Dynex Capital (DX) 10-Q 31 Oct 22 2022 Q3 Quarterly report Financial data

Document and Entity Information

Document and Entity Information Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2022	Oct. 28, 2022
Document Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2022
Document Transition Report	false
Entity File Number	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 Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		46,350,130
Entity Central Index Key	0000826675
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2022
Document Fiscal Period Focus	Q3
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

Consolidated Balance Sheets

Consolidated Balance Sheets - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets [Abstract]
Cash and cash equivalents	$ 260,385	$ 366,023
Cash collateral posted to counterparties	246,168	55,284
Mortgage-backed securities (including pledged of $2,903,659 and $3,011,319, respectively), at fair value	3,150,306	3,181,839
Mortgage loans held for investment, at fair value	3,073	4,268
Due from counterparties	352,310	2,771
Derivative assets	13,865	7,969
Accrued interest receivable	16,090	14,184
Other assets, net	7,368	7,400
Total assets	4,049,565	3,639,738
Liabilities:
Repurchase agreements	3,009,269	2,849,916
Due to counterparties	147,925	2,471
Derivative liabilities	99,670	0
Cash collateral posted by counterparties	0	1,834
Accrued interest payable	4,909	1,365
Accrued dividends payable	8,151	6,541
Other liabilities	8,374	6,332
Total liabilities	3,278,298	2,868,459
Stockholders' Equity Attributable to Parent [Abstract]
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; 4,460,000 and 4,460,000 shares issued and outstanding, respectively ($111,500 and $111,500 aggregate liquidation preference, respectively)	107,843	107,843
Common stock, par value $0.01 per share, 90,000,000 shares authorized; 46,350,130 and 36,665,805 shares issued and outstanding, respectively	463	367
Additional paid-in capital	1,264,831	1,107,792
Accumulated other comprehensive (loss) income	(196,629)	6,729
Accumulated deficit	(405,241)	(451,452)
Total shareholders’ equity	771,267	771,279
Total liabilities and shareholders’ equity	$ 4,049,565	$ 3,639,738

Consolidated Balance Sheets (Pa

Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Mortgage-backed securities (including pledged of $2,903,659 and $3,011,319, respectively), at fair value	$ 3,150,306	$ 3,181,839
Preferred Stock, Par or Stated Value Per Share	$ 0.01	$ 0.01
Preferred stock, Shares Authorized (in shares)	50,000,000	50,000,000
Preferred Stock, Shares Outstanding (in shares)	4,460,000	4,460,000
Preferred Stock, Shares Issued	4,460,000	4,460,000
Preferred Stock, Liquidation Preference, Value	$ 111,500	$ 111,500
Common 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	46,350,130	36,665,805
Common Stock, Shares, Outstanding	46,350,130	36,665,805
Asset Pledged as Collateral without Right
Mortgage-backed securities (including pledged of $2,903,659 and $3,011,319, respectively), at fair value	$ 2,903,659	$ 3,011,319

Consolidated Statements of Comp

Consolidated Statements of Comprehensive Income - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Interest income	$ 20,404	$ 15,714	$ 56,167	$ 43,000
Interest expense	(13,282)	(1,320)	(19,292)	(4,228)
Net interest income	7,122	14,394	36,875	38,772
Realized (loss) gain on sale of investments, net	(70,967)	0	(89,517)	6,705
Unrealized loss on investments, net	(69,197)	(3,085)	(245,551)	(2,981)
Gain on derivative instruments, net	96,947	9,603	423,570	64,463
Other operating expenses, net	(433)	(330)	(1,049)	(1,033)
Noninterest Expense [Abstract]
Compensation and benefits	(6,104)	(2,977)	(12,972)	(9,306)
Other general and administrative	(4,042)	(3,572)	(11,484)	(8,417)
Net income	(46,674)	14,033	99,872	88,203
Preferred stock dividends	(1,923)	(1,923)	(5,770)	(6,405)
Preferred stock redemption charge	0	0	0	(2,987)
Net (loss) income to common shareholders	(48,597)	12,110	94,102	78,811
Other comprehensive income:
Unrealized loss on available-for-sale investments, net	(65,133)	(9,139)	(217,383)	(53,320)
Reclassification adjustment for realized loss (gain) on available-for-sale investments, net	14,025	0	14,025	(6,705)
Total other comprehensive loss	(51,108)	(9,139)	(203,358)	(60,025)
Comprehensive (loss) income to common shareholders	$ (99,705)	$ 2,971	$ (109,256)	$ 18,786
Weighted average common shares-basic (in shares)	45,347,852	34,924,449	40,452,740	31,258,711
Weighted average common shares-diluted (in shares)	45,347,852	35,089,508	40,740,690	31,423,770
Net income (loss) per common share-basic (in dollars per share)	$ (1.07)	$ 0.35	$ 2.33	$ 2.52
Net income (loss) per common share-diluted (in dollars per share)	(1.07)	0.35	2.31	2.51
Common Stock, Dividends, Per Share, Declared	$ 0.39	$ 0.39	$ 1.17	$ 1.17

Consolidated Statements of Shar

Consolidated Statements of Shareholders' Equity Statement - USD ($) $ in Thousands	Total	Preferred Stock	Preferred Stock Including Additional Paid in Capital	Common Stock	Additional Paid-in Capital	Accumulated Other Comprehensive Income (Loss)	Accumulated Deficit
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2020		7,248,330
Balance, Common shares outstanding at Dec. 31, 2020				23,697,970
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				7,187,500
Redemption of preferred stock (in shares)		(2,788,330)
Restricted stock granted, net of amortization	$ (69,708)		$ (66,721)
Restricted stock granted, net of amortization				16,722
Adjustments for tax withholding on share based compensation (in shares)				(22,623)
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2021		4,460,000
Balance, Common shares outstanding at Mar. 31, 2021				30,879,569
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	128,150			72	128,078
Preferred stock redemption charge							(2,987)
Restricted stock granted, net of amortization	451			0	451
Adjustments for tax withholding on share-based compensation	(428)				(428)
Stock issuance costs	(270)				(270)
Net Income (Loss)	117,929						117,929
Dividends on preferred stock	(2,559)						(2,559)
Dividends on common stock	(10,586)						(10,586)
Other comprehensive income (loss)	(65,156)					(65,156)
Balance at Mar. 31, 2021	731,276		107,843	$ 309	997,326	15,105	(389,307)
Balance, Preferred shares outstanding (in shares) at Dec. 31, 2020		7,248,330
Balance, Common shares outstanding at Dec. 31, 2020				23,697,970
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2021		4,460,000
Balance, Common shares outstanding at Sep. 30, 2021				35,935,306
Balance at Dec. 31, 2020	633,453		174,564	$ 237	869,495	80,261	(491,104)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred stock redemption charge	(2,987)
Other comprehensive income (loss)	(60,025)
Balance at Sep. 30, 2021	773,511		107,843	$ 359	1,094,296	20,236	(449,223)
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2021		4,460,000
Balance, Common shares outstanding at Mar. 31, 2021				30,879,569
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				3,463,708
Restricted stock granted, net of amortization				23,305
Adjustments for tax withholding on share based compensation (in shares)				(22,016)
Balance, Preferred shares outstanding (in shares) at Jun. 30, 2021		4,460,000
Balance, Common shares outstanding at Jun. 30, 2021				34,344,566
Balance at Mar. 31, 2021	731,276		107,843	$ 309	997,326	15,105	(389,307)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance	68,302			34	68,268
Restricted stock granted, net of amortization	444			0	444
Other share-based compensation, net of amortization	100				100
Adjustments for tax withholding on share-based compensation	(425)				(425)
Stock issuance costs	(43)				(43)
Net Income (Loss)	(43,759)						(43,759)
Dividends on preferred stock	(1,923)						(1,923)
Dividends on common stock	(12,613)						(12,613)
Other comprehensive income (loss)	14,270					14,270
Balance at Jun. 30, 2021	755,629		107,843	$ 343	1,065,670	29,375	(447,602)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				1,590,740
Restricted stock granted, net of amortization				0
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2021		4,460,000
Balance, Common shares outstanding at Sep. 30, 2021				35,935,306
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance	27,898			$ 16	27,882
Preferred stock redemption charge	0
Restricted stock granted, net of amortization	460			0	460
Other share-based compensation, net of amortization	300				300
Stock issuance costs	(16)				(16)
Net Income (Loss)	14,033						14,033
Dividends on preferred stock	(1,923)						(1,923)
Dividends on common stock	(13,731)						(13,731)
Other comprehensive income (loss)	(9,139)					(9,139)
Balance at Sep. 30, 2021	$ 773,511		107,843	$ 359	1,094,296	20,236	(449,223)
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
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				267,288
Restricted stock granted, net of amortization				40,196
Adjustments for tax withholding on share based compensation (in shares)				(15,407)
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2022		4,460,000
Balance, Common shares outstanding at Mar. 31, 2022				36,957,882
Balance at Dec. 31, 2021	$ 771,279		107,843	$ 367	1,107,792	6,729	(451,452)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance	4,245			$ 3	4,242
Restricted stock granted, net of amortization	451				451
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period				0
Other share-based compensation, net of amortization	395				395
Adjustments for tax withholding on share-based compensation	(236)				(236)
Stock issuance costs	(16)				(16)
Net Income (Loss)	117,209						117,209
Dividends on preferred stock	(1,923)						(1,923)
Dividends on common stock	(14,431)						(14,431)
Other comprehensive income (loss)	(91,340)					(91,340)
Balance at Mar. 31, 2022	$ 785,633		107,843	$ 370	1,112,628	(84,611)	(350,597)
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, Preferred shares outstanding (in shares) at Sep. 30, 2022	4,460,000	4,460,000
Balance, Common shares outstanding at Sep. 30, 2022	46,350,130			46,350,130
Balance at Dec. 31, 2021	$ 771,279		107,843	$ 367	1,107,792	6,729	(451,452)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred stock redemption charge	0
Other comprehensive income (loss)	(203,358)
Balance at Sep. 30, 2022	771,267		107,843	$ 463	1,264,831	(196,629)	(405,241)
Balance, Preferred shares outstanding (in shares) at Mar. 31, 2022		4,460,000
Balance, Common shares outstanding at Mar. 31, 2022				36,957,882
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				6,539,485
Restricted stock granted, net of amortization				31,020
Adjustments for tax withholding on share based compensation (in shares)				(30,246)
Balance, Preferred shares outstanding (in shares) at Jun. 30, 2022		4,460,000
Balance, Common shares outstanding at Jun. 30, 2022				43,517,234
Balance at Mar. 31, 2022	785,633		107,843	$ 370	1,112,628	(84,611)	(350,597)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance	105,199			$ 65	105,134
Restricted stock granted, net of amortization	440				440
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period				19,093
Other share-based compensation, net of amortization	601				601
Adjustments for tax withholding on share-based compensation	(489)				(489)
Stock issuance costs	(16)				(16)
Net Income (Loss)	29,336						29,336
Dividends on preferred stock	(1,923)						(1,923)
Dividends on common stock	(15,505)						(15,505)
Other comprehensive income (loss)	(60,910)					(60,910)
Balance at Jun. 30, 2022	$ 842,366		107,843	$ 435	1,218,298	(145,521)	(338,689)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance, shares				2,786,877
Restricted stock granted, net of amortization				0
Adjustments for tax withholding on share based compensation (in shares)				(53,278)
Balance, Preferred shares outstanding (in shares) at Sep. 30, 2022	4,460,000	4,460,000
Balance, Common shares outstanding at Sep. 30, 2022	46,350,130			46,350,130
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Stock issuance	$ 45,039			$ 28	45,011
Preferred stock redemption charge	0
Restricted stock granted, net of amortization	604				604
Shares Issued, Value, Share-Based Payment Arrangement, before Forfeiture				$ 1
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period				99,297
Other share-based compensation, net of amortization	1,555				1,554
Adjustments for tax withholding on share-based compensation	(621)			$ (1)	(620)
Stock issuance costs	(16)				(16)
Net Income (Loss)	(46,674)						(46,674)
Dividends on preferred stock	(1,923)						(1,923)
Dividends on common stock	(17,955)						(17,955)
Other comprehensive income (loss)	(51,108)					(51,108)
Balance at Sep. 30, 2022	$ 771,267		$ 107,843	$ 463	$ 1,264,831	$ (196,629)	$ (405,241)

