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Fair Value of Financial Instruments Level 3 (Details) $ in Thousands | 3 Months Ended | 9 Months Ended
--- | --- | ---
Sep. 30, 2021 USD ($) | Sep. 30, 2021 USD ($)
Measurement Input, Prepayment Rate |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Debt Securities, Available-for-sale, Measurement Input | 0.10 |  | 0.10 |
Loans Held-for-sale, Measurement Input | 0.10 |  | 0.10 |
Measurement Input, Default Rate |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Debt Securities, Available-for-sale, Measurement Input | 0.02 |  | 0.02 |
Loans Held-for-sale, Measurement Input | 0.02 |  | 0.02 |
Measurement Input, Loss Severity |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Debt Securities, Available-for-sale, Measurement Input | 0.20 |  | 0.20 |
Loans Held-for-sale, Measurement Input | 0.20 |  | 0.20 |
Measurement Input, Discount Rate |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Debt Securities, Available-for-sale, Measurement Input | 0.070 |  | 0.070 |
Loans Held-for-sale, Measurement Input | 0.070 |  | 0.070 |
Non-Agency MBS |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at the beginning of the period | $ 1,002 |  | $ 1,275 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | (47) | [1] | (151) | [1]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | (109) |  | (412) |
Balance at the end of the period | 906 |  | 906 |
Loans Receivable |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Balance at the beginning of the period | 5,146 |  | 6,264 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (34) | [1] | (102) | [1]
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | (457) |  | (1,629) |
Balance at the end of the period | 4,717 |  | 4,717 |
Interest Income | Non-Agency MBS |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Accretion (amortization) | 60 |  | 194 |
Interest Income | Loans Receivable |  |  |  |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] |  |  |  |
Accretion (amortization) | $ (6) |  | $ (20) |
[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”.

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- Definition Amount of gain (loss) recognized in income from asset measured at fair value on recurring basis using unobservable input (level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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