently has short positions in U.S. Treasury futures contracts, which are valued based on exchange pricing with daily margin settlements. The Company realizes gains or losses on these contracts upon expiration at an amount equal to the difference between the current fair value of the underlying asset and the contractual price of the futures contract. The Company’s options on U.S. Treasury futures provide the Company the right, but not an obligation, to buy U.S. Treasury futures at a predetermined notional amount and stated term in the future. Options on U.S. Treasury futures are valued based on exchange pricing without daily exchanges of margin amounts. The Company records the premium paid for the option contract as a derivative asset on its consolidated balance sheet and adjusts the balance for changes in fair value through “gain (loss) on derivative instruments” until the option is exercised or the contract expires. The Company may also purchase swaptions and defer the premium payment until the effective date. The premium payable and underlying swaption are accounted for as a single unit of account. A TBA security is a forward contract (“TBA contract”) for the purchase (“long position”) or sale (“short position”) of a non-specified Agency MBS at a predetermined price with certain principal and interest terms and certain types of collateral, but the particular Agency securities to be delivered are not identified until shortly before the settlement date. The Company accounts for long and short positions in TBAs as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA transaction that its settlement will result in physical delivery of the underlying Agency RMBS or that the individual TBA transaction will not settle in the shortest time period possible. Please refer to Note 6 for additional information regarding the Company’s derivative instruments as well as Note 7 for information on how the fair value of these instruments is calculated.
Share-based Compensation	Share-Based Compensation The Company’s 2020 Stock and Incentive Plan (the “2020 Plan”) reserves for issuance up to 2,300,000 common shares for eligible employees, non-employee directors, consultants, and advisors to the Company to be granted in the form of stock options, restricted stock, restricted stock units (“RSUs”), stock appreciation rights, performance-based stock units (“PSUs”), and performance-based cash awards (collectively, “awards”). As of December 31, 2021, 1,951,245 common shares are available for issuance under the 2020 Plan. Awards previously granted under the Company’s 2018 Stock and Incentive Plan (“2018 Plan”) or any other prior equity plan remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2018 Plan or any other prior equity plan. Currently, the Company has shares of restricted stock and RSUs issued and outstanding which are treated as equity awards and recorded at their fair value using the closing stock price on the grant date. The compensation cost is recognized over the vesting period with a corresponding credit to shareholders’ equity using the straight-line method. The Company also has PSUs issued and outstanding which contain either Company performance-based or market performance-based conditions. PSUs subject to Company performance-based conditions are initially recognized as equity at their fair value which is measured using the closing stock price on the grant date multiplied by the number of units expected to vest based on an assessment of the probability of achievement of the Company performance-based conditions as of the grant date. The grant date fair value is recognized as expense on the Company’s consolidated statements of comprehensive income within “Compensation and benefits” on a straight-line basis over the vesting period and adjusted if necessary based on any change in probability of achievement which is re-assessed as of each reporting date and on at least a quarterly basis. PSUs subject to market performance-based conditions are recognized as equity at their grant date fair value determined through a Monte-Carlo simulation of the Company’s common stock total shareholder return (“TSR”) relative to the common stock TSR of the group of peer companies specified in the award agreement. Awards subject to market performance-based conditions are not assessed for probability of achievement and are not remeasured subsequent to issuance. The grant date fair value is recognized as expense on the Company’s consolidated statements of comprehensive income within “Compensation and benefits” on a straight-line basis over the vesting period even if the market performance-based conditions are not achieved. The Company does not estimate forfeitures for any of its share-based compensation awards, but adjusts for actual forfeitures in the periods in which they occur. Because RSUs and PSUs have forfeitable dividend equivalent rights that are paid only upon settlement, any accrued dividend equivalent rights on forfeited units are reversed with a corresponding credit to “Compensation and benefits.”
Contingencies	Contingencies In the normal course of business, there may be various lawsuits, claims, and other contingencies pending against the Company. On a quarterly basis, the Company evaluates whether to establish provisions for estimated losses from those matters. The Company recognizes a liability for a contingent loss when: (a) the underlying causal event has occurred prior to the balance sheet date; (b) it is probable that a loss has been incurred; and (c) there is a reasonable basis for estimating that loss. A liability is not recognized for a contingent loss when it is only possible or remotely possible that a loss has been incurred, however, possible contingent losses shall be disclosed. If the contingent loss (or an additional loss in excess of any accrual) is at least a reasonable possibility and material, then the Company discloses a reasonable estimate of the possible loss or range of loss, if such reasonable estimate can be made. If the Company cannot make a reasonable estimate of the possible material loss, or range of loss, then that fact is disclosed.
Recently Issued Accounting Pronouncements	Recently Issued Accounting Pronouncements The Company evaluates Accounting Standards Updates (“ASU”) issued by the Financial Accounting Standards Board (“FASB”) on at least a quarterly basis to evaluate applicability and significance of any impact on its financial condition and results of operations. There were no accounting pronouncements issued during the year ended December 31, 2021 that are expected to have a material impact on the Company’s financial condition or results of operations.

Net Income (Loss) Per Common _2

Net Income (Loss) Per Common Share (Tables)	12 Months Ended
	Dec. 31, 2021
Earnings Per Share [Abstract]
Schedule of Earnings Per Share, Basic and Diluted	The following table presents the computations of basic and diluted net income (loss) per common share for the periods indicated: Year Ended December 31, 2021 2020 2019 Weighted average number of common shares outstanding - basic 32,596,272 23,106,200 23,620,125 Incremental common shares-unvested RSUs 55,019 — — Incremental common shares-unvested PSUs 110,040 — — Weighted average number of common shares outstanding - diluted 32,761,331 23,106,200 23,620,125 Net income (loss) to common shareholders $ 90,945 $ 160,017 $ (165,635) Net income (loss) per common share-basic $ 2.79 $ 6.93 $ (7.01) Net income (loss) per common share-diluted $ 2.78 $ 6.93 $ (7.01)

