CYS Investments 10-Q 22 Apr 16 2016 Q1 Quarterly report Financial data

Document And Entity Information

Document And Entity Information - shares	3 Months Ended
	Mar. 31, 2016	Apr. 22, 2016
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2016
Document Fiscal Period Focus	Q1
Document Fiscal Year Focus	2,016
Entity Registrant Name	CYS Investments, Inc.
Entity Central Index Key	1,396,446
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		151,556,564

Consolidated Statements Of Asse

Consolidated Statements Of Assets And Liabilities (Unaudited) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015	[1]
Assets:
Investments in securities, at fair value (including pledged assets of $10,898,745 and $11,601,900, respectively)	$ 12,918,402	$ 13,027,707
Other investments	34,028	50,028
Derivative assets, at fair value	32,701	100,778
Cash	6,262	9,982
Receivable for securities sold and principal repayments	1,586	1,084,844
Interest receivable	34,033	34,563
Receivable for cash pledged as collateral	85,097	21,751
Other assets	1,219	1,051
Total assets	13,113,328	14,330,704
Liabilities:
Repurchase agreements	9,656,969	8,987,776
FHLBC Advances, at fair value	649,553	2,098,701
Derivative liabilities, at fair value	85,461	14,024
Payable for securities purchased	937,163	1,475,974
Payable for cash received as collateral	9,141	18,534
Distribution payable	43,809	4,410
Accrued interest payable	20,020	32,588
Accrued expenses and other liabilities	3,113	4,083
Total liabilities	11,405,229	12,636,090
Stockholders' equity:
7.75% Series A Cumulative Redeemable Preferred Stock, (3,000 shares issued and outstanding, respectively, $75,000 in aggregate liquidation preference)	72,369	72,369
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference)	193,531	193,531
Common Stock, $0.01 par value, 500,000 shares authorized (151,535 and 151,740 shares issued and outstanding, respectively)	1,515	1,517
Additional paid in capital	1,943,177	1,946,419
Accumulated deficit	(502,493)	(519,222)
Total stockholders' equity	1,708,099	1,694,614
Total liabilities and stockholders' equity	$ 13,113,328	$ 14,330,704
[1]	Derived from audited consolidated financial statements.

Condolidated Statements Of Asse

Condolidated Statements Of Assets And Liabilities (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Common Stock, Number of Shares, Par Value and Other Disclosures [Abstract]
Investments in securities, pledged assets	$ 10,898,745	$ 11,601,900
Series Cumulative Redeemable Preferred Stock, par value	$ 0.01	$ 0.01
Preferred Stock, shares authorized	50,000,000	50,000,000
Series A Cumulative Redeemable Preferred Stock, shares issued	3,000,000	3,000,000
Series A Cumulative Redeemable Preferred Stock, shares outstanding	3,000,000	3,000,000
Series A Cumulative Redeemable Preferred Stock, aggregate liquidation value	$ 75,000	$ 75,000
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share	$ 25	$ 25
Series B Cumulative Redeemable Preferred Stock, shares issued	8,000,000	8,000,000
Series B Cumulative Redeemable Preferred Stock, shares outstanding	8,000,000	8,000,000
Series B Cumulative Redeemable Preferred Stock, aggregate liquidation value	$ 200,000	$ 200,000
Series B Cumulative Redeemable Preferred Stock, liquidation preference per share	$ 25	$ 25
Common stock, par value	$ 0.01	$ 0.01
Common stock, shares authorized	500,000,000	500,000,000
Common stock, shares issued	151,535,316	151,739,840
Common stock, shares outstanding	151,535,316	151,739,840

Condensed Statements Of Operati

Condensed Statements Of Operations - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Interest income:
Interest income from Agency RMBS	$ 81,323	$ 80,060
Other interest income	128	790
Total interest income	81,451	80,850
Interest expense:
Interest expense on repurchase agreements and FHLBC Advances	17,945	9,642
Net interest income	63,506	71,208
Other income (loss):
Net realized gain (loss) on investments	1,202	18,253
Net unrealized gain (loss) on investments	162,286	75,689
Net unrealized gain (loss) on FHLBC Advances	(851)	0
Other income	463	40
Subtotal	163,100	93,982
Swap and cap interest expense	(18,398)	(27,468)
Net realized and unrealized gain (loss) on derivative instruments	(140,524)	(77,368)
Net gain (loss) on derivative instruments	(158,922)	(104,836)
Total other income (loss)	4,178	(10,854)
Expenses:
Compensation and benefits	3,865	3,554
General, administrative and other	2,488	2,203
Total expenses	6,353	5,757
Net income (loss)	61,331	54,597
Less preferred stock dividends	(5,203)	(5,203)
Net income (loss) available to common stockholders	$ 56,128	$ 49,394
Net income (loss) per common share basic & diluted	$ 0.37	$ 0.31
Dividends declared per common share	$ 0.26	$ 0.30

