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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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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.”

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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (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 (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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