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021
Operating activities:
Net income	$ 99,872	$ 88,203
Adjustments to reconcile net income to cash provided by operating activities:
Realized loss (gain) on sale of investments, net	89,517	(6,705)
Unrealized loss on investments, net	245,551	2,981
Gain on derivative instruments, net	(423,570)	(64,463)
Amortization of investment premiums, net	77,403	90,082
Other amortization and depreciation, net	1,709	1,726
Share-based compensation expense	4,031	1,755
(Increase) decrease in accrued interest receivable	(1,906)	636
Increase (decrease) in accrued interest payable	3,544	(771)
Change in other assets and liabilities, net	127	(4,718)
Net cash provided by operating activities	96,278	108,726
Investing activities:
Purchase of investments	(1,537,663)	(1,054,928)
Principal payments received on available-for-sale investments	195,855	305,864
Principal payments received on trading securities held for investment	87,136	15,398
Proceeds from sales of available-for-sale investments	0	474,908
Proceeds from sales of trading securities held for investment	327,700	0
Principal payments received on mortgage loans held for investment	1,163	1,629
Net receipts on derivatives, including terminations	656,172	22,082
Increase in cash collateral posted by counterparties	(1,834)	14,951
Net cash used in investing activities	(271,471)	(220,096)
Financing activities:
Borrowings under repurchase agreements	12,735,123	11,010,378
Repayments of repurchase agreement borrowings	(12,575,770)	(10,920,476)
Principal payments on non-recourse collateralized financing	0	(118)
Proceeds from issuance of common stock	154,483	224,350
Cash paid for redemption of preferred stock	0	(69,708)
Cash paid for stock issuance costs	0	(329)
Payments related to tax withholding for share-based compensation	(1,346)	(853)
Dividends paid	(52,051)	(42,799)
Net cash provided by financing activities	260,439	200,445
Net increase in cash including cash posted to counterparties	85,246	89,075
Cash including cash posted to counterparties at beginning of period	421,307	310,360
Cash including cash posted to counterparties at end of period	506,553	399,435
Supplemental Disclosure of Cash Activity:
Cash paid for interest	$ 15,748	$ 4,992

Organization and Summary of Sig

Organization and Summary of Significant Accounting Policies (Notes)	9 Months Ended
	Sep. 30, 2022
Accounting Policies [Abstract]
Organization and Summary of Significant Accounting Policies	ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Organization Dynex Capital, Inc. (the “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 unaudited consolidated financial statements of the Company and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals, considered necessary for a fair presentation of the consolidated financial statements have been included. Operating results for the three months ended September 30, 2022 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2022. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021 (the “2021 Form 10-K”) filed with 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, including TBA securities accounted for as derivative instruments. 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 September 30, 2022. Reclassifications The margin deficit of $2,471 related to the Company’s U.S. Treasury futures was reclassified from “derivative liabilities” to “due to counterparties” on the Company’s consolidated balance sheet as of December 31, 2021. 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 The Company has elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986 (the “Tax Code”) 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. 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 RSUs and PSUs accrue forfeitable dividend equivalent rights over the period outstanding, receiving dividend payments only upon the settlement date if the requisite service-based and performance-based conditions have been achieved, as applicable. As such, 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”). 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 or unit becomes one unrestricted share of common stock and is included in the computation of basic net income per common share. 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 and Cash Equivalents Cash includes unrestricted demand deposits at highly rated financial institutions and highly liquid investments with original maturities of three months or less. 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 margin requirements related to the Company’s financing and derivative instruments. If the amount pledged to a counterparty exceeds the amount received from a counterparty, the net amount is recorded as an asset within “cash collateral posted to counterparties”, and if the amount received from a counterparty exceeds the amount pledged to a counterparty, the net amount is recorded as a liability within “cash collateral posted by counterparties” on the Company’s consolidated balance sheets. The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the Company's consolidated balance sheet as of September 30, 2022, that sum to the total of the same such amounts shown on the Company’s consolidated statement of cash flows for the three months ended September 30, 2022: September 30, 2022 Cash and cash equivalents $ 260,385 Cash collateral posted to counterparties 246,168 Total cash including cash posted to counterparties shown on consolidated statement of cash flows $ 506,553 Mortgage-Backed Securities The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. Changes in fair value of 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 (“FVO”) 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 within OCI or net income is reclassified to “realized gain (loss) on sale of investments, net” within net income using the specific identification method. Management elected the FVO 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, for which the Company does not apply 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 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 received from external sources and internal models and may 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 6 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 The Company’s derivative instruments include 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 accounted for at fair value, and changes in fair value, 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 margin requirement varies based on the market value of the open positions and the equity retained in the account. Any margin excess or deficit outstanding is recorded as a receivable or payable as of the date of the Company’s consolidated balance sheets. 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, which provide the Company the right, but not an obligation, to enter into an interest rate swap at a predetermined notional amount with a stated term and pay and receive rates in the future. Swaptions are valued based on exchange pricing without daily margin settlements. The Company may defer the premium payment until the effective date of the underlying interest rate swap agreement, recording a payable on its consolidated balance sheet. The premium payable and the fair value of the swaption are accounted for as a single unit of account. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If the swaption is exercised, the realized gain or loss on the swaption would be equal to the difference between the fair value of the underlying interest rate swap and the premium paid. 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 5 for additional information regarding the Company’s derivative instruments as well as Note 6 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 September 30, 2022, 1,235,143 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 Company performance-based and 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 (“DERs”) on forfeited units are reversed with a corresponding credit to “Compensation and benefits.” Please see Note 7 for additional information about the Company’s share-based compensation awards. Contingencies In the normal course of business, there may be lawsuits, claims, or other contingencies in which the Company is involved. On a quarterly basis, the Company evaluates whether to establish provisions for estimated losses from such 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 The Company evaluates Accounting Standards Updates issued by the Financial Accounting Standards Board 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 nine months ended September 30, 2022, 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	9 Months Ended
	Sep. 30, 2022
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 7 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: Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Weighted average number of common shares outstanding - basic 45,347,852 34,924,449 40,452,740 31,258,711 Incremental common shares-unsettled RSUs — 55,019 86,666 55,019 Incremental common shares-unsettled PSUs — 110,040 201,284 110,040 Weighted average number of common shares outstanding - diluted 45,347,852 35,089,508 40,740,690 31,423,770 Net (loss) income to common shareholders $ (48,597) $ 12,110 $ 94,102 $ 78,811 Net (loss) income per common share-basic $ (1.07) $ 0.35 $ 2.33 $ 2.52 Net (loss) income per common share-diluted $ (1.07) $ 0.35 $ 2.31 $ 2.51