Consolidated Statement Of Chang

Consolidated Statement Of Changes In Stockholders Equity - USD ($) $ in Thousands	Total		Common Stock Par Value	Additional Paid-in Capital	Accumulated Deficit	Series A Preferred Stock	Series B Preferred Stock
Balance at Dec. 31, 2014	$ 1,975,168		$ 1,618	$ 2,049,152	$ (341,502)	$ 72,369	$ 193,531
Net income (loss)	54,597		0	0	54,597	0	0
Issuance of common stock	0		4	(4)	0	0	0
Amortization of share-based compensation	954		0	954	0	0	0
Repurchase and cancellation of common stock	(37,446)		(41)	(37,405)	0	0	0
Preferred dividends	(5,203)		0	0	(5,203)	0	0
Common dividends	(47,434)		0	0	(47,434)	0	0
Balance at Mar. 31, 2015	1,940,636		1,581	2,012,697	(339,542)	72,369	193,531
Balance at Dec. 31, 2015	1,694,614	[1]	1,517	1,946,419	(519,222)	72,369	193,531
Net income (loss)	61,331		0	0	61,331	0	0
Issuance of common stock	0		3	(3)	0	0	0
Amortization of share-based compensation	979		0	979	0	0	0
Repurchase and cancellation of common stock	(4,223)		(5)	(4,218)	0	0	0
Preferred dividends	(5,203)		0	0	(5,203)	0	0
Common dividends	(39,399)		0	0	(39,399)	0	0
Balance at Mar. 31, 2016	$ 1,708,099		$ 1,515	$ 1,943,177	$ (502,493)	$ 72,369	$ 193,531
[1]	Derived from audited consolidated financial statements.

Consolidated Statements Of Cash

Consolidated Statements Of Cash Flows - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016		Mar. 31, 2015
Cash flows from operating activities:
Net income (loss)	$ 61,331		$ 54,597
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Amortization of share-based compensation	979		954
Amortization of premiums and discounts on investment securities	15,869		21,450
Amortization of premiums on interest rate cap contracts	4,375		4,375
Net realized (gain) loss on investments	(1,202)		(18,253)
Net unrealized (gain) loss on investments	(162,286)		(75,689)
Net realized and unrealized (gain) loss on derivative instruments	129,411		74,800
Net unrealized (gain) loss on FHLBC Advances	851		0
Change in assets and liabilities:
Interest receivable	530		580
Other assets	(168)		(10,325)
Accrued interest payable	(12,568)		4,214
Accrued expenses and other liabilities	(970)		(2,814)
Net cash provided by operating activities	36,152		53,889
Cash flows from investing activities:
Purchase of investment securities	(1,468,196)		(6,863,933)
Proceeds from disposition of investment securities	1,382,390		6,018,216
Proceeds from disposition of other investments	16,000		0
Proceeds from paydowns of investment securities	348,459		462,438
Change in assets and liabilities:
Receivable for securities sold and principal repayments	1,083,258		(261,363)
Payable for securities purchased	(538,811)		1,261,561
Receivable for cash pledged as collateral	(63,346)		(26,112)
Payable for cash received as collateral	(9,393)		(24,542)
Net cash provided by (used in) investing activities	750,361		566,265
Cash flows from financing activities:
Proceeds from repurchase agreements	23,794,322		23,743,739
Repayments of repurchase agreements	(23,125,129)		(24,828,397)
Proceeds from FHLBC Advances	2,175,000		1,010,000
Repayments of FHLBC Advances	(3,625,000)		(500,000)
Net payments from repurchase of common stock	(4,223)		(37,446)
Distributions paid	(5,203)		(5,203)
Net cash used in financing activities	(790,233)		(617,307)
Net increase (decrease) in cash	(3,720)		2,847
Cash - Beginning of period	9,982	[1]	4,323
Cash - End of period	6,262		7,170
Supplemental disclosures of cash flow information:
Interest paid	44,535		28,522
Supplemental disclosures of non-cash flow information:
Distributions declared, not yet paid	$ 43,809		$ 51,844
[1]	Derived from audited consolidated financial statements.

Orginazation

Orginazation	3 Months Ended
	Mar. 31, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	ORGANIZATION CYS Investments, Inc. (the "Company" "we", "us", and "our") was formed as a Maryland corporation on January 3, 2006, and commenced operations on February 10, 2006. The Company has elected to be taxed and intends to continue to qualify as a real estate investment trust ("REIT") and is required to comply with the provisions of the Internal Revenue Code of 1986, as amended (the "Code"), with respect thereto. The Company has primarily purchased residential mortgage-backed securities that are issued and the principal and interest of which are guaranteed by a federally chartered corporation ("Agency RMBS"), such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac"), or an agency of the U.S. government such as the Government National Mortgage Association ("Ginnie Mae"), and debt securities issued by the United States Department of Treasury ("U.S. Treasuries"). The Company may also purchase collateralized mortgage obligations issued by a government agency or government-sponsored entity that are collateralized by Agency RMBS ("CMOs"), or securities issued by a government sponsored entity that are not backed by collateral but, in the case of government agencies, are backed by the full faith and credit of the U.S. government, and, in the case of government sponsored entities, are backed by the integrity and creditworthiness of the issuer ("U.S. Agency Debentures"). The Company’s common stock, Series A Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series A Preferred Stock"), and Series B Cumulative Redeemable Preferred Stock, $25.00 liquidation preference (the "Series B Preferred Stock"), trade on the New York Stock Exchange under the symbols "CYS," "CYS PrA" and "CYS PrB," respectively. In March 2015, our wholly-owned captive insurance subsidiary, CYS Insurance Services, LLC ("CYS Insurance"), was granted membership in the Federal Home Loan Bank ("FHLB") system, specifically in the FHLB of Cincinnati ("FHLBC"). Membership in the FHLBC obligates CYS Insurance to purchase FHLBC membership stock and activity stock, the latter being a percentage of the advances it obtains from the FHLBC. CYS Insurance seeks both short and long-term advances (collectively, "FHLBC Advances") from the FHLBC. On January 12, 2016, the Federal Housing Finance Agency ("FHFA") issued a final rule (the "Final Rule") amending its regulations governing FHLB Membership criteria for captive insurance companies. The Final Rule defines "insurance company" to exclude "captive insurers". Under this Final Rule, which became effective on February 19, 2016, CYS Insurance must terminate its membership in the FHLBC within one year of the effective date and will not be permitted to secure any new advances. All FHLBC Advances are required to be repaid no later than February 19, 2017. See Note 5, Repurchase Agreements and FHLBC Advances.