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	12 Months Ended
	Dec. 31, 2021
Investments, Debt and Equity Securities [Abstract]
Debt Securities, Available-for-sale	The following tables present the Company’s MBS by investment type as of the dates indicated: December 31, 2021 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,193,951 $ 174,899 $ — $ 966 $ 1,369,816 Unamortized premium (discount) 38,787 2,312 276,354 (189) 317,264 Amortized cost 1,232,738 177,211 276,354 777 1,687,080 Gross unrealized gain 7,779 7,636 11,713 63 27,191 Gross unrealized loss (19,994) — (426) (42) (20,462) Fair value 1,220,523 184,847 287,641 798 1,693,809 MBS measured at fair value through net income: Par value $ 1,445,796 $ — $ — $ — $ 1,445,796 Unamortized premium 35,373 — 21,843 — 57,216 Amortized cost 1,481,169 — 21,843 — 1,503,012 Gross unrealized gain — — 57 — 57 Gross unrealized loss (14,917) — (122) — (15,039) Fair value 1,466,252 — 21,778 — 1,488,030 Total as of December 31, 2021 $ 2,686,775 $ 184,847 $ 309,419 $ 798 $ 3,181,839 (1) The notional balance for Agency CMBS IO measured at fair value through net income was $441,217 as of December 31, 2021. The notional balance of Agency CMBS IO and non-Agency CMBS IO designated as AFS was $10,189,497 and $8,635,666 respectively, as of December 31, 2021. December 31, 2020 Agency RMBS Agency CMBS CMBS IO (1) Non-Agency Other Total MBS designated as AFS: Par value $ 1,839,046 $ 235,801 $ — $ 1,499 $ 2,076,346 Unamortized premium (discount) 57,997 3,152 378,939 (440) 439,648 Amortized cost 1,897,043 238,953 378,939 1,059 2,515,994 Gross unrealized gain 49,348 19,597 12,081 267 81,293 Gross unrealized loss — — (981) (51) (1,032) Fair value 1,946,391 258,550 390,039 1,275 2,596,255 MBS measured at fair value through net income: Par value $ — $ — $ — $ — $ — Unamortized premium — — — — — Amortized cost — — — — — Gross unrealized gain — — — — — Gross unrealized loss — — — — — Fair value — — — — — Total as of December 31, 2020 $ 1,946,391 $ 258,550 $ 390,039 $ 1,275 $ 2,596,255 (1) The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $11,277,908 and $9,319,520, respectively, as of December 31, 2020.
Schedule of Realized Gain (Loss)	The following table presents information regarding the "realized gain on sale of investments, net" on the Company’s consolidated statements of comprehensive income for the periods indicated: Year Ended December 31, 2021 2020 2019 Proceeds Received Realized Gain Proceeds Received Realized Gain Proceeds Received Realized Gain Agency RMBS-designated as AFS $ 287,409 $ 3,938 $ 2,395,032 $ 82,689 $ 796,699 $ 506 Agency CMBS-designated as AFS 37,873 2,767 2,247,273 225,395 213,199 (6,493) Agency CMBS IO -designated as AFS — — — — 23,168 232 $ 325,282 $ 6,705 $ 4,642,305 $ 308,084 $ 1,033,066 $ (5,755)
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value	The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated: December 31, 2021 December 31, 2020 Fair Value Gross Unrealized Losses # of Securities Fair Value Gross Unrealized Losses # of Securities Continuous unrealized loss position for less than 12 months: Agency MBS $ 1,051,233 $ (20,118) 23 $ 19,266 $ (399) 19 Non-Agency MBS 11,667 (247) 14 33,417 (408) 23 Continuous unrealized loss position for 12 months or longer: Agency MBS $ — $ — — $ 749 $ (133) 2 Non-Agency MBS 1,241 (97) 6 2,156 (93) 5

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	12 Months Ended
	Dec. 31, 2021
Disclosure of Repurchase Agreements [Abstract]
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets	The Company’s repurchase agreements outstanding as of December 31, 2021 and December 31, 2020 are summarized in the following tables: December 31, 2021 December 31, 2020 Collateral Type Balance Weighted Fair Value of Balance Weighted Fair Value of Collateral Pledged (1) Agency RMBS $ 2,408,126 0.17 % $ 2,536,094 $ 1,874,176 0.23 % $ 1,973,608 Agency CMBS 176,268 0.14 % 184,847 237,649 0.23 % 255,741 Agency CMBS IO 180,912 0.68 % 192,481 209,393 0.90 % 243,042 Non-Agency CMBS IO 84,610 0.99 % 97,897 115,945 1.28 % 136,684 Total repurchase agreements $ 2,849,916 0.23 % $ 3,011,319 $ 2,437,163 0.34 % $ 2,609,075
Transfer of Certain Financial Assets Accounted for as Secured Borrowings	The following table provides information on the remaining term to maturity and original term to maturity for the Company’s repurchase agreements as of the dates indicated: December 31, 2021 December 31, 2020 Remaining Term to Maturity Balance Weighted WAVG Original Term to Maturity Balance Weighted WAVG Original Term to Maturity Less than 30 days $ 602,994 0.42 % 123 $ 1,416,608 0.37 % 53 30 to 90 days 763,302 0.14 % 166 845,394 0.31 % 35 91 to 180 days 1,075,324 0.15 % 198 175,161 0.22 % 13 180 days to 1 year 408,296 0.30 % 366 — — % — Total $ 2,849,916 0.23 % 198 $ 2,437,163 0.34 % 44
Schedule of Repurchase Agreements on a Net Basis	The following table presents information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of December 31, 2021 and December 31, 2020: Gross Amount of Recognized Liabilities Gross Amount Offset in the Balance Sheet Net Amount of Liabilities Presented in the Balance Sheet Gross Amount Not Offset in the Balance Sheet (1) Net Amount Financial Instruments Posted as Collateral Cash Posted as Collateral December 31, 2021 Repurchase agreements $ 2,849,916 $ — $ 2,849,916 $ (2,849,916) $ — $ — December 31, 2020 Repurchase agreements $ 2,437,163 $ — $ 2,437,163 $ (2,437,163) $ — $ — (1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented.

Derivatives (Tables)

