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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2023
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, 2023 |  | December 31, 2022
| Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Assets carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
MBS | $ | 5,583,758 |  |  | $ | — |  |  | $ | 5,583,655 |  |  | $ | 103 |  |  | $ | 3,112,705 |  |  | $ | — |  |  | $ | 3,112,553 |  |  | $ | 152 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options on U.S. Treasury futures | 3,946 |  |  | 3,946 |  |  | — |  |  | — |  |  | 5,859 |  |  | 5,859 |  |  | — |  |  | — |
TBA securities-long position | 648 |  |  | — |  |  | 648 |  |  | — |  |  | 1,243 |  |  | — |  |  | 1,243 |  |  | — |
Total assets carried at fair value | $ | 5,588,352 |  |  | $ | 3,946 |  |  | $ | 5,584,303 |  |  | $ | 103 |  |  | $ | 3,119,807 |  |  | $ | 5,859 |  |  | $ | 3,113,796 |  |  | $ | 152 |
Liabilities carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TBA securities-long position | $ | 22,029 |  |  | $ | — |  |  | $ | 22,029 |  |  | $ | — |  |  | $ | 22,595 |  |  | $ | — |  |  | $ | 22,595 |  |  | $ | — |
Total liabilities carried at fair value | $ | 22,029 |  |  | $ | — |  |  | $ | 22,029 |  |  | $ | — |  |  | $ | 22,595 |  |  | $ | — |  |  | $ | 22,595 |  |  | $ | — |

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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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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