Significant Accounting Policies

Significant Accounting Policies	3 Months Ended
	Mar. 31, 2016
Accounting Policies [Abstract]
Significant Accounting Policies	SIGNIFICANT ACCOUNTING POLICIES Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The unaudited consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2015, included in the 2015 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the entire fiscal year. The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The unaudited consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the unaudited consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. Reclassification Commencing with the report on Form 10-K for the year ended December 31, 2015, "Swap and cap interest expense", which up through September 30, 2015 was recognized as a separate component of " Total interest expense" in the consolidated statement of operations, is now recognized as a component of "Net gain (loss) on derivative instruments". This reclassification was made in order to record income, expenses and fair value changes related to derivative instruments in one line item in the consolidated statements of operations, consistent with common industry practice. Prior period balances have been reclassified to conform to the current period presentation. Investments in Securities The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320 —Investments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option requires the Company to record changes in fair value of our investments in the unaudited consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis. Agency RMBS The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans ("ARMs") and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs. Forward Settling Transactions The Company engages in forward settling transactions to purchase or sell certain securities. Agency RMBS may include forward contracts for Agency RMBS purchases or sales of specified pools on a to-be-announced basis ("TBA Securities") that meet the regular-way scope exception in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 815 - Derivatives and Hedging ("ASC 815"), and are recorded on a trade date basis. The Company maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions. Investment Valuation The Company's pricing committee is responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services and derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and/or economic events. The pricing services may also use a matrix approach, which uses information regarding securities with similar characteristics to determine the valuation for a security. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are made in determining the fair value of the Company's interest rate swaps and caps. All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for a discussion of how the Company values its assets. Derivative Instruments Included in Derivative Instruments are interest rate swaps and interest rate caps and TBA Derivatives (defined below). The Company uses interest rate swaps and interest rate caps to economically hedge a portion of its exposure to market risks, including interest rate and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to fair value. When the Company terminates a swap or cap, we record a realized gain or loss equal to the difference between the proceeds from (or the cost of) closing the transaction and the Company's cost basis in the contract, if any. We report the periodic payments and amortization of premiums on cap contracts under swap and cap interest expense in our unaudited consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Company’s expectations, thereby increasing the Company’s payment obligation. The Company's interest rate swap and cap contracts (a "swap" or "cap", respectively) may be subject to a master netting arrangement ("MNA"). The Company is exposed to credit loss in the event of non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of March 31, 2016 and December 31, 2015 , the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. While the Company's derivative agreements generally permit netting or setting off derivative assets and liabilities with the counterparty, the Company reports derivative assets and liabilities on a gross basis in our unaudited consolidated balance sheets. Derivatives are accounted for in accordance with ASC 815 which requires recognition of all derivatives as either assets or liabilities at fair value in the consolidated balance sheets with changes in fair value recognized in the consolidated statements of operations in "Net realized and unrealized gain (loss) on derivative instruments". Cash receipts and payments related to derivative instruments are classified in our unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections. See Note 4, Derivative Instruments. The Company enters into TBA dollar roll transactions whereby the Company is not contractually obligated to accept delivery on the settlement date ("TBA Derivatives"). TBA Derivatives are accounted for as a series of derivative transactions. The fair value of TBA Derivatives is based on similar methods used to value Agency RMBS with gains and losses recorded in Net gains (losses) on derivative instruments in the consolidated statements of operations. TBA Derivative transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA Derivative and a subsequent purchase of a new TBA Derivative. None of the Company's derivatives have been designated as hedging instruments for accounting purposes. Effective January 1, 2016, the Company recognized all TBAs that do not qualify for the regular-way scope exception under ASC 815 as derivatives. Interest Income We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's unaudited consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our unaudited consolidated statements of operations as it occurs. Other Investments The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLBC. The FHLBC provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLBC Advances at fair value are a funding source for the Company. As a condition of its membership in the FHLBC, CYS Insurance is required to maintain a FHLBC stock investment, both for membership and for the level of advances from the FHLBC to CYS Insurance. The Company accounts for its investment in FHLBC stock as a cost method investment in "Other investments". The Company periodically evaluates FHLBC stock for impairment in accordance with ASC 320 - Investments Debt and Equity Securities . Also included in other investments is a real estate asset which is recorded at fair value. Repurchase Agreements and FHLBC Advances Borrowings under repurchase agreements ("repo borrowings") and FHLBC Advances are collateralized by the Company’s Agency RMBS and U.S. Treasuries (collectively, "Debt Securities"). The Company’s repo borrowing counterparties are institutional dealers in fixed income securities and large financial institutions, and CYS Insurance's counterparty for FHLBC Advances is the FHLBC. Collateral pledged on repo borrowings is valued daily, and on FHLBC Advances periodically, and our counterparties (including the FHLBC) may require posting of additional collateral when the fair value of pledged collateral decline. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings and FHLBC Advances. See Note 5, Repurchase Agreements and FHLBC Advances . We account for our repo borrowings as short-term indebtedness under ASC 470 — Debt; accordingly, these short-term instruments are accounted in our financial statements and carried at their amortized cost or carrying value, which approximates their fair value due to their short-term nature. Also, we have entered into FHLBC Advances that may have an initial maturity of more than one year that are collateralized by the Company's Debt Securities. The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for FHLBC Advances and, therefore, this debt is recorded at fair market value on the consolidated balance sheets. The unpaid principal balance of FHLBC Advances with initial maturities less than one year generally approximate fair value due to the short-term nature of the instruments. We price FHLBC Advances with an initial maturity greater than one year daily through a pricing service that uses a discounted cash flow model to value the debt, and periodically we validate the prices we receive through this process. The changes in fair market value are recorded in current period earnings on our unaudited consolidated statements of operations as a component of net unrealized gain (loss) on FHLBC Advances. Electing the fair value option permits the Company to record changes in the fair value of our FHLBC Advances along with that of our investments in our unaudited consolidated statements of operations which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all income producing assets and liabilities will be treated in a similar manner. See Note 5, Repurchase Agreements and FHLBC Advances . Recent Accounting Pronouncements In January 2016, the FASB issued ASU 2016-01, "Financial Instruments - Overall: Recognition and Measurement of Financial Assets and Financial Liabilities," ("ASU 2016-01"), which significantly revises an entity's accounting related to the classification and measurement of investments in equity securities and requires the presentation of certain fair value changes for financial liabilities measured at fair value. ASU 2016-01 is effective for financial statements issued for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. The Company is currently evaluating the impact that ASU 2016-01 will have on its consolidated financial statements.