Mortgage-Backed Securities

Mortgage-Backed Securities	9 Months Ended
	Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	MORTGAGE-BACKED SECURITIES The following tables provide details on the Company’s MBS by investment type as of the dates indicated: September 30, 2022 December 31, 2021 Current Face Amortized Cost Fair Value Current Face Amortized Cost Fair Value Agency RMBS $ 3,164,044 $ 3,211,908 $ 2,776,569 $ 2,639,747 $ 2,713,907 $ 2,686,775 Agency CMBS 137,067 137,987 130,384 174,899 177,211 184,847 CMBS IO (1) n/a 257,418 243,171 n/a 298,197 309,419 Non-Agency other 232 232 182 966 777 798 Total $ 3,301,343 $ 3,607,545 $ 3,150,306 $ 2,815,612 $ 3,190,092 $ 3,181,839 (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021. September 30, 2022 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value MBS measured at fair value through OCI: Agency RMBS $ 1,002,705 $ — $ (180,099) $ 822,606 Agency CMBS 122,678 — (6,171) 116,507 CMBS IO 211,112 288 (10,597) 200,803 Non-Agency other 232 — (50) 182 Total $ 1,336,727 $ 288 $ (196,917) $ 1,140,098 MBS measured at fair value through net income: Agency RMBS $ 2,209,203 $ — $ (255,240) $ 1,953,963 Agency CMBS 15,309 — (1,432) 13,877 CMBS IO 46,306 — (3,938) 42,368 Total $ 2,270,818 $ — $ (260,610) $ 2,010,208 December 31, 2021 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value MBS measured at fair value through OCI: Agency RMBS $ 1,232,738 $ 7,779 $ (19,994) $ 1,220,523 Agency CMBS 177,211 7,636 — 184,847 CMBS IO 276,354 11,713 (426) 287,641 Non-Agency other 777 63 (42) 798 Total $ 1,687,080 $ 27,191 $ (20,462) $ 1,693,809 MBS measured at fair value through net income: Agency RMBS $ 1,481,169 $ — $ (14,917) $ 1,466,252 CMBS IO 21,843 57 (122) 21,778 Total $ 1,503,012 $ 57 $ (15,039) $ 1,488,030 The majority of the Company’s MBS are pledged as collateral for the Company’s repurchase agreements, which are disclosed in Note 4 . 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 unrealized gains and losses on investments reported within net income on the Company’s consolidated statements of comprehensive income for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Agency RMBS $ (65,723) $ (3,101) $ (240,322) $ (3,080) Agency CMBS (1,432) — (1,432) — CMBS IO (2,033) (26) (3,874) (10) Mortgage loans held for investment and other assets (9) 42 77 109 Total unrealized (loss) gain on investments, net $ (69,197) $ (3,085) $ (245,551) $ (2,981) The following table presents information regarding realized gains and losses sales of investments reported in the Company’s consolidated statements of comprehensive income for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Realized gains on sales of MBS - AFS $ — $ — $ — $ 6,705 Realized losses on sales of MBS - AFS (14,025) — (14,025) — Realized gains on sales of MBS - FVO — — — — Realized losses on sales of MBS - FVO (56,942) — (75,492) — Total realized (loss) gain on sale of investments, net $ (70,967) $ — $ (89,517) $ 6,705 The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated: September 30, 2022 December 31, 2021 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 $ 362,885 $ (24,993) 81 $ 1,051,233 $ (20,118) 23 Non-Agency MBS 53,113 (2,120) 59 11,667 (247) 14 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 705,141 $ (169,259) 17 $ — $ — — Non-Agency MBS 6,207 (545) 13 1,241 (97) 6 The unrealized losses on the Company’s MBS designated as AFS were the result of declines in market prices and were not credit related; therefore, the Company’s allowance for credit losses on its MBS was $0 as of September 30, 2022 and December 31, 2021. 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.

Repurchase Agreements

Repurchase Agreements	9 Months Ended
	Sep. 30, 2022
Disclosure of Repurchase Agreements [Abstract]
Repurchase agreements	REPURCHASE AGREEMENTS The Company’s repurchase agreements outstanding as of September 30, 2022 and December 31, 2021 are summarized in the following tables: September 30, 2022 December 31, 2021 Collateral Type Balance Weighted Fair Value of Balance Weighted Fair Value of Agency RMBS $ 2,700,463 2.85 % $ 2,811,147 $ 2,408,126 0.17 % $ 2,536,094 Agency CMBS 109,855 3.21 % 115,523 176,268 0.14 % 184,847 Agency CMBS IO 144,321 3.30 % 158,094 180,912 0.68 % 192,481 Non-Agency CMBS IO 54,630 4.01 % 64,077 84,610 0.99 % 97,897 Total repurchase agreements $ 3,009,269 2.90 % $ 3,148,841 $ 2,849,916 0.23 % $ 3,011,319 The amounts for fair value of collateral pledged in the table above include $245,183 for securities sold but not settled as of September 30, 2022, and for which the sale proceeds to be received upon settlement are recorded within “due from counterparties” on the consolidated balance sheet. The Company also had $147,925 payable to counterparties for transactions pending settlement as of September 30, 2022. The Company had repurchase agreement borrowings outstanding with 25 different counterparties as of September 30, 2022, and its equity at risk did not exceed 5% 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: September 30, 2022 December 31, 2021 Remaining Term to Maturity Balance Weighted WAVG Original Term to Maturity Balance Weighted WAVG Original Term to Maturity Less than 30 days $ 963,976 2.86 % 63 $ 602,994 0.42 % 123 30 to 90 days 1,603,853 2.82 % 75 763,302 0.14 % 166 91 to 180 days 441,440 3.31 % 154 1,075,324 0.15 % 198 181 days to 1 year — — % — 408,296 0.30 % 366 Total $ 3,009,269 2.90 % 83 $ 2,849,916 0.23 % 198 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 September 30, 2022, the Company had $60,367 outstanding with this facility at a weighted average borrowing rate of 3.78%. 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 September 30, 2022. 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 September 30, 2022 and December 31, 2021: 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 September 30, 2022 Repurchase agreements $ 3,009,269 $ — $ 3,009,269 $ (3,009,269) $ — $ — December 31, 2021 Repurchase agreements $ 2,849,916 $ — $ 2,849,916 $ (2,849,916) $ — $ — (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 5

Derivatives

Derivatives	9 Months Ended
	Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives	DERIVATIVES Types and Uses of Derivatives Instruments Interest Rate Derivatives. As of September 30, 2022, the Company used short positions in U.S. Treasury futures and call options on U.S. Treasury futures 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 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. The table below provides detail of the Company’s “gain on derivative instruments, net” by type of derivative instrument for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, Type of Derivative Instrument 2022 2021 2022 2021 U.S. Treasury futures $ 281,827 $ 11,209 $ 721,236 $ 43,673 Interest rate swaptions (4,202) 3,985 47,738 42,686 Options on U.S. Treasury futures 630 (3,226) 630 (2,141) TBA securities (181,308) (2,365) (346,034) (19,755) Gain on derivative instruments, net $ 96,947 $ 9,603 $ 423,570 $ 64,463 The table above includes realized gains (losses) of $149,600 and $485,960 for the three and nine months ended September 30, 2022, compared to $(71,708) and $15,962 for the three and nine months ended September 30, 2021 on derivatives designated for tax purposes as hedges of interest rate risk. Though these realized gains (losses) are included in GAAP net income (loss), the majority of these gains are not included in REIT taxable income nor distributable as part of the Company’s dividends until amortized over the original periods hedged, though recognition may be accelerated if the underlying instrument originally hedged is terminated or paid off. The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated: Type of Derivative Instrument Balance Sheet Location Purpose September 30, 2022 December 31, 2021 Interest rate swaptions Derivative assets Economic hedging $ — $ 3,202 Options on U.S. Treasury futures Derivative assets Economic hedging 3,047 — TBA securities Derivative assets Investing 10,818 4,767 Total derivatives assets $ 13,865 $ 7,969 TBA securities Derivative liabilities Investing $ 99,670 — Total derivatives liabilities $ 99,670 $ — Because the Company’s short positions in U.S. Treasury futures are net settled on a daily basis, the carrying value within “derivative assets” on the Company’s consolidated balance sheet nets to $0. As of September 30, 2022, the amount of cash posted by the Company for its U.S. Treasury futures was $105,062, of which $95,665 is the required margin recorded within “restricted cash,” The excess amount of $9,397 is recorded within “due from counterparties.” The Company’s options on U.S. Treasury futures are recorded at fair value on its consolidated balance sheet as of September 30, 2022. The Company’s cost basis as of September 30, 2022 was $2,417, which represents the premium paid. The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated: September 30, 2022 December 31, 2021 Implied market value (1) $ 3,224,087 $ 1,531,188 Implied cost basis (2) 3,312,939 1,526,421 Net carrying value (3) $ (88,852) $ 4,767 (1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities as of the dates indicated. Volume of Activity The table below summarizes changes in the Company’s derivative instruments for the nine months ended September 30, 2022: Type of Derivative Instrument Beginning Additions Settlements, Ending Interest rate swaptions $ 500,000 $ — $ (500,000) $ — U.S. Treasury futures (3,890,000) 13,480,000 (14,750,000) (5,160,000) Options on U.S. Treasury futures — 750,000 — 750,000 TBA securities 1,530,000 27,093,000 (25,104,000) 3,519,000 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 4 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 September 30, 2022 and December 31, 2021: 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 September 30, 2022 Options on U.S. Treasury futures $ 3,047 $ — $ 3,047 $ — $ — $ 3,047 TBA securities 10,818 — 10,818 (10,818) — — Derivative assets $ 13,865 $ — $ 13,865 $ (10,818) $ — $ 3,047 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 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 September 30, 2022 TBA securities $ 99,670 $ — $ 99,670 $ (10,818) $ (77,096) $ 11,756 Derivative liabilities $ 99,670 $ — $ 99,670 $ (10,818) $ (77,096) $ 11,756 December 31, 2021 Derivative liabilities $ — $ — $ — $ — $ — $ — (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	9 Months Ended
	Sep. 30, 2022
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: September 30, 2022 December 31, 2021 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 3,150,306 $ — $ 3,150,124 $ 182 $ 3,181,839 $ — $ 3,181,041 $ 798 Mortgage loans held for investment 3,073 — — 3,073 4,268 — — 4,268 Derivative assets: Options on U.S. Treasury futures $ 3,047 $ 3,047 $ — $ — $ — $ — $ — $ — Interest rate swaptions — — — — 3,202 — 3,202 — TBA securities-long position 10,818 — 10,818 — 4,767 — 4,767 — Total assets carried at fair value $ 3,167,244 $ 3,047 $ 3,160,942 $ 3,255 $ 3,194,076 $ — $ 3,189,010 $ 5,066 Liabilities carried at fair value: TBA securities-long position $ 99,670 $ — $ 99,670 $ — $ — $ — $ — $ — Total liabilities carried at fair value $ 99,670 $ — $ 99,670 $ — $ — $ — $ — $ — 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 September 30, 2022. 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 three and nine months ended September 30, 2022 is presented in the following table: Three Months Ended Nine Months Ended September 30, 2022 September 30, 2022 Other Non-Agency MBS Mortgage Loans Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 613 $ 3,412 $ 798 $ 4,268 Change in fair value (1) (7) — (71) (19) Principal payments (527) (335) (734) (1,163) Accretion (amortization) 103 (4) 189 (13) Balance as of end of period $ 182 $ 3,073 $ 182 $ 3,073 (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.” 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 to those used to fair value the Company’s Level 2 MBS.

