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Investment Securities Available for Sale, at Fair Value - Schedule of Investment Securities Available for Sale-Fair Value Option (Details) - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2020
Dec. 31, 2019
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost $ 533,307 $ 244,735
Gains 467 2,998
Losses (88,998) (2,405)
Fair Value 444,776 245,328
VIE, Primary Beneficiary | Consolidated K-Series    
Debt and Equity Securities, FV-NI [Line Items]    
Securities owned, fair value 237,300  
Agency RMBS    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 0 21,033
Gains 0 0
Losses 0 (55)
Fair Value 0 20,978
Agency CMBS    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 0 31,076
Gains 0 0
Losses 0 (395)
Fair Value 0 30,681
Total Agency    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 0 52,109
Gains 0 0
Losses 0 (450)
Fair Value 0 51,659
Non-Agency RMBS    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 252,456 122,628
Gains 467 2,435
Losses (48,278) (1,248)
Fair Value 204,645 123,815
CMBS    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 231,031 20,096
Gains 0 563
Losses (33,244) (19)
Fair Value 197,787 20,640
CMBS | VIE, Primary Beneficiary | Consolidated K-Series    
Debt and Equity Securities, FV-NI [Line Items]    
Securities owned, fair value 124,200  
ABS    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 49,820 49,902
Gains 0 0
Losses (7,476) (688)
Fair Value 42,344 49,214
Agency Fixed- Rate | Agency RMBS    
Debt and Equity Securities, FV-NI [Line Items]    
Amortized Cost 0 21,033
Gains 0 0
Losses 0 (55)
Fair Value $ 0 $ 20,978