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Investment Securities Available for Sale, at Fair Value - Schedule of Investment Securities Available for Sale (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
--- | --- | --- | ---
Sep. 30, 2020 | Dec. 31, 2019 | Mar. 31, 2020
Fair Value Option |  |  |
Amortized Cost | $ 288,935 | $ 244,735 |
Gains | 8,866 | 2,998 |
Unrealized Losses | (17,503) | (2,405) |
Fair Value | 280,298 | 245,328 |
CECL Securities |  |  |
Amortized Cost | 335,338 | 1,735,680 |
Unrealized Gains | 1,685 | 32,723 |
Unrealized Losses | (13,624) | (7,591) |
Fair Value | 323,399 | 1,760,812 |
Total CECL Securities and Fair Value Option |  |  |
Amortized Cost | 624,273 | 1,980,415 |
Unrealized Gains | 10,551 | 35,721 |
Unrealized Losses | (31,127) | (9,996) |
Fair Value | 603,697 | 2,006,140 |
VIE, Primary Beneficiary | Consolidated K-Series |  |  |
Total CECL Securities and Fair Value Option |  |  |
Securities owned, fair value |  |  | $ 237,300
Agency RMBS |  |  |
Fair Value Option |  |  |
Amortized Cost | 0 | 21,033 |
Gains | 0 | 0 |
Unrealized Losses | 0 | (55) |
Fair Value | 0 | 20,978 |
CECL Securities |  |  |
Amortized Cost | 0 | 901,943 |
Unrealized Gains | 0 | 7,410 |
Unrealized Losses | 0 | (7,454) |
Fair Value | 0 | $ 901,899 |
Total CECL Securities and Fair Value Option |  |  |
Weighted average reset period |  | 26 months |
Agency RMBS | Agency Fixed- Rate |  |  |
Fair Value Option |  |  |
Amortized Cost | 0 | $ 21,033 |
Gains | 0 | 0 |
Unrealized Losses | 0 | (55) |
Fair Value | 0 | 20,978 |
CECL Securities |  |  |
Amortized Cost | 0 | 846,203 |
Unrealized Gains | 0 | 7,397 |
Unrealized Losses | 0 | (6,107) |
Fair Value | 0 | 847,493 |
Agency RMBS | Agency ARMs |  |  |
CECL Securities |  |  |
Amortized Cost | 0 | 55,740 |
Unrealized Gains | 0 | 13 |
Unrealized Losses | 0 | (1,347) |
Fair Value | 0 | 54,406 |
Agency CMBS |  |  |
Fair Value Option |  |  |
Amortized Cost | 0 | 31,076 |
Gains | 0 | 0 |
Unrealized Losses | 0 | (395) |
Fair Value | 0 | 30,681 |
CECL Securities |  |  |
Amortized Cost | 0 | 20,258 |
Unrealized Gains | 0 | 19 |
Unrealized Losses | 0 | 0 |
Fair Value | 0 | 20,277 |
Total Agency |  |  |
Fair Value Option |  |  |
Amortized Cost | 0 | 52,109 |
Gains | 0 | 0 |
Unrealized Losses | 0 | (450) |
Fair Value | 0 | 51,659 |
CECL Securities |  |  |
Amortized Cost | 0 | 922,201 |
Unrealized Gains | 0 | 7,429 |
Unrealized Losses | 0 | (7,454) |
Fair Value | 0 | 922,176 |
Non-Agency RMBS |  |  |
Fair Value Option |  |  |
Amortized Cost | 108,134 | 122,628 |
Gains | 153 | 2,435 |
Unrealized Losses | (11,884) | (1,248) |
Fair Value | 96,403 | 123,815 |
CECL Securities |  |  |
Amortized Cost | 291,925 | 578,955 |
Unrealized Gains | 425 | 12,557 |
Unrealized Losses | (12,988) | (13) |
Fair Value | 279,362 | 591,499 |
Non-Agency RMBS | Non-Agency RMBS Held in Securitization Trust |  |  |
Fair Value Option |  |  |
Fair Value | 44,300 |  |
CECL Securities |  |  |
Fair Value | 87,600 |  |
CMBS |  |  |
Fair Value Option |  |  |
Amortized Cost | 141,282 | 20,096 |
Gains | 3,225 | 563 |
Unrealized Losses | (5,619) | (19) |
Fair Value | 138,888 | 20,640 |
CECL Securities |  |  |
Amortized Cost | 43,413 | 234,524 |
Unrealized Gains | 1,260 | 12,737 |
Unrealized Losses | (636) | (124) |
Fair Value | 44,037 | 247,137 |
CMBS | VIE, Primary Beneficiary | Consolidated K-Series |  |  |
Total CECL Securities and Fair Value Option |  |  |
Securities owned, fair value | 95,900 |  |
ABS |  |  |
Fair Value Option |  |  |
Amortized Cost | 39,519 | 49,902 |
Gains | 5,488 | 0 |
Unrealized Losses | 0 | (688) |
Fair Value | $ 45,007 | $ 49,214 |

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