Shareholders' Equity and Share-

Shareholders' Equity and Share-Based Compensation (Notes)	9 Months Ended
	Sep. 30, 2022
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 September 30, 2022. 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 October 17, 2022 to shareholders of record as of October 1, 2022. Common Stock. During the three months ended September 30, 2022, the Company issued 2,786,877 shares of its common stock through its at-the-market (“ATM”) program at an aggregate value of $45,039, net of $570 in broker commissions and fees. The Company currently pays a monthly dividend on its common stock. The Company’s timing, frequency, and amount of dividends declared on its common stock are determined by its Board of Directors. When declaring dividends, the Board of Directors considers the Company’s taxable income, the REIT distribution requirements of the Tax Code, and maintaining compliance with dividend requirements of the Series C Preferred Stock, along with other factors that the Board of Directors may deem relevant from time to time. Share-Based Compensation. Total share-based compensation expense recognized by the Company was $2,158 and $4,031 for the three and nine months ended September 30, 2022, respectively, compared to $760 and $1,755 for the three and nine months ended September 30, 2021, respectively. The following tables present a rollforward of share-based awards for the periods indicated: Nine Months Ended September 30, 2022 2021 Type of Award Shares Weighted Average Shares Weighted Average Restricted stock: Awards outstanding, beginning of period 197,804 $ 15.27 281,761 $ 14.74 Granted 71,216 15.60 40,027 19.02 Vested (135,069) 15.49 (123,984) 15.28 Awards outstanding, end of period 133,951 $ 15.22 197,804 $ 15.27 RSUs: Awards outstanding, beginning of period 55,019 $ 19.40 — $ — Granted 73,767 15.19 55,019 19.40 Settled (42,120) 17.85 — — Awards outstanding, end of period 86,666 $ 16.57 55,019 $ 19.40 PSUs: Awards outstanding, beginning of period 110,040 $ 19.40 — $ — Granted 147,542 15.19 110,040 19.40 Settled (56,298) 17.09 — — Awards outstanding, end of period 201,284 $ 16.96 110,040 $ 19.40 The number of RSUs that will potentially settle may range from 0% if the recipient’s service-based vesting condition is not met to 100% if the service-based vesting condition is met. The number of PSUs that will potentially settle may range from 0% to 200% based on the achievement of the performance goals defined in the grant award. As of September 30, 2022, the Company expects 100% of the PSUs outstanding will be settled. The Company has DERs accrued for RSUs and PSUs of $172 and $363, respectively, as of September 30, 2022 compared to $50 and $100, respectively, as of December 31, 2021, which is included on the Company’s consolidated balance sheet within “accrued dividends payable.” The following table discloses the grant date fair value of the Company’s remaining unvested awards as of September 30, 2022, which will be amortized into compensation expense over the period disclosed: September 30, 2022 Remaining Compensation Cost WAVG Period of Recognition Restricted stock $ 1,327 1.3 years RSUs 1,137 2.1 years PSUs 2,153 1.9 years Total $ 4,617 1.8 years

Organization and Summary of S_2

Organization and Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2022
Accounting Policies [Abstract]
Organization	OrganizationDynex Capital, Inc. (the “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 unaudited consolidated financial statements of the Company and its subsidiaries (together, “Dynex” or, as appropriate, the “Company”) have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and with the instructions to the Quarterly Report on Form 10-Q and Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and notes required by GAAP for complete financial statements. In the opinion of management, all significant adjustments, consisting of normal recurring accruals, considered necessary for a fair presentation of the consolidated financial statements have been included. Operating results for the three months ended September 30, 2022 are not necessarily indicative of the results that may be expected for any other interim periods or for the entire year ending December 31, 2022. The unaudited consolidated financial statements included herein should be read in conjunction with the audited financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2021 (the “2021 Form 10-K”) filed with the SEC.
Use of Estimates	Use of EstimatesThe 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, including TBA securities accounted for as derivative instruments. 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 September 30, 2022.
Reclassifications	Reclassifications The margin deficit of $2,471 related to the Company’s U.S. Treasury futures was reclassified from “derivative liabilities” to “due to counterparties” on the Company’s consolidated balance sheet as of December 31, 2021.
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.
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 (the “Tax Code”) 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. 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 RSUs and PSUs accrue forfeitable dividend equivalent rights over the period outstanding, receiving dividend payments only upon the settlement date if the requisite service-based and performance-based conditions have been achieved, as applicable. As such, 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”). 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 or unit becomes one unrestricted share of common stock and is included in the computation of basic net income per common share. 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 and Cash Equivalents	Cash and Cash Equivalents Cash includes unrestricted demand deposits at highly rated financial institutions and highly liquid investments with original maturities of three months or less. 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
Cash Collateral Posted To/By Counterparties	Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents amounts pledged/received to cover margin requirements related to the Company’s financing and derivative instruments. If the amount pledged to a counterparty exceeds the amount received from a counterparty, the net amount is recorded as an asset within “cash collateral posted to counterparties”, and if the amount received from a counterparty exceeds the amount pledged to a counterparty, the net amount is recorded as a liability within “cash collateral posted by counterparties” on the Company’s consolidated balance sheets. The following table provides a reconciliation of “cash” and “cash posted to counterparties” reported on the Company's consolidated balance sheet as of September 30, 2022, that sum to the total of the same such amounts shown on the Company’s consolidated statement of cash flows for the three months ended September 30, 2022: September 30, 2022 Cash and cash equivalents $ 260,385 Cash collateral posted to counterparties 246,168 Total cash including cash posted to counterparties shown on consolidated statement of cash flows $ 506,553
Mortgage-Back Securities	Mortgage-Backed Securities The Company’s MBS are recorded at fair value on the Company’s consolidated balance sheet. Changes in fair value of 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 (“FVO”) 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 within OCI or net income is reclassified to “realized gain (loss) on sale of investments, net” within net income using the specific identification method. Management elected the FVO 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, for which the Company does not apply 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 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 received from external sources and internal models and may 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 6 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 The Company’s derivative instruments include 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 accounted for at fair value, and changes in fair value, 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 margin requirement varies based on the market value of the open positions and the equity retained in the account. Any margin excess or deficit outstanding is recorded as a receivable or payable as of the date of the Company’s consolidated balance sheets. 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, which provide the Company the right, but not an obligation, to enter into an interest rate swap at a predetermined notional amount with a stated term and pay and receive rates in the future. Swaptions are valued based on exchange pricing without daily margin settlements. The Company may defer the premium payment until the effective date of the underlying interest rate swap agreement, recording a payable on its consolidated balance sheet. The premium payable and the fair value of the swaption are accounted for as a single unit of account. If a swaption expires unexercised, the realized loss on the swaption would be equal to the premium paid. If the swaption is exercised, the realized gain or loss on the swaption would be equal to the difference between the fair value of the underlying interest rate swap and the premium paid. 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 5 for additional information regarding the Company’s derivative instruments as well as Note 6 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 September 30, 2022, 1,235,143 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 Company performance-based and 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 (“DERs”) on forfeited units are reversed with a corresponding credit to “Compensation and benefits.” Please see Note 7 for additional information about the Company’s share-based compensation awards.
Contingencies	ContingenciesIn the normal course of business, there may be lawsuits, claims, or other contingencies in which the Company is involved. On a quarterly basis, the Company evaluates whether to establish provisions for estimated losses from such 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 issued by the Financial Accounting Standards Board 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 nine months ended September 30, 2022, 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)	9 Months Ended
	Sep. 30, 2022
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: Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Weighted average number of common shares outstanding - basic 45,347,852 34,924,449 40,452,740 31,258,711 Incremental common shares-unsettled RSUs — 55,019 86,666 55,019 Incremental common shares-unsettled PSUs — 110,040 201,284 110,040 Weighted average number of common shares outstanding - diluted 45,347,852 35,089,508 40,740,690 31,423,770 Net (loss) income to common shareholders $ (48,597) $ 12,110 $ 94,102 $ 78,811 Net (loss) income per common share-basic $ (1.07) $ 0.35 $ 2.33 $ 2.52 Net (loss) income per common share-diluted $ (1.07) $ 0.35 $ 2.31 $ 2.51