Derivatives (Tables)	12 Months Ended
	Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments, Gain (Loss)	The table below provides detail of the Company’s “gain (loss) on derivative instruments, net” by type of derivative for the periods indicated: Year Ended December 31, Type of Derivative Instrument 2021 2020 2019 Interest rate swaps $ — $ (182,942) $ (202,450) Interest rate swaptions 40,330 680 (5,607) U.S. Treasury futures 61,215 (15,046) 2,250 Options on U.S. Treasury futures (2,141) (26,186) (1,422) TBA securities - long positions (17,987) 61,245 20,020 TBA securities - short positions — (10,041) 260 Gain (loss) on derivative instruments, net $ 81,417 $ (172,290) $ (186,949)
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value	The table below summarizes information about the carrying value by type of derivative instrument on the Company’s consolidated balance sheets as of the dates indicated: Type of Derivative Instrument Balance Sheet Location Purpose December 31, 2021 December 31, 2020 Options on U.S. Treasury futures Derivative assets Economic hedging $ — $ 1,094 Interest rate swaptions Derivative assets Economic hedging 3,202 1,360 TBA securities Derivative assets Investing 4,767 8,888 Total derivatives assets $ 7,969 $ 11,342 Interest rate swaptions Derivative liabilities Economic hedging $ — $ (107) U.S. Treasury futures Derivative liabilities Economic hedging (2,471) (902) Total derivatives liabilities $ (2,471) $ (1,009)
Schedule of Interest Rate Derivatives	The following table provides details on the Company’s interest rate swaptions held as of the dates indicated: Option Underlying Payer Swap Average Months to Expiration Cost Fair Value Notional Amount Average Fixed Pay Rate Average Term in Years As of December 31, 2021: 6-9 months $ 9,375 $ 3,202 $ 500,000 1.60% 10 As of December 31, 2020: 6 months or less $ 6,312 $ 1,161 $ 750,000 1.02% 10 6-9 months 6,688 92 500,000 1.16% 10 $ 13,000 $ 1,253 $ 1,250,000 1.07%
Derivatives Not Designated as Hedging Instruments	The following table provides details on the Company’s U.S. Treasury futures and options on U.S. Treasury futures held as of the dates indicated: December 31, 2021 December 31, 2020: Notional Amount Long (Short) Fair Value Average Term to Expiration Notional Amount Long (Short) Fair Value Average Term to Expiration Options on U.S. Treasury futures $ — $ — n/a $ 500,000 $ 1,094 1 month U.S. Treasury futures (3,890,000) (2,471) 3 months (825,000) (902) 2 months
Schedule of Notional Amounts of Outstanding Derivative Positions	The tables below summarize changes in the Company’s derivative instruments for the year ended December 31, 2021: Type of Derivative Instrument Beginning Additions Settlements, Ending Interest rate swaptions 1,250,000 500,000 (1,250,000) 500,000 U.S. Treasury futures (825,000) (15,880,000) 12,815,000 (3,890,000) Options on U.S. Treasury futures 500,000 2,350,000 (2,850,000) — TBA securities 1,515,000 22,920,000 (22,905,000) 1,530,000
Offsetting Assets	The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated: December 31, 2021 December 31, 2020 Implied market value (1) $ 1,531,188 $ 1,572,949 Implied cost basis (2) 1,526,421 1,564,061 Net carrying value (3) $ 4,767 $ 8,888 (1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated. Offsetting of Assets Gross Amount of Recognized Assets Gross Amount Offset in the Balance Sheet Net Amount of Assets Presented in the Balance Sheet Gross Amount Not Offset in the Balance Sheet (1) Net Amount Financial Instruments Received as Collateral Cash Received as Collateral December 31, 2021 Interest rate swaptions $ 3,202 $ — $ 3,202 $ — $ (481) $ 2,721 TBA securities 4,767 — 4,767 — (1,353) 3,414 Derivative assets $ 7,969 $ — $ 7,969 $ — $ (1,834) $ 6,135 December 31, 2020 Interest rate swaptions $ 1,360 $ — $ 1,360 $ (107) $ — $ 1,253 Options on U.S. Treasury futures 1,094 — 1,094 — — 1,094 TBA securities 8,888 — 8,888 — (7,681) 1,207 Derivative assets $ 11,342 $ — $ 11,342 $ (107) $ (7,681) $ 3,554
Offsetting Liabilities	The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated: December 31, 2021 December 31, 2020 Implied market value (1) $ 1,531,188 $ 1,572,949 Implied cost basis (2) 1,526,421 1,564,061 Net carrying value (3) $ 4,767 $ 8,888 (1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated. Offsetting of Liabilities Gross Amount of Recognized Liabilities Gross Amount Offset in the Balance Sheet Net Amount of Liabilities Presented in the Balance Sheet Gross Amount Not Offset in the Balance Sheet (1) Net Amount Financial Instruments Posted as Collateral Cash Posted as Collateral December 31, 2021 U.S. Treasury futures-short positions $ (2,471) — $ (2,471) $ — $ — $ (2,471) Derivative liabilities $ (2,471) $ — $ (2,471) $ — $ — $ (2,471) December 31, 2020 U.S. Treasury futures-short positions $ (902) — $ (902) $ — $ — $ (902) Interest rate swaptions (107) — (107) 107 — — Derivative liabilities $ (1,009) $ — $ (1,009) $ 107 $ — $ (902) (1) Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	12 Months Ended
	Dec. 31, 2021
Fair Value Disclosures [Abstract]
Fair Value Disclosures	FAIR VALUE OF FINANCIAL INSTRUMENTS Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is based on the assumptions market participants would use when pricing an asset or liability and also considers all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC Topic 820 established a valuation hierarchy of three levels as follows: • Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities as of the measurement date. • Level 2 – Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs either directly observable or indirectly observable through correlation with market data at the measurement date and for the duration of the instrument’s anticipated life. • Level 3 – Unobservable inputs are supported by little or no market activity. The unobservable inputs represent management’s best estimate of how market participants would price the asset or liability at the measurement date. Consideration is given to the risk inherent in the valuation technique and the risk inherent in the inputs to the model. The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated: December 31, 2021 December 31, 2020 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 3,181,839 $ — $ 3,181,041 $ 798 $ 2,596,255 $ — $ 2,594,980 $ 1,275 Mortgage loans held for investment 4,268 — — 4,268 6,264 — — 6,264 Derivative assets: Options on U.S. Treasury futures — — — — 1,094 1,094 — — Interest rate swaptions 3,202 — 3,202 — 1,360 — 1,360 — TBA securities-long position 4,767 — 4,767 — 8,888 — 8,888 — Total assets carried at fair value $ 3,194,076 $ — $ 3,189,010 $ 5,066 $ 2,613,861 $ 1,094 $ 2,605,228 $ 7,539 Liabilities carried at fair value: U.S. Treasury futures $ 2,471 $ 2,471 $ — $ — $ 902 $ 902 $ — $ — Interest rate swaptions — — — — 107 — 107 — Total liabilities carried at fair value $ 2,471 $ 2,471 $ — $ — $ 1,009 $ 902 $ 107 $ — The fair value measurements for the Company's MBS are considered Level 2 when there are substantially similar securities actively trading or for which there has been recent trading activity in their respective markets and are based on prices received from pricing services and quotes from brokers. In valuing a security, the pricing service uses either a market approach, which uses observable prices and other relevant information that is generated by market transactions of identical or similar securities, or an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. The Company reviews the prices it receives from its pricing sources as well as the assumptions and inputs utilized by its pricing sources for reasonableness. Examples of these observable inputs and assumptions include market interest rates, credit spreads, and projected prepayment speeds, among other things. The Company owns other non-Agency MBS and mortgage loans that are considered Level 3 assets because there has been no recent trading activity of similar instruments upon which their fair value can be measured. The fair value for these Level 3 assets is measured by discounting the estimated future cash flows derived from cash flow models using significant inputs which are determined by the Company when market observable inputs are not available. Information utilized in those pricing models include the security’s credit rating, coupon rate, estimated prepayment speeds, expected weighted average life, collateral composition, estimated future interest rates, expected credit losses, and credit enhancement as well as certain other relevant information. The Company used a constant prepayment rate assumption of 10%, default rate of 2%, loss severity of 20%, and a discount rate of 7.0% in measuring the fair value of its Level 3 assets as of December 31, 2021. Significant changes in any of these inputs in isolation may result in a significantly different fair value measurement. Level 3 assets are generally most sensitive to the default rate and severity assumptions. The activity of the Company’s Level 3 assets during the year ended December 31, 2021 is presented in the following table: Year Ended December 31, 2021 Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 1,275 $ 6,264 Change in fair value (1) (195) 131 Principal payments (533) (2,101) Accretion (amortization) 251 (26) Balance as of end of period $ 798 $ 4,268 (1) Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income.” U.S. Treasury futures and options on U.S. Treasury futures are valued based on closing exchange prices on these contracts and are classified accordingly as Level 1 measurements. The fair value of interest rate swaptions is based on the fair value of the underlying interest rate swap and time remaining until its expiration and is carried on the balance sheet net of any deferred premium to be paid upon expiration. The fair value of TBA securities is estimated using methods similar those used to fair value the Company’s Level 2 MBS.
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis	The following table presents the Company’s financial instruments that are measured at fair value on the Company’s consolidated balance sheet by their valuation hierarchy levels as of the dates indicated: December 31, 2021 December 31, 2020 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 3,181,839 $ — $ 3,181,041 $ 798 $ 2,596,255 $ — $ 2,594,980 $ 1,275 Mortgage loans held for investment 4,268 — — 4,268 6,264 — — 6,264 Derivative assets: Options on U.S. Treasury futures — — — — 1,094 1,094 — — Interest rate swaptions 3,202 — 3,202 — 1,360 — 1,360 — TBA securities-long position 4,767 — 4,767 — 8,888 — 8,888 — Total assets carried at fair value $ 3,194,076 $ — $ 3,189,010 $ 5,066 $ 2,613,861 $ 1,094 $ 2,605,228 $ 7,539 Liabilities carried at fair value: U.S. Treasury futures $ 2,471 $ 2,471 $ — $ — $ 902 $ 902 $ — $ — Interest rate swaptions — — — — 107 — 107 — Total liabilities carried at fair value $ 2,471 $ 2,471 $ — $ — $ 1,009 $ 902 $ 107 $ —
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation	The activity of the Company’s Level 3 assets during the year ended December 31, 2021 is presented in the following table: Year Ended December 31, 2021 Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 1,275 $ 6,264 Change in fair value (1) (195) 131 Principal payments (533) (2,101) Accretion (amortization) 251 (26) Balance as of end of period $ 798 $ 4,268