Investments in Securities

Investments in Securities	3 Months Ended
	Mar. 31, 2016
Available-for-sale Securities [Abstract]
Investments in Securities and Other Assets	INVESTMENTS IN SECURITIES The available-for-sale portfolio consisted of the following as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 10,925,812 $ (1,038 ) $ 172,749 $ 11,097,523 ARMs 263,926 — 2,711 266,637 Total Fannie Mae 11,189,738 (1,038 ) 175,460 11,364,160 Freddie Mac Certificates Fixed Rate 1,422,646 (88 ) 24,995 1,447,553 ARMs 31,680 (1 ) 720 32,399 Total Freddie Mac 1,454,326 (89 ) 25,715 1,479,952 Ginnie Mae Certificates - ARMs 43,596 — 722 44,318 U.S. Treasuries 29,959 — 13 29,972 Other Investments 32,948 — 1,080 34,028 Total $ 12,750,567 $ (1,127 ) $ 202,990 $ 12,952,430 December 31, 2015 Fannie Mae Certificates Fixed Rate $ 11,142,798 $ (45,018 ) $ 74,891 $ 11,172,671 ARMs 260,394 (1,859 ) 1,860 260,395 Total Fannie Mae 11,403,192 (46,877 ) 76,751 11,433,066 Freddie Mac Certificates Fixed Rate 1,379,566 (3,881 ) 11,822 1,387,507 ARMs 60,821 (727 ) 749 60,843 Total Freddie Mac 1,440,387 (4,608 ) 12,571 1,448,350 Ginnie Mae Certificates - ARMs 45,784 — 796 46,580 U.S. Treasuries 99,847 (136 ) — 99,711 Other Investments 48,948 — 1,080 50,028 Total $ 13,038,158 $ (51,621 ) $ 91,198 $ 13,077,735 The following table presents the gross unrealized loss and fair values of our available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2016 and December 31, 2015 (in thousands): Unrealized loss positions for Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss March 31, 2016 $ 341,950 $ (770 ) $ 148,987 $ (221 ) $ 490,937 $ (991 ) December 31, 2015 6,718,658 (50,319 ) 86,300 (1,303 ) 6,804,958 (51,622 ) The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 2015 Available-for-sale investments, at cost $ 1,397,188 $ 5,999,963 Proceeds from available-for-sale investments sold 1,398,390 6,018,216 Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 Gross gain on sale of available-for-sale investments $ 5,383 $ 33,979 Gross (loss) on sale of available-for-sale investments (4,181 ) (15,726 ) Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 The components of the carrying value of available-for-sale securities at March 31, 2016 and December 31, 2015 are presented below. A premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) March 31, 2016 (1) December 31, 2015 (1) Principal balance $ 12,265,726 $ 12,534,877 Unamortized premium 458,991 462,632 Unamortized discount (153 ) (273 ) Gross unrealized gains 202,990 90,118 Gross unrealized losses (1,127 ) (51,622 ) Fair value $ 12,926,427 $ 13,035,732 __________________ (1) FHLBC stock of approximately $26.0 million and $42.0 million at March 31, 2016 and December 31, 2015 , respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment. The weighted-average coupon interest rate on the Company's Debt Securities as of March 31, 2016 and December 31, 2015 was 3.43% and 3.39% , respectively. Actual maturities of Agency RMBS are generally shorter than their stated contractual maturities (which range up to 30 years), because they are affected by the contractual lives of the underlying mortgages, periodic payments and principal prepayments. As of March 31, 2016 and December 31, 2015 , the range of final contractual maturity of the Company’s Agency RMBS portfolio was between 2024 and 2046 , and the final maturity of the Company's U.S. Treasuries was 2016 and 2019 , respectively. Credit Risk The Company believes it has minimal exposure to credit losses on its investment securities assets at March 31, 2016 and December 31, 2015 because it owns principally Debt Securities. Principal and interest payments on Agency RMBS are guaranteed by Freddie Mac and Fannie Mae, while principal and interest payments on Ginnie Mae RMBS and U.S. Treasuries are backed by the full faith and credit of the U.S. government. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. On August 5, 2011, Standard & Poor’s ("S&P") downgraded the U.S. government’s credit rating for the first time to AA+. Fitch Ratings Inc. ("Fitch") announced on October 15, 2013 that it had placed the U.S. government's credit rating on "negative watch". This was changed to "stable" on March 21, 2014 and Fitch reaffirmed the "stable outlook" on April 12, 2016. As of March 31, 2016, S&P maintains a AA+ rating, while Fitch and Moody's rate the U.S. government AAA and Aaa, respectively. Because Fannie Mae and Freddie Mac remain under U.S. government conservatorship, the implied credit ratings of Agency RMBS are similarly rated. While the conservatorship, ratings downgrade and ratings watch appear not to have had a significant impact on the fair value of the Agency RMBS or U.S. Treasuries in the Company’s portfolio, these developments create a level of uncertainty regarding the credit risk of Debt Securities.

