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Fair Value of Financial Instruments - Fair Value Hierarchy (Details) - USD ($) $ in Thousands | Dec. 31, 2021 | Dec. 31, 2020
--- | --- | ---
Assets: |  |
Securities, at fair value | $ 256,685 | $ 399,999
Total assets carried at fair value | 5,562,034 | 1,616,901
Liabilities: |  |
Securitized debt | 1,316,131 | 869,482
Residential whole loans, at fair value |  |
Assets: |  |
Residential whole loans, at fair value | 5,305,349 | 1,216,902
Liabilities: |  |
Total liabilities carried at fair value | 3,266,773 | 3,366,772
Securities, at fair value |  |
Assets: |  |
Securities, at fair value | 153,800 | 239,000
Agreements with non-mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 628,280 | 1,159,213
Agreements with mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 1,322,362 | 1,338,077
Level 1 |  |
Assets: |  |
Securities, at fair value | 0 | 0
Total assets carried at fair value | 0 | 0
Liabilities: |  |
Securitized debt | 0 | 0
Level 1 | Residential whole loans, at fair value |  |
Assets: |  |
Residential whole loans, at fair value | 0 | 0
Liabilities: |  |
Total liabilities carried at fair value | 0 | 0
Level 1 | Agreements with non-mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 0 | 0
Level 1 | Agreements with mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 0 | 0
Level 2 |  |
Assets: |  |
Securities, at fair value | 256,685 | 399,999
Total assets carried at fair value | 1,339,450 | 399,999
Liabilities: |  |
Securitized debt | 1,316,131 | 869,482
Level 2 | Residential whole loans, at fair value |  |
Assets: |  |
Residential whole loans, at fair value | 1,082,765 | 0
Liabilities: |  |
Total liabilities carried at fair value | 1,316,131 | 1,083,397
Level 2 | Agreements with non-mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 0 | 0
Level 2 | Agreements with mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 0 | 213,915
Level 3 |  |
Assets: |  |
Securities, at fair value | 0 | 0
Total assets carried at fair value | 4,222,584 | 1,216,902
Liabilities: |  |
Securitized debt | 0 | 0
Level 3 | Residential whole loans, at fair value |  |
Assets: |  |
Residential whole loans, at fair value | 4,222,584 | 1,216,902
Liabilities: |  |
Total liabilities carried at fair value | 1,950,642 | 2,283,375
Level 3 | Agreements with non-mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | 628,280 | 1,159,213
Level 3 | Agreements with mark-to-market collateral provisions |  |
Liabilities: |  |
Liabilities carried at fair value | $ 1,322,362 | $ 1,124,162

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- Definition Fair value portion of probable future economic benefits obtained or controlled by an entity as a result of past transactions or events. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Fair value at acquisition of acquired loans not accounted for as debt securities with evidence of deterioration of credit quality. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 15 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123409700&loc=d3e13503-111538 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -Subparagraph (a)(3) -URI http://asc.fasb.org/extlink&oid=121614798&loc=d3e15032-111544 + Details
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- Definition The fair value as of the balance sheet date of firm holdings in mortgages, mortgage backed securities (investment instruments that represent ownership of an undivided interest in a group of mortgages, where principal and interest from the individual mortgages are used to pay investors' principal and interest on the mortgage backed security) and asset-backed securities that are primarily paid from the cash flows of a discrete pool of receivables or other financial assets (such as credit-card receivables), either fixed or revolving, that by their terms convert into cash within a finite time period. Includes both pledged (to counterparties as collateral for financing transactions) and unpledged holdings. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=35711157&loc=d3e42546-110969 + Details
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- Definition Fair value of financial obligations, including, but not limited to, debt instruments, derivative liabilities, federal funds purchased and sold under agreements to repurchase, securities loaned or sold under agreements to repurchase, financial instruments sold not yet purchased, guarantees, line of credit, loans and notes payable, servicing liability, and trading liabilities. + References No definition available. + Details
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