Shareholders' Equity and Shar_2

Shareholders' Equity and Share-Based Compensation (Tables)	12 Months Ended
	Dec. 31, 2021
Equity [Abstract]
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity	The following tables present a rollforward of share-based awards for the periods indicated: Year Ended December 31, 2021 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 281,761 $ 14.74 — $ — — $ — Granted 40,027 19.02 55,019 19.40 110,040 19.40 Vested (123,984) 15.28 — — — — Awards outstanding, end of period 197,804 $ 15.27 55,019 $ 19.40 110,040 $ 19.40 Year Ended December 31, 2020 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 119,213 $ 18.56 — $ — — $ — Granted 240,293 13.88 — — — — Vested (77,113) 17.94 — — — — Forfeited (632) 17.10 — — — — Awards outstanding, end of period 281,761 $ 14.74 — $ — — $ — Year Ended December 31, 2019 Restricted Stock RSUs PSUs Shares Weighted Average Shares Weighted Average Shares Weighted Average Awards outstanding, beginning of period 113,904 $ 19.19 — $ — — $ — Granted 68,004 18.09 — — — — Vested (62,695) 19.20 — — — — Awards outstanding, end of period 119,213 $ 18.56 — $ — — $ —
Disclosure of Share-based Compensation Arrangements by Share-based Payment Award	The following table discloses the grant date fair value of the Company’s remaining unvested awards as of December 31, 2021, which will be amortized into compensation expense over the period disclosed: December 31, 2021 Remaining Compensation Cost WAVG Period of Recognition Restricted stock $ 1,712 1.3 RSUs 841 2.3 PSUs 1,622 2.0 Total $ 4,175 1.7

Organization and Summary of S_3

Organization and Summary of Significant Accounting Policies - Narrative (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Error Corrections and Prior Period Adjustments Restatement [Line Items]
(Decrease) increase in cash collateral posted by counterparties	$ (5,847)	$ 5,681	$ (1,717)
Share-based incentive plan, number of shares authorized for issuance	2,300,000
Number of shares available for grant (in shares)	1,951,245
Revision of Prior Period, Reclassification, Adjustment | Reclassification of Restricted Cash
Error Corrections and Prior Period Adjustments Restatement [Line Items]
Prior period reclassification adjustment		7,681
Revision of Prior Period, Reclassification, Adjustment | Reclassification of Net Payments on Derivatives
Error Corrections and Prior Period Adjustments Restatement [Line Items]
Prior period reclassification adjustment		$ 625

Organization and Summary of S_4

Organization and Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019	Dec. 31, 2018
Accounting Policies [Abstract]
Cash	$ 366,023	$ 295,602
Cash collateral posted to counterparties	55,284	14,133
Total cash including cash posted to counterparties shown on consolidated statement of cash flows	$ 421,307	$ 309,735	$ 136,230	$ 92,421

Net Income (Loss) Per Common _3

Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Weighted average common shares-basic (in shares)	32,596,272	23,106,200	23,620,125
Weighted average common shares-diluted (in shares)	32,761,331	23,106,200	23,620,125
Net (loss) income to common stockholders	$ 90,945	$ 160,017	$ (165,635)
Net income (loss) per common share-basic (in dollars per share)	$ 2.79	$ 6.93	$ (7.01)
Net income (loss) per common share-diluted (in dollars per share)	$ 2.78	$ 6.93	$ (7.01)
RSUs
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Incremental common shares - unvested (in shares)	55,019	0	0
PSUs
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Incremental common shares - unvested (in shares)	110,040	0	0