Derivative Instruments

Derivative Instruments	3 Months Ended
	Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives and Fair Value [Text Block]	The Company enters into interest rate swap and cap contracts with the intent of managing our interest rate exposure. The Company had the following activity in interest rate swap and cap transactions during the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 Trade Date Transaction Notional Trade Date Transaction Notional January 2016 Terminated $ (500,000 ) January 2015 Terminated $ (400,000 ) January 2015 Opened $ 500,000 Net Increase $ 100,000 As of March 31, 2016 and December 31, 2015 , the Company had pledged Debt Securities with a fair value of $79.1 million and $50.7 million , respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2016 and December 31, 2015 , the Company had pledged cash of $85.1 million and $21.8 million , respectively, as collateral on interest rate swap and cap contracts. As of March 31, 2016 , the Company had Debt Securities of $21.5 million and cash of $8.8 million pledged to it as collateral for its interest rate swap and cap contracts. As of December 31, 2015 , the Company had Debt Securities of $44.1 million and cash of $18.5 million pledged to it as collateral for its interest rate swap and cap contracts. See Note 7, Pledged Assets . Below is a summary of our interest rate swap and cap contracts and TBA Derivatives open as of March 31, 2016 and December 31, 2015 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 1,000,000 $ 327 Derivative assets, at fair value March 31, 2016 $ 6,450,000 $ (84,173 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 Derivative assets, at fair value December 31, 2015 2,050,000 (14,024 ) Derivative liabilities, at fair value Interest Rate Cap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 2,500,000 $ 29,325 Derivative assets, at fair value December 31, 2015 2,500,000 61,343 Derivative assets, at fair value TBA Derivatives Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 350,000 $ (1,288 ) Derivative liabilities, at fair value March 31, 2016 643,807 3,049 Derivative assets, at fair value The average notional value of the Company's TBA Derivatives during the quarter ended March 31, 2016 was $1,103.5 million . The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (18,398 ) $ (27,468 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (140,524 ) (77,368 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments (158,922 ) (104,836 ) The swap and cap notional was $9,950.0 million at March 31, 2016 compared to $10,450.0 million at December 31, 2015 , and as a percentage of our repo borrowings and FHLB Advances was 96.5% at March 31, 2016 compared to 94.3% at December 31, 2015 .