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	9 Months Ended
	Sep. 30, 2022
Investments, Debt and Equity Securities [Abstract]
Debt Securities, Trading, and Equity Securities, FV-NI	The following tables provide details on the Company’s MBS by investment type as of the dates indicated: September 30, 2022 December 31, 2021 Current Face Amortized Cost Fair Value Current Face Amortized Cost Fair Value Agency RMBS $ 3,164,044 $ 3,211,908 $ 2,776,569 $ 2,639,747 $ 2,713,907 $ 2,686,775 Agency CMBS 137,067 137,987 130,384 174,899 177,211 184,847 CMBS IO (1) n/a 257,418 243,171 n/a 298,197 309,419 Non-Agency other 232 232 182 966 777 798 Total $ 3,301,343 $ 3,607,545 $ 3,150,306 $ 2,815,612 $ 3,190,092 $ 3,181,839 (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021. September 30, 2022 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value MBS measured at fair value through OCI: Agency RMBS $ 1,002,705 $ — $ (180,099) $ 822,606 Agency CMBS 122,678 — (6,171) 116,507 CMBS IO 211,112 288 (10,597) 200,803 Non-Agency other 232 — (50) 182 Total $ 1,336,727 $ 288 $ (196,917) $ 1,140,098 MBS measured at fair value through net income: Agency RMBS $ 2,209,203 $ — $ (255,240) $ 1,953,963 Agency CMBS 15,309 — (1,432) 13,877 CMBS IO 46,306 — (3,938) 42,368 Total $ 2,270,818 $ — $ (260,610) $ 2,010,208 December 31, 2021 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value MBS measured at fair value through OCI: Agency RMBS $ 1,232,738 $ 7,779 $ (19,994) $ 1,220,523 Agency CMBS 177,211 7,636 — 184,847 CMBS IO 276,354 11,713 (426) 287,641 Non-Agency other 777 63 (42) 798 Total $ 1,687,080 $ 27,191 $ (20,462) $ 1,693,809 MBS measured at fair value through net income: Agency RMBS $ 1,481,169 $ — $ (14,917) $ 1,466,252 CMBS IO 21,843 57 (122) 21,778 Total $ 1,503,012 $ 57 $ (15,039) $ 1,488,030
Debt Securities, Available-for-sale	The following tables provide details on the Company’s MBS by investment type as of the dates indicated: September 30, 2022 December 31, 2021 Current Face Amortized Cost Fair Value Current Face Amortized Cost Fair Value Agency RMBS $ 3,164,044 $ 3,211,908 $ 2,776,569 $ 2,639,747 $ 2,713,907 $ 2,686,775 Agency CMBS 137,067 137,987 130,384 174,899 177,211 184,847 CMBS IO (1) n/a 257,418 243,171 n/a 298,197 309,419 Non-Agency other 232 232 182 966 777 798 Total $ 3,301,343 $ 3,607,545 $ 3,150,306 $ 2,815,612 $ 3,190,092 $ 3,181,839 (1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021. September 30, 2022 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value MBS measured at fair value through OCI: Agency RMBS $ 1,002,705 $ — $ (180,099) $ 822,606 Agency CMBS 122,678 — (6,171) 116,507 CMBS IO 211,112 288 (10,597) 200,803 Non-Agency other 232 — (50) 182 Total $ 1,336,727 $ 288 $ (196,917) $ 1,140,098 MBS measured at fair value through net income: Agency RMBS $ 2,209,203 $ — $ (255,240) $ 1,953,963 Agency CMBS 15,309 — (1,432) 13,877 CMBS IO 46,306 — (3,938) 42,368 Total $ 2,270,818 $ — $ (260,610) $ 2,010,208 December 31, 2021 Amortized Cost Gross Unrealized Gain Gross Unrealized Loss Fair Value MBS measured at fair value through OCI: Agency RMBS $ 1,232,738 $ 7,779 $ (19,994) $ 1,220,523 Agency CMBS 177,211 7,636 — 184,847 CMBS IO 276,354 11,713 (426) 287,641 Non-Agency other 777 63 (42) 798 Total $ 1,687,080 $ 27,191 $ (20,462) $ 1,693,809 MBS measured at fair value through net income: Agency RMBS $ 1,481,169 $ — $ (14,917) $ 1,466,252 CMBS IO 21,843 57 (122) 21,778 Total $ 1,503,012 $ 57 $ (15,039) $ 1,488,030
Unrealized Gain (Loss) on Investments	The following table presents information regarding unrealized gains and losses on investments reported within net income on the Company’s consolidated statements of comprehensive income for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Agency RMBS $ (65,723) $ (3,101) $ (240,322) $ (3,080) Agency CMBS (1,432) — (1,432) — CMBS IO (2,033) (26) (3,874) (10) Mortgage loans held for investment and other assets (9) 42 77 109 Total unrealized (loss) gain on investments, net $ (69,197) $ (3,085) $ (245,551) $ (2,981)
Realized Gain (Loss) on Investments	The following table presents information regarding realized gains and losses sales of investments reported in the Company’s consolidated statements of comprehensive income for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Realized gains on sales of MBS - AFS $ — $ — $ — $ 6,705 Realized losses on sales of MBS - AFS (14,025) — (14,025) — Realized gains on sales of MBS - FVO — — — — Realized losses on sales of MBS - FVO (56,942) — (75,492) — Total realized (loss) gain on sale of investments, net $ (70,967) $ — $ (89,517) $ 6,705
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value	The following table presents certain information for MBS designated as AFS that were in an unrealized loss position as of the dates indicated: September 30, 2022 December 31, 2021 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 $ 362,885 $ (24,993) 81 $ 1,051,233 $ (20,118) 23 Non-Agency MBS 53,113 (2,120) 59 11,667 (247) 14 Continuous unrealized loss position for 12 months or longer: Agency MBS $ 705,141 $ (169,259) 17 $ — $ — — Non-Agency MBS 6,207 (545) 13 1,241 (97) 6