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Type (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020
MBS designated as AFS:
Par value	$ 1,369,816	$ 2,076,346
Unamortized premium (discount)	(317,264)	(439,648)
Amortized cost	1,687,080	2,515,994
Gross unrealized gain	27,191	81,293
Gross unrealized loss	(20,462)	(1,032)
Fair value	1,693,809	2,596,255
MBS measured at fair value through net income:
Par value	1,445,796	0
Unamortized premium	(317,264)	(439,648)
Amortized cost	1,503,012	0
Gross unrealized gain	57	0
Gross unrealized loss	(15,039)	0
Fair value	1,488,030	0
Total as of December 31, 2021	3,181,839	2,596,255
Fair Value Option
MBS designated as AFS:
Unamortized premium (discount)	(57,216)	0
MBS measured at fair value through net income:
Unamortized premium	(57,216)	0
Agency RMBS-designated as AFS
MBS designated as AFS:
Par value	1,193,951	1,839,046
Unamortized premium (discount)	(38,787)	(57,997)
Amortized cost	1,232,738	1,897,043
Gross unrealized gain	7,779	49,348
Gross unrealized loss	(19,994)	0
Fair value	1,220,523	1,946,391
MBS measured at fair value through net income:
Par value	1,445,796	0
Unamortized premium	(38,787)	(57,997)
Amortized cost	1,481,169	0
Gross unrealized gain	0	0
Gross unrealized loss	(14,917)	0
Fair value	1,466,252	0
Total as of December 31, 2021	2,686,775	1,946,391
Agency RMBS-designated as AFS | Fair Value Option
MBS designated as AFS:
Unamortized premium (discount)	(35,373)	0
MBS measured at fair value through net income:
Unamortized premium	(35,373)	0
Agency CMBS-designated as AFS
MBS designated as AFS:
Par value	174,899	235,801
Unamortized premium (discount)	(2,312)	(3,152)
Amortized cost	177,211	238,953
Gross unrealized gain	7,636	19,597
Gross unrealized loss	0	0
Fair value	184,847	258,550
MBS measured at fair value through net income:
Par value		0
Unamortized premium	(2,312)	(3,152)
Amortized cost		0
Gross unrealized gain		0
Gross unrealized loss		0
Fair value		0
Total as of December 31, 2021	184,847	258,550
Agency CMBS-designated as AFS | Fair Value Option
MBS designated as AFS:
Unamortized premium (discount)		0
MBS measured at fair value through net income:
Unamortized premium		0
Agency CMBS IO -designated as AFS
MBS designated as AFS:
Par value	0	0
Unamortized premium (discount)	(276,354)	(378,939)
Amortized cost	276,354	378,939
Gross unrealized gain	11,713	12,081
Gross unrealized loss	(426)	(981)
Fair value	287,641	390,039
MBS measured at fair value through net income:
Unamortized premium	(276,354)	(378,939)
Amortized cost	21,843	0
Gross unrealized gain	57	0
Gross unrealized loss	(122)	0
Fair value	21,778	0
Total as of December 31, 2021	309,419	390,039
Notional balance for interest only securities		11,277,908
Agency CMBS IO -designated as AFS | Fair Value Option
MBS designated as AFS:
Unamortized premium (discount)	(21,843)	0
MBS measured at fair value through net income:
Par value	0	0
Unamortized premium	(21,843)	0
Non-Agency MBS
MBS designated as AFS:
Par value	966	1,499
Unamortized premium (discount)	(189)	(440)
Amortized cost	777	1,059
Gross unrealized gain	63	267
Gross unrealized loss	(42)	(51)
Fair value	798	1,275
MBS measured at fair value through net income:
Par value		0
Unamortized premium	(189)	(440)
Amortized cost		0
Gross unrealized gain		0
Gross unrealized loss		0
Fair value		0
Total as of December 31, 2021	798	1,275
Notional balance for interest only securities	8,635,666	9,319,520
Non-Agency MBS | Fair Value Option
MBS designated as AFS:
Unamortized premium (discount)		0
MBS measured at fair value through net income:
Unamortized premium		$ 0
Agency Securities
MBS measured at fair value through net income:
Notional balance for interest only securities	10,189,497
Agency Securities | Fair Value Option
MBS measured at fair value through net income:
Notional balance for interest only securities	$ 441,217

Mortgage-Backed Securities - Re

Mortgage-Backed Securities - Realize Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Investments [Line Items]
Proceeds Received	$ 325,282	$ 4,642,305	$ 1,033,066
Realized Gain (Loss)	6,705	308,084	(5,755)
Agency MBS | Agency RMBS-designated as AFS
Investments [Line Items]
Proceeds Received	287,409	2,395,032	796,699
Realized Gain (Loss)	3,938	82,689	506
Agency MBS | Agency CMBS-designated as AFS
Investments [Line Items]
Proceeds Received	37,873	2,247,273	213,199
Realized Gain (Loss)	2,767	225,395	(6,493)
Agency MBS | Agency CMBS IO -designated as AFS
Investments [Line Items]
Proceeds Received	0	0	23,168
Realized Gain (Loss)	$ 0	$ 0	$ 232

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Losses (Details)	Dec. 31, 2021USD ($)plantiff	Dec. 31, 2020USD ($)plantiff
Investments [Line Items]
Allowance for credit loss	$ 0
Agency MBS
Investments [Line Items]
Fair value, Less than 12 Months	1,051,233,000	$ 19,266,000
Gross Unrealized Losses, Less than 12 Month	$ (20,118,000)	$ (399,000)
Number of Securities, Less than 12 Months | plantiff	23	19
Fair value, 12 Months or Longer	$ 0	$ 749,000
Gross Unrealized Losses, 12 Months or Longer	$ 0	$ (133,000)
Number of Securities, 12 Months or Longer	0	2
Non-Agency MBS
Investments [Line Items]
Fair value, Less than 12 Months	$ 11,667,000	$ 33,417,000
Gross Unrealized Losses, Less than 12 Month	$ (247,000)	$ (408,000)
Number of Securities, Less than 12 Months	14	23
Fair value, 12 Months or Longer	$ 1,241,000	$ 2,156,000
Gross Unrealized Losses, 12 Months or Longer	$ (97,000)	$ (93,000)
Number of Securities, 12 Months or Longer | plantiff	6	5

Mortgage Loans Held for Inves_2

Mortgage Loans Held for Investment (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unrealized (loss) gain on investments, net	$ (14,814)	$ 20	$ (56)
Mortgage loans held for investment, amortized cost	4,488	6,613
Variable Interest Entity, Primary Beneficiary, Maximum Loss Exposure, Amount	4,261
Loans and Finance Receivables
Accounts, Notes, Loans and Financing Receivable [Line Items]
Unrealized (loss) gain on investments, net	$ 131	$ (253)

Repurchase Agreements (Details)

