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Investment Securities Available for Sale, at Fair Value - Schedule of Investment Securities Available for Sale (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |  |
--- | --- | --- | --- | ---
Mar. 31, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Mar. 31, 2020
Fair Value Option |  |  |  |
Amortized Cost |  | $ 374,734 | $ 412,164 |
Unrealized Gains | $ 15,795 | 19,533 |  |
Unrealized Losses | (14,517) | (12,127) |  |
Fair Value |  | 382,140 | 413,442 |
CECL Securities |  |  |  |
Amortized Cost |  | 217,818 | 310,290 |
Unrealized Gains |  | 8,476 | 6,368 |
Unrealized Losses |  | (1,027) | (5,374) |
Fair Value |  | 225,267 | 311,284 |
Total CECL Securities and Fair Value Option |  |  |  |
Amortized Cost |  | 592,552 | 722,454 |
Unrealized Gains |  | 28,009 | 22,163 |
Unrealized Losses |  | (13,154) | (19,891) |
Fair Value |  | 607,407 | 724,726 |
Consolidated K-Series | VIE, Primary Beneficiary |  |  |  |
Total CECL Securities and Fair Value Option |  |  |  |
IOs and mezzanine securities transferred to available-for-sale securities from consolidated K-series due to de-consolidation |  |  |  | $ 237,300
Agency RMBS |  |  |  |
Fair Value Option |  |  |  |
Amortized Cost |  | 134,461 | 138,541 |
Unrealized Gains | 854 | 0 |  |
Unrealized Losses | 0 | (3,162) |  |
Fair Value |  | 131,299 | 139,395 |
Non-Agency RMBS |  |  |  |
Fair Value Option |  |  |  |
Amortized Cost |  | 100,379 | 100,465 |
Unrealized Gains | 170 | 674 |  |
Unrealized Losses | (10,786) | (8,560) |  |
Fair Value |  | 92,493 | 89,849 |
CECL Securities |  |  |  |
Amortized Cost |  | 189,398 | 266,855 |
Unrealized Gains |  | 6,742 | 4,336 |
Unrealized Losses |  | (645) | (5,374) |
Fair Value |  | 195,495 | 265,817 |
Non-Agency RMBS | Non Agency RMBS Held In Securitization Trust |  |  |  |
Fair Value Option |  |  |  |
Fair Value |  |  | 37,600 |
CECL Securities |  |  |  |
Amortized Cost |  |  | 71,500 |
CMBS |  |  |  |
Fair Value Option |  |  |  |
Amortized Cost |  | 111,977 | 139,019 |
Unrealized Gains | 5,685 | 4,156 |  |
Unrealized Losses | (3,731) | (405) |  |
Fair Value |  | 115,728 | 140,973 |
CECL Securities |  |  |  |
Amortized Cost |  | 28,420 | 43,435 |
Unrealized Gains |  | 1,734 | 2,032 |
Unrealized Losses |  | (382) | 0 |
Fair Value |  | 29,772 | 45,467 |
CMBS | Consolidated K-Series | VIE, Primary Beneficiary |  |  |  |
Total CECL Securities and Fair Value Option |  |  |  |
IOs and mezzanine securities transferred to available-for-sale securities from consolidated K-series due to de-consolidation |  | 72,600 | 97,600 |
ABS |  |  |  |
Fair Value Option |  |  |  |
Amortized Cost |  | 27,917 | 34,139 |
Unrealized Gains | 9,086 | 14,703 |  |
Unrealized Losses | $ 0 | 0 |  |
Fair Value |  | $ 42,620 | $ 43,225 |

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