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	9 Months Ended
	Sep. 30, 2022
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 September 30, 2022 and December 31, 2021 are summarized in the following tables: September 30, 2022 December 31, 2021 Collateral Type Balance Weighted Fair Value of Balance Weighted Fair Value of Agency RMBS $ 2,700,463 2.85 % $ 2,811,147 $ 2,408,126 0.17 % $ 2,536,094 Agency CMBS 109,855 3.21 % 115,523 176,268 0.14 % 184,847 Agency CMBS IO 144,321 3.30 % 158,094 180,912 0.68 % 192,481 Non-Agency CMBS IO 54,630 4.01 % 64,077 84,610 0.99 % 97,897 Total repurchase agreements $ 3,009,269 2.90 % $ 3,148,841 $ 2,849,916 0.23 % $ 3,011,319 The amounts for fair value of collateral pledged in the table above include $245,183 for securities sold but not settled as of September 30, 2022, and for which the sale proceeds to be received upon settlement are recorded within “due from counterparties” on the consolidated balance sheet. The Company also had $147,925 payable to counterparties for transactions pending settlement as of September 30, 2022. The Company had repurchase agreement borrowings outstanding with 25 different counterparties as of September 30, 2022, and its equity at risk did not exceed 5% 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: September 30, 2022 December 31, 2021 Remaining Term to Maturity Balance Weighted WAVG Original Term to Maturity Balance Weighted WAVG Original Term to Maturity Less than 30 days $ 963,976 2.86 % 63 $ 602,994 0.42 % 123 30 to 90 days 1,603,853 2.82 % 75 763,302 0.14 % 166 91 to 180 days 441,440 3.31 % 154 1,075,324 0.15 % 198 181 days to 1 year — — % — 408,296 0.30 % 366 Total $ 3,009,269 2.90 % 83 $ 2,849,916 0.23 % 198
Offsetting Repurchase Agreement Liabilities	The following table presents information regarding the Company's repurchase agreements as if the Company had presented them on a net basis as of September 30, 2022 and December 31, 2021: 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 September 30, 2022 Repurchase agreements $ 3,009,269 $ — $ 3,009,269 $ (3,009,269) $ — $ — December 31, 2021 Repurchase agreements $ 2,849,916 $ — $ 2,849,916 $ (2,849,916) $ — $ — (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)	9 Months Ended
	Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments, Gain (Loss)	The table below provides detail of the Company’s “gain on derivative instruments, net” by type of derivative instrument for the periods indicated: Three Months Ended Nine Months Ended September 30, September 30, Type of Derivative Instrument 2022 2021 2022 2021 U.S. Treasury futures $ 281,827 $ 11,209 $ 721,236 $ 43,673 Interest rate swaptions (4,202) 3,985 47,738 42,686 Options on U.S. Treasury futures 630 (3,226) 630 (2,141) TBA securities (181,308) (2,365) (346,034) (19,755) Gain on derivative instruments, net $ 96,947 $ 9,603 $ 423,570 $ 64,463
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value	The table below provides the carrying amount by type of derivative instrument comprising the Company’s derivative assets and liabilities on its consolidated balance sheets as of the dates indicated: Type of Derivative Instrument Balance Sheet Location Purpose September 30, 2022 December 31, 2021 Interest rate swaptions Derivative assets Economic hedging $ — $ 3,202 Options on U.S. Treasury futures Derivative assets Economic hedging 3,047 — TBA securities Derivative assets Investing 10,818 4,767 Total derivatives assets $ 13,865 $ 7,969 TBA securities Derivative liabilities Investing $ 99,670 — Total derivatives liabilities $ 99,670 $ —
Schedule of Derivative Instruments	The following table summarizes information about the Company's long positions in TBA securities as of the dates indicated: September 30, 2022 December 31, 2021 Implied market value (1) $ 3,224,087 $ 1,531,188 Implied cost basis (2) 3,312,939 1,526,421 Net carrying value (3) $ (88,852) $ 4,767 (1) Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated. (2) Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated. (3) Net carrying value is the amount included on the consolidated balance sheets within “derivative assets” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities as of the dates indicated.
Schedule of Notional Amounts of Outstanding Derivative Positions	The table below summarizes changes in the Company’s derivative instruments for the nine months ended September 30, 2022: Type of Derivative Instrument Beginning Additions Settlements, Ending Interest rate swaptions $ 500,000 $ — $ (500,000) $ — U.S. Treasury futures (3,890,000) 13,480,000 (14,750,000) (5,160,000) Options on U.S. Treasury futures — 750,000 — 750,000 TBA securities 1,530,000 27,093,000 (25,104,000) 3,519,000
Offsetting Assets	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 September 30, 2022 and December 31, 2021: 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 September 30, 2022 Options on U.S. Treasury futures $ 3,047 $ — $ 3,047 $ — $ — $ 3,047 TBA securities 10,818 — 10,818 (10,818) — — Derivative assets $ 13,865 $ — $ 13,865 $ (10,818) $ — $ 3,047 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
Offsetting Liabilities	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 September 30, 2022 TBA securities $ 99,670 $ — $ 99,670 $ (10,818) $ (77,096) $ 11,756 Derivative liabilities $ 99,670 $ — $ 99,670 $ (10,818) $ (77,096) $ 11,756 December 31, 2021 Derivative liabilities $ — $ — $ — $ — $ — $ — (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)	9 Months Ended
	Sep. 30, 2022
Fair Value Disclosures [Abstract]
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: September 30, 2022 December 31, 2021 Fair Value Level 1 Level 2 Level 3 Fair Value Level 1 Level 2 Level 3 Assets carried at fair value: MBS $ 3,150,306 $ — $ 3,150,124 $ 182 $ 3,181,839 $ — $ 3,181,041 $ 798 Mortgage loans held for investment 3,073 — — 3,073 4,268 — — 4,268 Derivative assets: Options on U.S. Treasury futures $ 3,047 $ 3,047 $ — $ — $ — $ — $ — $ — Interest rate swaptions — — — — 3,202 — 3,202 — TBA securities-long position 10,818 — 10,818 — 4,767 — 4,767 — Total assets carried at fair value $ 3,167,244 $ 3,047 $ 3,160,942 $ 3,255 $ 3,194,076 $ — $ 3,189,010 $ 5,066 Liabilities carried at fair value: TBA securities-long position $ 99,670 $ — $ 99,670 $ — $ — $ — $ — $ — Total liabilities carried at fair value $ 99,670 $ — $ 99,670 $ — $ — $ — $ — $ —
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation	The activity of the Company’s Level 3 assets during the three and nine months ended September 30, 2022 is presented in the following table: Three Months Ended Nine Months Ended September 30, 2022 September 30, 2022 Other Non-Agency MBS Mortgage Loans Other Non-Agency MBS Mortgage Loans Balance as of beginning of period $ 613 $ 3,412 $ 798 $ 4,268 Change in fair value (1) (7) — (71) (19) Principal payments (527) (335) (734) (1,163) Accretion (amortization) 103 (4) 189 (13) Balance as of end of period $ 182 $ 3,073 $ 182 $ 3,073 (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 and Shar_2

Shareholders' Equity and Share-Based Compensation (Tables)	9 Months Ended
	Sep. 30, 2022
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: Nine Months Ended September 30, 2022 2021 Type of Award Shares Weighted Average Shares Weighted Average Restricted stock: Awards outstanding, beginning of period 197,804 $ 15.27 281,761 $ 14.74 Granted 71,216 15.60 40,027 19.02 Vested (135,069) 15.49 (123,984) 15.28 Awards outstanding, end of period 133,951 $ 15.22 197,804 $ 15.27 RSUs: Awards outstanding, beginning of period 55,019 $ 19.40 — $ — Granted 73,767 15.19 55,019 19.40 Settled (42,120) 17.85 — — Awards outstanding, end of period 86,666 $ 16.57 55,019 $ 19.40 PSUs: Awards outstanding, beginning of period 110,040 $ 19.40 — $ — Granted 147,542 15.19 110,040 19.40 Settled (56,298) 17.09 — — Awards outstanding, end of period 201,284 $ 16.96 110,040 $ 19.40
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 September 30, 2022, which will be amortized into compensation expense over the period disclosed: September 30, 2022 Remaining Compensation Cost WAVG Period of Recognition Restricted stock $ 1,327 1.3 years RSUs 1,137 2.1 years PSUs 2,153 1.9 years Total $ 4,617 1.8 years

Organization and Summary of S_3

Organization and Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2022	Dec. 31, 2021	Sep. 30, 2021	Dec. 31, 2020
Accounting Policies [Abstract]
Cash and cash equivalents	$ 260,385	$ 366,023
Cash collateral posted to counterparties	246,168	55,284
Total cash including cash posted to counterparties shown on consolidated statement of cash flows	$ 506,553	$ 421,307	$ 399,435	$ 310,360
Share-based incentive plan, number of shares authorized for issuance	2,300,000
Number of shares available for grant (in shares)	1,235,143
Prior period reclassification adjustment	$ 2,471

Net Income (Loss) Per Common _3

Net Income (Loss) Per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Weighted average common shares-basic (in shares)	45,347,852	34,924,449	40,452,740	31,258,711
Weighted average common shares-diluted (in shares)	45,347,852	35,089,508	40,740,690	31,423,770
Net (loss) income to common stockholders	$ (48,597)	$ 12,110	$ 94,102	$ 78,811
Net income (loss) per common share-basic (in dollars per share)	$ (1.07)	$ 0.35	$ 2.33	$ 2.52
Net income (loss) per common share-diluted (in dollars per share)	$ (1.07)	$ 0.35	$ 2.31	$ 2.51
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount	287,950
Restricted Stock Units (RSUs) [Member]
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Incremental common shares - unvested (in shares)	0	55,019	86,666	55,019
Performance Shares [Member]
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items]
Incremental common shares - unvested (in shares)	0	110,040	201,284	110,040

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Type (Details) - USD ($) $ in Thousands		Sep. 30, 2022	Dec. 31, 2021
Debt Securities, Trading and Available-for-sale [Abstract]
Investment Owned, Face Amount		$ 3,301,343	$ 2,815,612
Debt Securities, Trading and Available-for-sale, Amortized Cost		3,607,545	3,190,092
Debt Securities, Trading and Available-for-sale		3,150,306	3,181,839
Amortized cost		1,336,727	1,687,080
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		288	27,191
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		(196,917)	(20,462)
Debt Securities, Available-for-sale		1,140,098	1,693,809
Debt Securities, Trading, Amortized Cost		2,270,818	1,503,012
Gross unrealized gain, investment, fair value option		0	57
Gross unrealized loss, investment, fair value option		(260,610)	(15,039)
Debt Securities, Trading		2,010,208	1,488,030
Residential Mortgage Backed Securities [Member]
Debt Securities, Trading and Available-for-sale [Abstract]
Investment Owned, Face Amount		3,164,044	2,639,747
Debt Securities, Trading and Available-for-sale, Amortized Cost		3,211,908	2,713,907
Debt Securities, Trading and Available-for-sale		2,776,569	2,686,775
Amortized cost		1,002,705	1,232,738
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		0	7,779
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		(180,099)	(19,994)
Debt Securities, Available-for-sale		822,606	1,220,523
Debt Securities, Trading, Amortized Cost		2,209,203	1,481,169
Gross unrealized gain, investment, fair value option		0	0
Gross unrealized loss, investment, fair value option		(255,240)	(14,917)
Debt Securities, Trading		1,953,963	1,466,252
Commercial Mortgage Backed Securities [Member]
Debt Securities, Trading and Available-for-sale [Abstract]
Investment Owned, Face Amount		137,067	174,899
Debt Securities, Trading and Available-for-sale, Amortized Cost		137,987
Debt Securities, Trading and Available-for-sale		130,384
Amortized cost		122,678	177,211
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		0	7,636
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		(6,171)	0
Debt Securities, Available-for-sale		116,507	184,847
Debt Securities, Trading, Amortized Cost		15,309
Gross unrealized gain, investment, fair value option		0
Gross unrealized loss, investment, fair value option		(1,432)
Debt Securities, Trading		13,877
Interest-Only-Strip [Member]
Debt Securities, Trading and Available-for-sale [Abstract]
Debt Securities, Trading and Available-for-sale, Amortized Cost	[1]	257,418	298,197
Debt Securities, Trading and Available-for-sale	[1]	243,171	309,419
Amortized cost		211,112	276,354
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		288	11,713
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		(10,597)	(426)
Debt Securities, Available-for-sale		200,803	287,641
Debt Securities, Trading, Amortized Cost		46,306	21,843
Gross unrealized gain, investment, fair value option		0	57
Gross unrealized loss, investment, fair value option		(3,938)	(122)
Debt Securities, Trading		42,368	21,778
Interest-Only-Strip, Agency CMBS [Member]
Debt Securities, Trading and Available-for-sale [Abstract]
Notional balance		9,986,364	10,630,713
Interest-Only-Strip, Non-Agency CMBS [Member]
Debt Securities, Trading and Available-for-sale [Abstract]
Notional balance		6,594,280	8,635,666
Non-Agency MBS
Debt Securities, Trading and Available-for-sale [Abstract]
Investment Owned, Face Amount		232	966
Amortized cost		232	777
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax		0	63
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax		(50)	(42)
Debt Securities, Available-for-sale		$ 182	$ 798
[1](1) The notional balance for Agency CMBS IO and non-Agency CMBS IO was $9,986,364 and $6,594,280, respectively, as of September 30, 2022, and $10,630,713 and $8,635,666, respectively, as of December 31, 2021.