Repurchase Agreements (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 2,849,916	$ 2,437,163
Weighted Average Rate	0.23%	0.34%
Fair Value of Collateral Pledged	$ 3,011,319	$ 2,609,075
Amortized cost of securities sold but unsettled		141,215
Receivable for securities pending settlement	2,771	150,432
Repurchase agreement amount for which securities sold but unsettled as of reporting date are pledged as collateral.		140,612
Agency RMBS-designated as AFS | Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 2,408,126	$ 1,874,176
Weighted Average Rate	0.17%	0.23%
Fair Value of Collateral Pledged	$ 2,536,094	$ 1,973,608	[1]
Agency CMBS-designated as AFS | Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 176,268	$ 237,649
Weighted Average Rate	0.14%	0.23%
Fair Value of Collateral Pledged	$ 184,847	$ 255,741
Agency CMBS IO -designated as AFS | Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 180,912	$ 209,393
Weighted Average Rate	0.68%	0.90%
Fair Value of Collateral Pledged	$ 192,481	$ 243,042
Agency CMBS IO -designated as AFS | Non-Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 84,610	$ 115,945
Weighted Average Rate	0.99%	1.28%
Fair Value of Collateral Pledged	$ 97,897	$ 136,684
[1]	The amounts for fair value of collateral pledged in the table above as of December 31, 2020 include securities with an amortized cost of $141,215 which were sold but not settled as of that date, and for which the proceeds of $150,432 are recorded within “receivable for securities pending settlement” on the consolidated balance sheet. These securities collateralized $140,612 of the Company’s repurchase agreement borrowings outstanding as of December 31, 2020.

Repurchase Agreements - Remaini

Repurchase Agreements - Remaining Term to Maturity (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 2,849,916	$ 2,437,163
Weighted Average Rate	0.23%	0.34%
WAVG Original Term to Maturity	198	44
Less than 30 days
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 602,994	$ 1,416,608
Weighted Average Rate	0.42%	0.37%
WAVG Original Term to Maturity	123	53
30 to 90 days
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 763,302	$ 845,394
Weighted Average Rate	0.14%	0.31%
WAVG Original Term to Maturity	166	35
91 to 180 days
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 1,075,324	$ 175,161
Weighted Average Rate	0.15%	0.22%
WAVG Original Term to Maturity	198	13
180 days to 1 year
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Balance	$ 408,296
Weighted Average Rate	0.30%
WAVG Original Term to Maturity	366

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Details) $ in Thousands	Dec. 31, 2021USD ($)counterparty
Disclosure of Repurchase Agreements [Abstract]
Number of counterparties | counterparty	22
Maximum borrowing capacity	$ 250,000
Line of credit outstanding	$ 87,152
Weighted average interest rate	0.87%

Repurchase Agreements - Offsett

Repurchase Agreements - Offsetting (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Offsetting [Abstract]
Gross Amount of Recognized Liabilities		$ 2,849,916	$ 2,437,163
Gross Amount Offset in the Balance Sheet		0	0
Net Amount of Liabilities Presented in the Balance Sheet		2,849,916	2,437,163
Financial Instruments Posted as Collateral	[1]	(2,849,916)	(2,437,163)
Cash Posted as Collateral		0	0
Net Amount		$ 0	$ 0
[1]	Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the repurchase agreement liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented.

Derivatives - Gain (loss) on De

Derivatives - Gain (loss) on Derivative Instruments , Net (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Derivative [Line Items]
Gain (loss) on derivative instruments, net	$ 81,417	$ (172,290)	$ (186,949)
Interest rate swaps
Derivative [Line Items]
Gain (loss) on derivative instruments, net	0	(182,942)	(202,450)
Interest rate swaptions
Derivative [Line Items]
Gain (loss) on derivative instruments, net	40,330	680	(5,607)
U.S. Treasury futures
Derivative [Line Items]
Gain (loss) on derivative instruments, net	61,215	(15,046)	2,250
Options on U.S. Treasury futures
Derivative [Line Items]
Gain (loss) on derivative instruments, net	(2,141)	(26,186)	(1,422)
Long position | TBA securities
Derivative [Line Items]
Gain (loss) on derivative instruments, net	(17,987)	61,245	20,020
Short position | TBA securities
Derivative [Line Items]
Gain (loss) on derivative instruments, net	$ 0	$ (10,041)	$ 260

Derivatives - Derivative Inform

Derivatives - Derivative Information about Carrying Value by Type on the Balance Sheet Location (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Total derivatives assets	$ 7,969	$ 11,342
Total derivatives liabilities	(2,471)	(1,009)
Options on U.S. Treasury futures
Derivative [Line Items]
Total derivatives assets		1,094
Options on U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge
Derivative [Line Items]
Total derivatives assets	0	1,094
Interest rate swaptions
Derivative [Line Items]
Total derivatives assets		1,253
Interest rate swaptions | Not Designated as Hedging Instrument, Economic Hedge
Derivative [Line Items]
Total derivatives assets	3,202	1,360
Total derivatives liabilities	0	(107)
TBA securities | Not Designated as Hedging Instrument, Trading | Long position
Derivative [Line Items]
Total derivatives assets	4,767	8,888
U.S. Treasury futures | Short position
Derivative [Line Items]
Total derivatives liabilities		(902)
U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge | Short position
Derivative [Line Items]
Total derivatives liabilities	$ (2,471)	$ (902)

Derivatives - Schedule of Inter

Derivatives - Schedule of Interest Rate Swaptions (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Fair Value	$ 7,969	$ 11,342
Interest rate swaptions
Derivative [Line Items]
Cost		13,000
Fair Value		1,253
Notional Amount		$ 1,250,000
Average Fixed Pay Rate		1.07%
Interest rate swaptions | Not Designated as Hedging Instrument, Economic Hedge
Derivative [Line Items]
Fair Value	3,202	$ 1,360
Interest rate swaptions | 6-9 months
Derivative [Line Items]
Fair Value	3,202	92
Interest rate swaptions | 6-9 months | Not Designated as Hedging Instrument, Economic Hedge
Derivative [Line Items]
Cost	9,375	6,688
Notional Amount	$ 500,000	$ 500,000
Average Fixed Pay Rate	1.60%	1.16%
Average Term in Years	10 years
Interest rate swaptions | 6 months or less
Derivative [Line Items]
Fair Value		$ 1,161
Interest rate swaptions | 6 months or less | Not Designated as Hedging Instrument, Economic Hedge
Derivative [Line Items]
Cost		6,312
Notional Amount		$ 750,000
Average Fixed Pay Rate		1.02%
Average Term in Years	10 years

Derivatives - Schedule of Futur

Derivatives - Schedule of Futures and Options (Details) - USD ($) $ in Thousands	Dec. 31, 2019	Sep. 30, 2021	Dec. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Total derivatives assets			$ 7,969	$ 11,342
Derivative liability, at fair value			(2,471)	(1,009)
Options on U.S. Treasury futures
Derivative [Line Items]
Total derivatives assets				1,094
Options on U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge
Derivative [Line Items]
Notional Amount			0	500,000
Total derivatives assets			$ 0	1,094
Average Term to Expiration	1 month
U.S. Treasury futures | Short position
Derivative [Line Items]
Derivative liability, at fair value				(902)
U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge | Short position
Derivative [Line Items]
Average Term to Expiration		2 months	3 months
Derivative liability, notional amount			$ (3,890,000)	(825,000)
Derivative liability, at fair value			$ (2,471)	$ (902)