Repurchase Agreements and FHLB

Repurchase Agreements and FHLB Advances	3 Months Ended
	Mar. 31, 2016
Banking and Thrift [Abstract]
Repurchase Agreements	REPURCHASE AGREEMENTS AND FHLBC ADVANCES The Company leverages its portfolio primarily through repo borrowings and FHLBC Advances. Each of the Company's repo borrowings bear interest at a rate based on a spread above or below the London Interbank Offered Rate ("LIBOR"). The interest rate for FHLBC Advances are set by the FHLBC. The fair value of repo borrowings and FHLBC Advances with initial maturities less than one year approximates their carrying amount or amortized cost due to the short-term nature of these financial instruments. While repo borrowings and FHLBC Advances are the Company's principal source of borrowings, the Company may issue long-term debt ( i.e. , debt with an initial term greater than one year) to diversify credit sources and to manage interest rate and duration risk. Certain information with respect to the Company’s repo borrowings and FHLBC Advances outstanding at the balance sheet date is summarized in the table below. (in thousands) March 31, 2016 December 31, 2015 Outstanding repurchase agreements $ 9,656,969 $ 8,987,776 Outstanding FHLBC advances (2) $ 649,553 $ 2,098,701 Interest accrued thereon $ 6,000 $ 7,383 Weighted-average borrowing rate 0.73 % 0.54 % Weighted-average remaining maturity (in days) 50.5 42.2 Fair value of the collateral (1) $ 10,816,817 $ 11,548,930 __________________ (1) Collateral for repo borrowings and FHLBC Advances consists of Agency RMBS and U.S. Treasuries. (2) During January 2016, CYS repaid $1,450.0 million of its FHLBC Advances and replaced the advances with repo borrowings from its existing counterparties. Currently, CYS Insurance has $650.0 million of FHLBC Advances that are required to be repaid on or prior to February 19, 2017. The following table presents information about collateral supporting repo borrowings and FHLBC Advances as of March 31, 2016 and December 31, 2015 (in thousands): Collateral for repurchase agreements and FHLBC Advances Remaining contractual maturity of the repurchase agreements and FHLBC Advances March 31, 2016 Up to 30 days 30-90 days Greater than 90 days Total Agency RMBS $ 6,204,602 $ 3,043,323 $ 1,048,145 $ 10,296,070 U.S. Treasuries 10,899 — — 10,899 Total $ 6,215,501 $ 3,043,323 $ 1,048,145 $ 10,306,969 December 31, 2015 Agency RMBS $ 7,579,885 $ 2,235,246 $ 924,394 $ 10,739,525 U.S. Treasuries 348,251 — — 348,251 Total $ 7,928,136 $ 2,235,246 $ 924,394 $ 11,087,776 At March 31, 2016 and December 31, 2015 , our amount at risk with any individual counterparty related to our repo borrowings or FHLBC Advances was less than 3.2% and 2.3% of stockholders' equity, respectively, and our repo borrowings or FHLBC Advances with any individual counterparty were less than 5.0% and 14.7% of our total assets, respectively. The amount at risk is defined as the excess of the fair value of the securities, including accrued interest, and cash, pledged to secure the repurchase agreement, over the amount of the repurchase agreement liability adjusted for accrued interest. Prior to the issuance of the Final Rule on January 12, 2016, pursuant to the FHLBC terms and conditions of membership and applicable credit policies, CYS Insurance was able to obtain long-term advances, secured by eligible collateral, including, but not limited to, residential mortgage-backed securities. At March 31, 2016 , we had $424.6 million in FHLBC Advances at fair value with initial maturities greater than one year with a related $0.5 million accrued interest expense on our unaudited consolidated balance sheet. These advances had an original term of three years, a weighted average interest rate of 1.48% , and a maturity of 0.9 years at March 31, 2016 . These are callable after the one-year anniversary of the advance and thereafter every six months. As a direct result of the Final Rule, all FHLBC Advances are now required to be repaid on or before February 19, 2017. At December 31, 2015, we had $423.7 million in FHLBC Advances at fair value with initial maturities greater than one year with a related $0.5 million accrued interest expense on our consolidated balance sheet. The FHLBC requires that CYS Insurance purchase and hold stock in the FHLBC in an amount equal to a specified percentage of outstanding FHLBC Advances. As of March 31, 2016 and December 31, 2015 , CYS Insurance held $26.0 million and $42.0 million in FHLBC stock that is included in "Other investments" on our unaudited consolidated balance sheets.

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2016
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	COMMITMENTS AND CONTINGENCIES The Company enters into certain agreements that contain a variety of indemnifications, principally with broker dealers. As of March 31, 2016 and December 31, 2015 , no claims have been asserted under these indemnification agreements. Accordingly, the Company has no liabilities recorded for these agreements as of March 31, 2016 and December 31, 2015 . The Company currently occupies leased office space for which the term expires on June 30, 2016. In September 2015, the Company entered into a new lease agreement with a commencement date of January 1, 2016, and an estimated rent commencement date of July 1, 2016. The term of this lease expires 84 months after the rent commencement date. Both leases have been classified as operating leases. The Company’s aggregate future minimum lease payments total approximately $2.7 million . The following table details the lease payments (in thousands): Years Ending December 31, Lease Commitments 2016 (remaining) $ 261 2017 353 2018 363 2019 373 2020 383 Later years 999 $ 2,732