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Investments [Line Items]
Unrealized loss on investments, net	$ (69,197)	$ (3,085)	$ (245,551)	$ (2,981)
Interest-Only-Strip [Member]
Investments [Line Items]
Debt Securities, Trading, Unrealized Gain (Loss)	(2,033)	(26)	(3,874)	(10)
Residential Mortgage Backed Securities [Member]
Investments [Line Items]
Debt Securities, Trading, Unrealized Gain (Loss)	(65,723)	(3,101)	(240,322)	(3,080)
Asset-backed Securities, Securitized Loans and Receivables
Investments [Line Items]
Unrealized gain (loss) on other investments	(9)	42	77	109
Commercial Mortgage Backed Securities [Member]
Investments [Line Items]
Debt Securities, Trading, Unrealized Gain (Loss)	$ (1,432)	$ 0	$ (1,432)	$ 0

Mortgage-Backed Securities - Re

Mortgage-Backed Securities - Realize Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Investments [Line Items]
Debt Securities, Available-for-sale, Realized Gain (Loss)	$ 0	$ 0	$ 0	$ 6,705
Debt Securities, Available-for-sale, Realized Loss	(14,025)	0	(14,025)	0
Trading Securities, Realized Gain	0	0	0	0
Debt Securities, Trading, Realized Loss	(56,942)	0	(75,492)	0
Realized (loss) gain on sale of investments, net	$ (70,967)	$ 0	$ (89,517)	$ 6,705

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Losses (Details)	Sep. 30, 2022 USD ($)	Dec. 31, 2021 USD ($)
Investments [Line Items]
Allowance for credit loss	$ 0	$ 0
Agency MBS
Investments [Line Items]
Fair value, Less than 12 Months	362,885,000	1,051,233,000
Gross Unrealized Losses, Less than 12 Month	$ (24,993,000)	$ (20,118,000)
Number of Securities, Less than 12 Months	81	23
Fair value, 12 Months or Longer	$ 705,141,000	$ 0
Gross Unrealized Losses, 12 Months or Longer	$ (169,259,000)	$ 0
Number of Securities, 12 Months or Longer	17	0
Non-Agency MBS
Investments [Line Items]
Fair value, Less than 12 Months	$ 53,113,000	$ 11,667,000
Gross Unrealized Losses, Less than 12 Month	$ (2,120,000)	$ (247,000)
Number of Securities, Less than 12 Months	59	14
Fair value, 12 Months or Longer	$ 6,207,000	$ 1,241,000
Gross Unrealized Losses, 12 Months or Longer	$ (545,000)	$ (97,000)
Number of Securities, 12 Months or Longer	13	6

Repurchase Agreements (Details)

Repurchase Agreements (Details) $ in Thousands	Sep. 30, 2022 USD ($) counterparty	Dec. 31, 2021 USD ($)
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	2.90%	0.23%
Fair Value of Collateral Pledged	$ 3,148,841	$ 3,011,319
Repurchase agreements	3,009,269	2,849,916
Due from counterparties	352,310	2,771
Due to counterparties	$ 147,925	$ 2,471
Number of counterparties | counterparty	25
Residential Mortgage Backed Securities [Member] | Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	2.85%	0.17%
Fair Value of Collateral Pledged	$ 2,811,147	$ 2,536,094
Repurchase agreements	2,700,463	$ 2,408,126
Due from counterparties	$ 245,183
Commercial Mortgage Backed Securities [Member] | Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	3.21%	0.14%
Fair Value of Collateral Pledged	$ 115,523	$ 184,847
Repurchase agreements	$ 109,855	$ 176,268
Interest-Only-Strip [Member] | Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	3.30%	0.68%
Fair Value of Collateral Pledged	$ 158,094	$ 192,481
Repurchase agreements	$ 144,321	$ 180,912
Interest-Only-Strip [Member] | Non-Agency MBS
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	4.01%	0.99%
Fair Value of Collateral Pledged	$ 64,077	$ 97,897
Repurchase agreements	$ 54,630	$ 84,610

Repurchase Agreements - Remaini

Repurchase Agreements - Remaining Term to Maturity (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	2.90%	0.23%
WAVG Original Term to Maturity	83	198
Repurchase agreements	$ 3,009,269	$ 2,849,916
Less than 30 days
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	2.86%	0.42%
WAVG Original Term to Maturity	63	123
Repurchase agreements	$ 963,976	$ 602,994
30 to 90 days
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	2.82%	0.14%
WAVG Original Term to Maturity	75	166
Repurchase agreements	$ 1,603,853	$ 763,302
91 to 180 days
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	3.31%	0.15%
WAVG Original Term to Maturity	154	198
Repurchase agreements	$ 441,440	$ 1,075,324
181 days to 1 year
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items]
Weighted Average Rate	0%	0.30%
WAVG Original Term to Maturity	0	366
Repurchase agreements	$ 0	$ 408,296

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Details) $ in Thousands	Sep. 30, 2022 USD ($) counterparty
Disclosure of Repurchase Agreements [Abstract]
Number of counterparties | counterparty	25
Maximum borrowing capacity	$ 250,000
Line of credit outstanding	$ 60,367
Weighted average interest rate	3.78%

Repurchase Agreements - Offsett

Repurchase Agreements - Offsetting (Details) - USD ($) $ in Thousands		Sep. 30, 2022	Dec. 31, 2021
Offsetting [Abstract]
Gross Amount of Recognized Liabilities		$ 3,009,269	$ 2,849,916
Gross Amount Offset in the Balance Sheet		0	0
Net Amount of Liabilities Presented in the Balance Sheet		3,009,269	2,849,916
Financial Instruments Posted as Collateral	[1]	(3,009,269)	(2,849,916)
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	3 Months Ended		9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Sep. 30, 2022	Sep. 30, 2021
Derivative [Line Items]
Gain on derivative instruments, net	$ 96,947	$ 9,603	$ 423,570	$ 64,463
Realized gain (loss) on derivative	149,600	(71,708)	485,960	15,962
Interest rate swaptions
Derivative [Line Items]
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments	(4,202)	3,985	47,738	42,686
Options on U.S. Treasury futures
Derivative [Line Items]
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments	630	(3,226)	630	(2,141)
Short position | U.S. Treasury futures
Derivative [Line Items]
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments	281,827	11,209	721,236	43,673
Long position | TBA securities
Derivative [Line Items]
Gain (Loss) on Derivative Instruments Held for Trading Purposes, Net	$ (181,308)	$ (2,365)	$ (346,034)	$ (19,755)

Derivatives - Derivative Inform

Derivatives - Derivative Information about Carrying Value by Type on the Balance Sheet Location (Details) - USD ($) $ in Thousands	Sep. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Derivative assets	$ 13,865	$ 7,969
Derivative liabilities	99,670	0
Interest rate swaptions
Derivative [Line Items]
Derivative assets	0	3,202
Options on U.S. Treasury futures
Derivative [Line Items]
Derivative assets	3,047	0
TBA securities | Long position
Derivative [Line Items]
Derivative assets	10,818	4,767
Derivative liabilities	$ 99,670	$ 0

Derivatives - Schedule of Futur

Derivatives - Schedule of Futures and Options (Details) $ in Thousands	Sep. 30, 2022 USD ($)
U.S. Treasury futures
Derivative [Line Items]
Margin Deposit Assets	$ 105,062
Restricted Cash	95,665
Variation Margin Receivable, Derivative	9,397
Options on U.S. Treasury futures
Derivative [Line Items]
Derivative, Premium Paid	$ 2,417

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		Sep. 30, 2022	Dec. 31, 2021
Derivative [Line Items]
Implied market value, TBA	[1]	$ 3,224,087	$ 1,531,188
Implied cost basis, TBA	[2]	3,312,939	1,526,421
Derivative, Fair Value, Net	[3]	$ (88,852)	$ 4,767
[1]Implied market value represents the estimated fair value of the underlying Agency MBS as of the dates indicated[2]Implied cost basis represents the forward price to be paid for the underlying Agency MBS as of the dates indicated.[3]Net carrying value is the amount included on the consolidated balance sheets within “derivative assets” and “derivative liabilities” and represents the difference between the implied market value and the implied cost basis of the TBA securities as of the dates indicated.