Derivatives - Schedule of Long

Derivatives - Schedule of Long Positions in TBA (Details) - TBA securities - Not Designated as Hedging Instrument, Trading - Long position - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Derivative [Line Items]
Implied market value, TBA	[1]	$ 1,531,188	$ 1,572,949
Implied cost basis, TBA	[2]	1,526,421	1,564,061
Derivative, Fair Value, Net	[3]	$ 4,767	$ 8,888
[1]	Implied market value represents the estimated fair value of the underlying Agency MBS as of the date indicated
[2]	Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the date indicated.
[3]	Net carrying value is the amount included on the consolidated balance sheets within “derivative assets (liabilities)” and represents the difference between the implied market value and the implied cost basis of the TBA security as of the date indicated.

Derivatives Volume of Activity

Derivatives Volume of Activity (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaptions
Derivative [Line Items]
Derivative, Notional Amount	$ (500,000)	$ (1,250,000)
Additions	(500,000)
Settlements, Terminations, or Pair-Offs	(1,250,000)
Not Designated as Hedging Instrument, Economic Hedge | U.S. Treasury futures | Short position
Derivative [Line Items]
Derivative, Notional Amount	(3,890,000)	(825,000)
Additions	(15,880,000)
Settlements, Terminations, or Pair-Offs	(12,815,000)
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures | Long position
Derivative [Line Items]
Derivative, Notional Amount	0	(500,000)
Additions	(2,350,000)
Settlements, Terminations, or Pair-Offs	(2,850,000)
Not Designated as Hedging Instrument, Trading | TBA securities | Long position
Derivative [Line Items]
Derivative, Notional Amount	(1,530,000)	$ (1,515,000)
Additions	(22,920,000)
Settlements, Terminations, or Pair-Offs	$ (22,905,000)

Derivatives Offsetting Assets (

Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands		Dec. 31, 2021		Dec. 31, 2020
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets		$ 7,969		$ 11,342
Gross Amount Offset in the Balance Sheet		0		0
Net Amount of Assets Presented in the Balance Sheet		7,969		11,342
Financial Instruments Received as Collateral		0		(107)	[1]
Cash collateral posted by counterparties	[1]	1,834		7,681
Net Amount		6,135		3,554
Options on U.S. Treasury futures
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets				1,094
Gross Amount Offset in the Balance Sheet				0
Net Amount of Assets Presented in the Balance Sheet				1,094
Financial Instruments Received as Collateral				0
Cash collateral posted by counterparties				0
Net Amount				1,094
Interest rate swaptions
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets		3,202		1,360
Gross Amount Offset in the Balance Sheet		0		0
Net Amount of Assets Presented in the Balance Sheet		3,202		1,360
Financial Instruments Received as Collateral		0		(107)	[1]
Cash collateral posted by counterparties		481	[1]	0
Net Amount		2,721		1,253
Long position | TBA securities
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets		4,767		8,888
Gross Amount Offset in the Balance Sheet		0		0
Net Amount of Assets Presented in the Balance Sheet		4,767		8,888
Financial Instruments Received as Collateral		0		0	[1]
Cash collateral posted by counterparties		1,353		7,681	[1]
Net Amount		$ 3,414		$ 1,207
[1]	Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”

Derivatives Offsetting Liabilit

Derivatives Offsetting Liabilities (Details) - USD ($) $ in Thousands		Dec. 31, 2021	Dec. 31, 2020
Offsetting Liabilities [Line Items]
Gross Amount of Recognized Liabilities		$ (2,471)	$ (1,009)
Gross Amount Offset in the Balance Sheet		0	0
Net Amount of Liabilities Presented in the Balance Sheet		2,471	1,009
Financial Instruments Posted as Collateral		0	107	[1]
Cash Posted as Collateral	[1]	0	0
Net Amount		2,471	902
U.S. Treasury futures | Short position
Offsetting Liabilities [Line Items]
Gross Amount of Recognized Liabilities		2,471	(902)
Gross Amount Offset in the Balance Sheet		0	0
Net Amount of Liabilities Presented in the Balance Sheet		(2,471)	902
Financial Instruments Posted as Collateral		0	0
Cash Posted as Collateral		0	0	[1]
Net Amount		$ (2,471)	902
Interest rate swaptions
Offsetting Liabilities [Line Items]
Gross Amount of Recognized Liabilities			(107)
Gross Amount Offset in the Balance Sheet			0
Net Amount of Liabilities Presented in the Balance Sheet			107
Financial Instruments Posted as Collateral	[1]		107
Cash Posted as Collateral			0
Net Amount			$ 0
[1]	Amounts disclosed for collateral received by or posted to the same counterparty include cash and the fair value of MBS up to and not exceeding the net amount of the derivative asset or liability presented in the balance sheet. The fair value of the total collateral received by or posted to the same counterparty may exceed the amounts presented. Please refer to the consolidated balance sheets for the total fair value of financial instruments pledged as collateral for derivatives and repurchase agreements, which is shown parenthetically, and the total cash pledged or received as collateral which is disclosed in “cash collateral posted to/by counterparties.”

Fair Value of Financial Instr_3

Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands	Dec. 31, 2021	Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	$ 7,969	$ 11,342
Net Amount of Liabilities Presented in the Balance Sheet	2,471	1,009
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	3,181,839	2,596,255
Mortgage loans held for investment, at fair value	4,268	6,264
Total assets carried at fair value	3,194,076	2,613,861
Total liabilities carried at fair value	2,471	1,009
Fair Value, Measurements, Recurring | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	0	0
Mortgage loans held for investment, at fair value	0	0
Total assets carried at fair value	0	1,094
Total liabilities carried at fair value	2,471	902
Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	3,181,041	2,594,980
Mortgage loans held for investment, at fair value	0	0
Total assets carried at fair value	3,189,010	2,605,228
Total liabilities carried at fair value	0	107
Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	798	1,275
Mortgage loans held for investment, at fair value	4,268	6,264
Total assets carried at fair value	5,066	7,539
Total liabilities carried at fair value	0	0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	1,094
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	1,094
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | Options on U.S. Treasury futures | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | Interest rate swaptions
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	3,202	1,360
Net Amount of Liabilities Presented in the Balance Sheet	0	107
Fair Value, Measurements, Recurring | Interest rate swaptions | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	0
Net Amount of Liabilities Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | Interest rate swaptions | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	3,202	1,360
Net Amount of Liabilities Presented in the Balance Sheet	0	107
Fair Value, Measurements, Recurring | Interest rate swaptions | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	0
Net Amount of Liabilities Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | U.S. Treasury futures
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Liabilities Presented in the Balance Sheet	2,471	902
Fair Value, Measurements, Recurring | U.S. Treasury futures | Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Liabilities Presented in the Balance Sheet	2,471	902
Fair Value, Measurements, Recurring | U.S. Treasury futures | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Liabilities Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | U.S. Treasury futures | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Liabilities Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | TBA securities | Long position
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	4,767	8,888
Fair Value, Measurements, Recurring | TBA securities | Level 1 | Long position
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	0	0
Fair Value, Measurements, Recurring | TBA securities | Level 2 | Long position
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	4,767	8,888
Fair Value, Measurements, Recurring | TBA securities | Level 3 | Long position
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	$ 0	$ 0