Pledged Assets

Pledged Assets	3 Months Ended
	Mar. 31, 2016
Transfers and Servicing [Abstract]
Pledged Assets	PLEDGED ASSETS Assets Pledged to Counterparties The following tables summarize our assets pledged as collateral under our repo borrowings, FHLBC Advances, and derivative instruments by type, including securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLBC Advances Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 10,804,826 $ 48,389 $ 2,367 $ 10,855,582 U.S. Treasuries - fair value 11,992 31,171 — 43,163 Accrued interest on pledged securities 29,521 134 7 29,662 Cash — 85,097 — 85,097 Total $ 10,846,339 $ 164,791 $ 2,374 $ 11,013,504 December 31, 2015 Assets Pledged to Counterparties Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 11,547,098 $ 37,657 $ 2,259 $ 11,587,014 U.S. Treasuries - fair value 1,832 13,054 — 14,886 Accrued interest on pledged securities 30,890 196 5 31,091 Cash — 21,751 — 21,751 Total $ 11,579,820 $ 72,658 $ 2,264 $ 11,654,742 __________________ (1) Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016. Assets Pledged from Counterparties If the estimated fair value of our investment securities pledged as collateral increases due to changes in interest rates or other factors, we may require counterparties to release collateral back to us, which may be in the form of identical securities, similar securities, or cash. As of March 31, 2016 and December 31, 2015 , we had assets pledged to us as collateral under our repurchase, derivative agreements and TBAs as summarized in the tables below (in thousands): March 31, 2016 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 15,499 $ — $ — $ 15,499 U.S. Treasuries - fair value 12,451 21,540 — 33,991 Accrued interest on pledged securities 71 104 — 175 Cash — 9,141 — 9,141 Total $ 28,021 $ 30,785 $ — $ 58,806 December 31, 2015 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total U.S. Treasuries - fair value — 44,143 — 44,143 Accrued interest on pledged securities — 209 — 209 Cash — 18,534 — 18,534 Total $ — $ 62,886 $ — $ 62,886 __________________ (1) Excludes forward settling transactions classified as TBA Derivatives which are included in derivative instruments effective January 1, 2016. Cash collateral received is recognized in "Cash" with a corresponding amount recognized in "Payable for cash received as collateral" on the accompanying unaudited consolidated balance sheets. Securities collateral received from counterparties is disclosed as a component of our liquidity amount in Note 4, Derivative Instruments . Cash and Debt Securities we pledge as collateral under our derivatives instruments are included in "Cash" and "Investment in securities, at fair value" on our unaudited consolidated balance sheets. Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of set-off under master netting arrangements (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. Under U.S. GAAP, if the Company has a valid right of set-off, it may offset the related asset and liability and report the net amount. However, the Company reports amounts subject to its Master Repurchase Agreements ("MRAs") and International Standard Derivative Association ("ISDA") Agreements in the unaudited consolidated balance sheets on a gross basis without regard to such rights of offset. At March 31, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): March 31, 2016 Assets Liabilities Interest rate swap contracts $ 327 $ 84,173 Interest rate cap contracts 29,325 — TBA derivatives 3,049 1,288 Total derivative assets and liabilities in the unaudited consolidated balance sheets 32,701 85,461 Derivatives not subject to an MNA — 80,304 Total assets and liabilities subject to an MNA $ 32,701 $ 5,157 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities in the unaudited consolidated balance sheets 100,778 14,024 Derivatives not subject to an MNA 25,151 14,024 Total assets and liabilities subject to an MNA $ 75,627 $ — Below are summaries of the Company's assets and liabilities subject to offsetting provisions (in thousands): Assets Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Assets Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) March 31, 2016 Derivative assets $ 32,701 $ 2,132 $ 27,322 $ 3,247 December 31, 2015 Derivative assets 75,627 — 59,907 15,720 Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) March 31, 2016 Derivative liabilities $ 5,157 $ 2,132 $ 3,025 $ — March 31, 2016 Repurchase agreements and FHLBC Advances 10,306,522 26,003 10,280,519 — December 31, 2015 Repurchase agreements and FHLBC Advances 11,086,477 42,003 11,044,474 — ______________ (1) Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. (2) Net amount represents the net amount receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default.

Fair Value Measurements

Fair Value Measurements	3 Months Ended
	Mar. 31, 2016
Fair Value Disclosures [Abstract]
Fair Value Measurements	FAIR VALUE MEASUREMENTS The Company’s valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. Excluded from the tables below are short-term financial instruments carried in our consolidated financial statements at cost basis, which is deemed to approximate fair value, primarily due to the short duration of these instruments, including cash, receivables, payables and repo borrowings with initial terms of one year or less. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are made in determining the fair value of the Company's interest rate swaps and caps. "Other investments" is comprised of our investment in FHLBC stock and our investment in a real estate asset, both Level 3 assets to which we apply valuation techniques and/or impairment analysis periodically. FHLBC stock of approximately $26.0 million and $42.0 million at March 31, 2016 and December 31, 2015 , respectively, is excluded from Other investments in the table below as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment . The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,888,430 $ — $ 12,888,430 U.S. Treasuries 29,972 — — 29,972 Other investments — — 8,025 8,025 Derivative assets — 32,701 — 32,701 Total $ 29,972 $ 12,921,131 $ 8,025 $ 12,959,128 Liabilities FHLBC Advances — 649,553 — 649,553 Derivative liabilities — 85,461 — 85,461 Total $ — $ 735,014 $ — $ 735,014 December 31, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,927,996 $ — $ 12,927,996 U.S. Treasuries 99,711 — — 99,711 Other investments — — 8,025 8,025 Derivative assets — 100,778 — 100,778 Total $ 99,711 $ 13,028,774 $ 8,025 $ 13,136,510 Liabilities FHLBC Advances — 2,098,701 — 2,098,701 Derivative liabilities — 14,024 — 14,024 $ — $ 2,112,725 $ — $ 2,112,725 The table below presents a reconciliation of changes in "Other investments" classified as Level 3 assets and measured for fair value on a recurring basis in the Company’s unaudited consolidated financial statements for the three months ended March 31, 2016 and 2015 . Level 3 Fair Value Reconciliation (In thousands) Three Months Ended March 31, Other investments (1) 2016 2015 Beginning balance Level 3 assets $ 8,025 $ 8,025 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — — Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 8,025 $ 8,025 __________________ (1) FHLBC stock of approximately $26.0 million and $10.2 million at March 31, 2016 and 2015 , respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment .

