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Investments in Debt Securities Investments in Debt Securities (Tables) | 6 Months Ended
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Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract] |
Debt Securities, Available-for-sale [Table Text Block] | The following tables present the Company’s debt securities by investment type (including securities pending settlement) as of the dates indicated:
| June 30, 2019
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 3,095,408 |  |  | $ | 82,035 |  |  | $ | 3,177,443 |  |  | $ | 58,044 |  |  | $ | (2,184 | ) |  | $ | 3,233,303 |  |  | 3.97 | %
Non-Agency | 744 |  |  | — |  |  | 744 |  |  | 32 |  |  | (19 | ) |  | 757 |  |  | 6.75 | %
| 3,096,152 |  |  | 82,035 |  |  | 3,178,187 |  |  | 58,076 |  |  | (2,203 | ) |  | 3,234,060 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 1,875,117 |  |  | 15,793 |  |  | 1,890,910 |  |  | 91,994 |  |  | (269 | ) |  | 1,982,635 |  |  | 2.84 | %
Non-Agency | 1,422 |  |  | (977 | ) |  | 445 |  |  | 692 |  |  | — |  |  | 1,137 |  |  | 5.50 | %
| 1,876,539 |  |  | 14,816 |  |  | 1,891,355 |  |  | 92,686 |  |  | (269 | ) |  | 1,983,772 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 267,703 |  |  | 267,703 |  |  | 8,332 |  |  | (108 | ) |  | 275,927 |  |  | 0.66 | %
Non-Agency | — |  |  | 214,728 |  |  | 214,728 |  |  | 5,472 |  |  | (171 | ) |  | 220,029 |  |  | 0.63 | %
| — |  |  | 482,431 |  |  | 482,431 |  |  | 13,804 |  |  | (279 | ) |  | 495,956 |  |  |
Total AFS securities: | $ | 4,972,691 |  |  | $ | 579,282 |  |  | $ | 5,551,973 |  |  | $ | 164,566 |  |  | $ | (2,751 | ) |  | $ | 5,713,788 |  |  |
(1) | The weighted average coupon (“WAC”) is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2) | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,861,382 and $10,014,205 respectively, as of June 30, 2019.
| December 31, 2018
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 2,118,639 |  |  | $ | 56,744 |  |  | $ | 2,175,383 |  |  | $ | 8,902 |  |  | $ | (26,264 | ) |  | $ | 2,158,021 |  |  | 3.95 | %
Non-Agency | 856 |  |  | — |  |  | 856 |  |  | 24 |  |  | (22 | ) |  | 858 |  |  | 6.75 | %
| 2,119,495 |  |  | 56,744 |  |  | 2,176,239 |  |  | 8,926 |  |  | (26,286 | ) |  | 2,158,879 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 1,071,906 |  |  | 8,518 |  |  | 1,080,424 |  |  | 6,141 |  |  | (29,550 | ) |  | 1,057,015 |  |  | 3.22 | %
Non-Agency | 3,040 |  |  | (2,037 | ) |  | 1,003 |  |  | 413 |  |  | — |  |  | 1,416 |  |  | 6.47 | %
| 1,074,946 |  |  | 6,481 |  |  | 1,081,427 |  |  | 6,554 |  |  | (29,550 | ) |  | 1,058,431 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 287,062 |  |  | 287,062 |  |  | 4,281 |  |  | (239 | ) |  | 291,104 |  |  | 0.55 | %
Non-Agency | — |  |  | 240,681 |  |  | 240,681 |  |  | 1,675 |  |  | (1,306 | ) |  | 241,050 |  |  | 0.57 | %
| — |  |  | 527,743 |  |  | 527,743 |  |  | 5,956 |  |  | (1,545 | ) |  | 532,154 |  |  |
Total AFS securities: | $ | 3,194,441 |  |  | $ | 590,968 |  |  | $ | 3,785,409 |  |  | $ | 21,436 |  |  | $ | (57,381 | ) |  | $ | 3,749,464 |  |  |  |
(1) | The WAC is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2) | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,048,666 and $10,275,494, respectively, as of December 31, 2018.
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 categorizes the Company’s debt securities according to their stated maturity as of the dates indicated:
| June 30, 2019 |  | December 31, 2018
| Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value
Less than 1 year | $ | 152,858 |  |  | $ | 157,963 |  |  | $ | 39,868 |  |  | $ | 39,808 |
>1 and <5 years | 285,275 |  |  | 289,174 |  |  | 151,041 |  |  | 152,917 |
>5 and <10 years | 879,723 |  |  | 914,413 |  |  | 828,543 |  |  | 806,015 |
> 10 years | 4,234,117 |  |  | 4,352,238 |  |  | 2,765,957 |  |  | 2,750,724 |
| $ | 5,551,973 |  |  | $ | 5,713,788 |  |  | $ | 3,785,409 |  |  | $ | 3,749,464 |
Schedule of Realized Gain (Loss) [Table Text Block] | The following table presents information regarding the sales that generated the “loss on sale of investments, net” on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
| Three Months Ended |  | Six Months Ended
| June 30, |  | June 30,
| 2019 |  | 2018 |  | 2019 |  | 2018
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss)
Agency RMBS | $ | 205,493 |  |  | $ | (3,953 | ) |  | $ | 217,837 |  |  | $ | (7,785 | ) |  | $ | 205,493 |  |  | $ | (3,953 | ) |  | $ | 217,837 |  |  | $ | (7,785 | )
Agency CMBS | 213,198 |  |  | (6,493 | ) |  | — |  |  | — |  |  | 213,198 |  |  | (6,493 | ) |  | 108,758 |  |  | (2,052 | )
Agency CMBS IO | 13,861 |  |  | 86 |  |  | — |  |  | — |  |  | 13,861 |  |  | 86 |  |  | — |  |  | — |
Non-Agency CMBS IO | — |  |  | — |  |  | 8,695 |  |  | 51 |  |  | — |  |  | — |  |  | 8,695 |  |  | 51 |
U.S. Treasuries | — |  |  | — |  |  | 144,461 |  |  | (4,710 | ) |  | — |  |  | — |  |  | 190,960 |  |  | (6,433 | )
| $ | 432,552 |  |  | $ | (10,360 | ) |  | $ | 370,993 |  |  | $ | (12,444 | ) |  | $ | 432,552 |  |  | $ | (10,360 | ) |  | $ | 526,250 |  |  | $ | (16,219 | )
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
| June 30, 2019 |  | December 31, 2018
| 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 | $ | 148,736 |  |  | $ | (378 | ) |  | 14 |  | $ | 581,440 |  |  | $ | (1,793 | ) |  | 28
Non-Agency MBS | 14,490 |  |  | (140 | ) |  | 4 |  | 70,876 |  |  | (581 | ) |  | 22
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 294,704 |  |  | $ | (2,184 | ) |  | 9 |  | $ | 1,543,892 |  |  | $ | (54,260 | ) |  | 88
Non-Agency MBS | 7,117 |  |  | (51 | ) |  | 8 |  | 46,154 |  |  | (747 | ) |  | 19

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