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Narrative (Details)	Dec. 31, 2021
Measurement Input, Prepayment Rate
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement Input	0.10
AFS, Measurement Input	0.10
Measurement Input, Default Rate
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement Input	0.02
AFS, Measurement Input	0.02
Measurement Input, Loss Severity
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement Input	0.20
AFS, Measurement Input	0.20
Measurement Input, Discount Rate
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Measurement Input	0.070
AFS, Measurement Input	0.070

Fair Value of Financial Instr_5

Fair Value of Financial Instruments Level 3 (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2021USD ($)
Non-Agency MBS
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at the beginning of the period	$ 1,275
Change in fair value	195	[1]
Principal payments	(533)
Balance at the end of the period	798
Non-Agency MBS | Accretion (amortization)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Accretion (amortization)	251
Loans Receivable
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at the beginning of the period	6,264
Change in fair value	(131)	[1]
Principal payments	(2,101)
Balance at the end of the period	4,268
Loans Receivable | Accretion (amortization)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Accretion (amortization)	$ (26)
[1]	Change in fair value for mortgage loans is recorded within “unrealized gain (loss) on investments, net” in net income and change in fair value for other non-Agency MBS is recorded as unrealized gain (loss) in “other comprehensive income.”

Shareholders' Equity - Narrativ

Shareholders' Equity - Narrative (Details) - USD ($) $ / shares in Units, $ in Thousands	Feb. 15, 2021	Dec. 31, 2021	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Class of Stock [Line Items]
Preferred stock, shares authorized (in shares)		50,000,000	50,000,000	50,000,000
Preferred stock, shares outstanding (in shares)		4,460,000	4,460,000	7,248,330
Preferred stock redemption charge			$ 2,987	$ 3,914	$ 0
Stock issuance costs			329	0	185
Share-based compensation expense			$ 2,516	$ 1,823	$ 1,205
ATM Offering
Class of Stock [Line Items]
Number of shares issued in transaction (in shares)		730,499	5,784,947
Consideration received on transaction		$ 12,780	$ 108,980
Stock issuance costs		$ 162	$ 1,380
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, shares authorized (in shares)		6,600,000	6,600,000
Preferred stock, shares outstanding (in shares)		4,460,000	4,460,000
Liquidation preference per share (in dollars per share)		$ 25	$ 25
Dividend rate, percent			6.90%
Dividends declared (in dollars per share)		$ 0.43125
Series C Preferred Stock | London Interbank Offered Rate (LIBOR)
Class of Stock [Line Items]
Dividend payment rate, basis spread on variable rate			5.461%
Series B Preferred Stock
Class of Stock [Line Items]
Liquidation preference per share (in dollars per share)	$ 25
Dividend rate, percent	7.625%
Stock redeemed in period (in shares)	2,788,330
Redemption price per share (in dollars per share)	$ 25.15
Preferred stock redemption charge			$ 2,987

Shareholders' Equity and Shar_3

Shareholders' Equity and Share-Based Compensation Share-based Compensation (Details) - $ / shares	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Restricted Stock
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward]
Awards outstanding, beginning of period (in shares)	281,761	119,213	113,904
Granted (in shares)	40,027	240,293	68,004
Vested (in shares)	(123,984)	(77,113)	(62,695)
Forfeited (in shares)		(632)
Awards outstanding, end of period (in shares)	197,804	281,761	119,213
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract]
Awards outstanding, beginning of period (in dollars per share)	$ 14.74	$ 18.56	$ 19.19
Granted (in dollars per share)	19.02	13.88	18.09
Vested (in dollars per share)	15.28	17.94	19.20
Forfeited (in dollars per share)		17.10
Awards outstanding, end of period (in dollars per share)	$ 15.27	$ 14.74	$ 18.56
RSUs
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward]
Awards outstanding, beginning of period (in shares)	0	0	0
Granted (in shares)	55,019	0	0
Vested (in shares)	0	0	0
Forfeited (in shares)		0
Awards outstanding, end of period (in shares)	55,019	0	0
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract]
Awards outstanding, beginning of period (in dollars per share)	$ 0	$ 0	$ 0
Granted (in dollars per share)	19.40	0	0
Vested (in dollars per share)	0	0	0
Forfeited (in dollars per share)		0
Awards outstanding, end of period (in dollars per share)	$ 19.40	$ 0	$ 0
PSUs
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Rollforward]
Awards outstanding, beginning of period (in shares)	0	0	0
Granted (in shares)	110,040	0	0
Vested (in shares)	0	0	0
Forfeited (in shares)		0
Awards outstanding, end of period (in shares)	110,040	0	0
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract]
Awards outstanding, beginning of period (in dollars per share)	$ 0	$ 0	$ 0
Granted (in dollars per share)	19.40	0	0
Vested (in dollars per share)	0	0	0
Forfeited (in dollars per share)		0
Awards outstanding, end of period (in dollars per share)	$ 19.40	$ 0	$ 0

Shareholders' Equity and Shar_4

Shareholders' Equity and Share-Based Compensation - Schedule of Remaining Unvested Awards (Details) $ in Thousands	12 Months Ended
	Dec. 31, 2021USD ($)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 4,175
WAVG Period of Recognition (in Years)	1 year 8 months 12 days
Restricted Stock
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 1,712
WAVG Period of Recognition (in Years)	1 year 3 months 18 days
RSUs
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 841
WAVG Period of Recognition (in Years)	2 years 3 months 18 days
PSUs
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 1,622
WAVG Period of Recognition (in Years)	2 years

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2021	Dec. 31, 2020	Dec. 31, 2019
Income Tax Disclosure [Abstract]
REIT taxable income	$ 14,884	$ 77,492	$ 23,334
Operating loss carryforwards	$ 17,353