Derivatives Volume of Activity

Derivatives Volume of Activity (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($)
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaptions
Derivatives [Roll Forward]
Derivative, Notional Amount	$ 500,000
Derivative, Notional Amount, Derivative Instruments Added	0
Derivative, Notional Amount, Derivative Instruments Maturing, Settled, Terminated, or Paired-Off	(500,000)
Derivative, Notional Amount	0
Not Designated as Hedging Instrument, Economic Hedge | U.S. Treasury futures | Short position
Derivatives [Roll Forward]
Derivative, Notional Amount	3,890,000
Derivative, Notional Amount, Derivative Instruments Added	(13,480,000)
Derivative, Notional Amount, Derivative Instruments Maturing, Settled, Terminated, or Paired-Off	14,750,000
Derivative, Notional Amount	5,160,000
Not Designated as Hedging Instrument, Economic Hedge | Options on U.S. Treasury futures
Derivatives [Roll Forward]
Derivative, Notional Amount	0
Derivative, Notional Amount, Derivative Instruments Added	750,000
Derivative, Notional Amount	750,000
Not Designated as Hedging Instrument, Trading | TBA securities | Long position
Derivatives [Roll Forward]
Derivative, Notional Amount	1,530,000
Derivative, Notional Amount, Derivative Instruments Added	27,093,000
Derivative, Notional Amount, Derivative Instruments Maturing, Settled, Terminated, or Paired-Off	(25,104,000)
Derivative, Notional Amount	$ 3,519,000

Derivatives Offsetting Assets (

Derivatives Offsetting Assets (Details) - USD ($) $ in Thousands		Sep. 30, 2022	Dec. 31, 2021
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets		$ 13,865	$ 7,969
Gross Amount Offset in the Balance Sheet		0	0
Net Amount of Assets Presented in the Balance Sheet		13,865	7,969
Financial Instruments Received as Collateral	[1]	(10,818)	0
Cash collateral posted by counterparties	[1]	0	(1,834)
Net Amount		3,047	6,135
Options on U.S. Treasury futures | Not Designated as Hedging Instrument, Economic Hedge
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets		3,047
Gross Amount Offset in the Balance Sheet		0
Net Amount of Assets Presented in the Balance Sheet		3,047
Financial Instruments Received as Collateral	[1]	0
Cash collateral posted by counterparties	[1]	0
Net Amount		3,047
Interest rate swaptions
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets			3,202
Gross Amount Offset in the Balance Sheet			0
Net Amount of Assets Presented in the Balance Sheet			3,202
Financial Instruments Received as Collateral	[1]		0
Cash collateral posted by counterparties	[1]		(481)
Net Amount			2,721
Long position | TBA securities
Offsetting Assets [Line Items]
Gross Amount of Recognized Assets		10,818	4,767
Gross Amount Offset in the Balance Sheet		0	0
Net Amount of Assets Presented in the Balance Sheet		10,818	4,767
Financial Instruments Received as Collateral	[1]	(10,818)	0
Cash collateral posted by counterparties	[1]	0	(1,353)
Net Amount		$ 0	$ 3,414
[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		Sep. 30, 2022		Dec. 31, 2021
Offsetting Liabilities [Line Items]
Gross Amount of Recognized Liabilities		$ 99,670		$ 0
Gross Amount Offset in the Balance Sheet		0		0
Net Amount of Liabilities Presented in the Balance Sheet		99,670		0
Financial Instruments Posted as Collateral		(10,818)	[1]	0
Cash Posted as Collateral		(77,096)	[1]	0
Net Amount		11,756		$ 0
TBA securities | Long position
Offsetting Liabilities [Line Items]
Gross Amount of Recognized Liabilities		99,670
Gross Amount Offset in the Balance Sheet		0
Net Amount of Liabilities Presented in the Balance Sheet		99,670
Financial Instruments Posted as Collateral	[1]	(10,818)
Cash Posted as Collateral	[1]	(77,096)
Net Amount		$ 11,756
[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	Sep. 30, 2022	Dec. 31, 2021
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Net Amount of Assets Presented in the Balance Sheet	$ 13,865	$ 7,969
Net Amount of Liabilities Presented in the Balance Sheet	99,670	0
Fair Value, Measurements, Recurring
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	3,150,306	3,181,839
Mortgage loans held for investment, at fair value	3,073	4,268
Total assets carried at fair value	3,167,244	3,194,076
Total liabilities carried at fair value	99,670	0
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	3,047	0
Total liabilities carried at fair value	0	0
Fair Value, Measurements, Recurring | Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	3,150,124	3,181,041
Mortgage loans held for investment, at fair value	0	0
Total assets carried at fair value	3,160,942	3,189,010
Total liabilities carried at fair value	99,670	0
Fair Value, Measurements, Recurring | Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
MBS	182	798
Mortgage loans held for investment, at fair value	3,073	4,268
Total assets carried at fair value	3,255	5,066
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	3,047	0
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	3,047	0
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	0	3,202
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
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	0	3,202
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
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	10,818	4,767
Net Amount of Liabilities Presented in the Balance Sheet	99,670	0
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
Net Amount of Liabilities 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	10,818	4,767
Net Amount of Liabilities Presented in the Balance Sheet	99,670	0
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
Net Amount of Liabilities Presented in the Balance Sheet	$ 0	$ 0

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Narrative (Details)	Sep. 30, 2022
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) - USD ($) $ in Thousands		3 Months Ended	9 Months Ended
		Sep. 30, 2022	Sep. 30, 2022
Non-Agency MBS
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance as of beginning of period		$ 613	$ 798
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss)	[1]	7	71
Principal payments		(527)	(734)
Balance as of end of period		182	182
Non-Agency MBS | Accretion (amortization)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Accretion (amortization)		103	189
Loans Receivable
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance as of beginning of period		3,412	4,268
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings	[1]	0	19
Principal payments		(335)	(1,163)
Balance as of end of period		3,073	3,073
Loans Receivable | Accretion (amortization)
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Accretion (amortization)		$ (4)	$ (13)
[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	3 Months Ended						9 Months Ended
	Sep. 30, 2022	Jun. 30, 2022	Mar. 31, 2022	Sep. 30, 2021	Jun. 30, 2021	Mar. 31, 2021	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
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		4,460,000
Stock issuance costs							$ 0	$ 329
Share-based compensation expense	$ 2,158			$ 760			$ 4,031	$ 1,755
Stock issuance	45,039	$ 105,199	$ 4,245	$ 27,898	$ 68,302	$ 128,150
ATM Offering
Class of Stock [Line Items]
Stock issuance costs	570
Stock issuance	$ 45,039
Stock issuance, shares	2,786,877
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%

Shareholders' Equity and Shar_3

Shareholders' Equity and Share-Based Compensation Share-based Compensation (Details) - USD ($) $ / shares in Units, $ in Thousands	9 Months Ended
	Sep. 30, 2022	Sep. 30, 2021	Dec. 31, 2021
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract]
Share-based incentive plan, number of shares authorized for issuance	2,300,000
Number of shares available for grant (in shares)	1,235,143
Accrued dividends payable	$ 8,151		$ 6,541
Restricted Stock [Member]
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)	197,804	281,761
Granted (in shares)	71,216	40,027
Vested (in shares)	(135,069)	(123,984)
Awards outstanding, end of period (in shares)	133,951	197,804
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)	$ 15.27	$ 14.74
Granted (in dollars per share)	15.60	19.02
Vested (in dollars per share)	15.49	15.28
Awards outstanding, end of period (in dollars per share)	$ 15.22	$ 15.27
Restricted Stock Units (RSUs) [Member]
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)	55,019	0
Granted (in shares)	73,767	55,019
Vested (in shares)	(42,120)	0
Awards outstanding, end of period (in shares)	86,666	55,019
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)	$ 19.40	$ 0
Granted (in dollars per share)	15.19	19.40
Vested (in dollars per share)	17.85	0
Awards outstanding, end of period (in dollars per share)	$ 16.57	$ 19.40
Accrued dividends payable	$ 172		50
Performance Shares [Member]
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)	110,040	0
Granted (in shares)	147,542	110,040
Vested (in shares)	(56,298)	0
Awards outstanding, end of period (in shares)	201,284	110,040
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)	$ 19.40	$ 0
Granted (in dollars per share)	15.19	19.40
Vested (in dollars per share)	17.09	0
Awards outstanding, end of period (in dollars per share)	$ 16.96	$ 19.40
Accrued dividends payable	$ 363		$ 100

Shareholders' Equity and Shar_4

Shareholders' Equity and Share-Based Compensation - Schedule of Remaining Unvested Awards (Details) $ in Thousands	9 Months Ended
	Sep. 30, 2022 USD ($)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 4,617
WAVG Period of Recognition	1 year 9 months 18 days
Restricted Stock [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 1,327
WAVG Period of Recognition	1 year 3 months 18 days
Restricted Stock Units (RSUs) [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 1,137
WAVG Period of Recognition	2 years 1 month 6 days
Performance Shares [Member]
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Remaining Compensation Cost	$ 2,153
WAVG Period of Recognition	1 year 10 months 24 days