Share Capital

Share Capital	3 Months Ended
	Mar. 31, 2016
Stockholders' Equity Note [Abstract]
Share Capital	SHARE CAPITAL The Company has authorized 500,000,000 shares of common stock having par value of $0.01 per share. As of March 31, 2016 and December 31, 2015 , the Company had issued and outstanding 151,535,316 and 151,739,840 shares of common stock, respectively. The Company has authorized 50,000,000 shares of preferred stock having a par value of $0.01 per share. As of March 31, 2016 and December 31, 2015 , 3,000,000 shares of 7.75% Series A Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. As of March 31, 2016 and December 31, 2015 , 8,000,000 shares of 7.50% Series B Preferred Stock ( $25.00 liquidation preference) were issued and outstanding. The Series A Preferred Stock and Series B Preferred Stock is not redeemable before August 3, 2017 and April 30, 2018, respectively, except under circumstances where it is necessary to preserve the Company's qualification as a REIT, for federal income tax purposes, or the occurrence of a change of control. On or after August 3, 2017 and April 30, 2018, the Company may, at its option, redeem any or all of the shares of the Series A Preferred Stock and Series B Preferred Stock, respectively, at $25.00 per share plus any accumulated and unpaid dividends to, but not including, the respective redemption date. The Series A Preferred Stock and Series B Preferred Stock have no stated maturity, and are not subject to a sinking fund requirement or mandatory redemption. Equity Offerings On May 23, 2014, the Company filed an automatically effective shelf registration statement on Form S-3 with the SEC. The Company may offer and sell, from time to time, shares of common stock, preferred stock and debt securities in one or more offerings pursuant to the prospectus that is a part of the registration statement. As of March 31, 2016 , the Company had not issued any shares of common stock, preferred stock or debt securities under the prospectus. Dividend Reinvestment and Direct Stock Purchase Plan ("DSPP") The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of common stock by reinvesting some or all cash dividends received on shares of common stock. Stockholders may also make optional cash purchases of shares of common stock subject to certain limitations detailed in the plan prospectus. For the three months ended March 31, 2016 and 2015 the Company did not issue any shares under the plan. As of March 31, 2016 and December 31, 2015 , there were approximately 4.1 million shares available for issuance under the plan. Share Repurchase Program On November 15, 2012, the Company announced that its Board of Directors authorized the repurchase of shares of the Company’s common stock having an aggregate value of up to $250 million . Pursuant to this program, through July 20, 2014, the Company repurchased approximately $115.7 million in aggregate value of its shares of common stock on the open market. On July 21, 2014, the Company announced that its Board of Directors authorized the repurchase of shares of the Company's common stock having an aggregate value of up to $250 million , which included approximately $134.3 million available for repurchase under the November 2012 authorization. Subsequently, during 2014 we repurchased 172,549 shares with a weighted average purchase price of $8.88 per share for an aggregate of approximately $1.5 million and for the year ended December 31, 2015 , the Company repurchased 10,559,493 shares with a weighted average purchase price of $8.28 per share for an aggregate of approximately $87.7 million . For the three months ended March 31, 2016 , we repurchased 510,618 shares of the Company's common stock at a weighted-average purchase price of $7.82 per share, for an aggregate of approximately $4.0 million . Accordingly, the Company had approximately $156.8 million authorized to repurchase shares of its common stock as of March 31, 2016 . Restricted Stock Awards For the three months ended March 31, 2016 and 2015 , the Company granted 336,101 and 438,617 shares of restricted stock, respectively, to certain of its directors, officers and employees.

Earnings Per Share

Earnings Per Share	3 Months Ended
	Mar. 31, 2016
Earnings Per Share [Abstract]
Earnings Per Share	EARNINGS PER SHARE Components of the computation of basic and diluted earnings per share ("EPS") were as follows (in thousands except per share amounts): Three Months Ended March 31, 2016 2015 Net income (loss) $ 61,331 $ 54,597 Less preferred stock dividends (5,203 ) (5,203 ) Net income (loss) available to common stockholders 56,128 49,394 Less dividends paid: Common shares (39,126 ) (47,110 ) Unvested shares (273 ) (324 ) Undistributed earnings (loss) 16,729 1,960 Basic weighted-average shares outstanding: Common shares 150,776 159,573 Basic earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Basic earnings (loss) per common share $ 0.37 $ 0.31 Diluted weighted-average shares outstanding: Common shares 150,776 159,573 Net effect of dilutive stock options (1) — — 150,776 159,573 Diluted earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Diluted earnings (loss) per common share $ 0.37 $ 0.31 __________________ (1) For the three months ended March 31, 2016 and 2015 , the Company had an aggregate of zero and 131,088 stock options outstanding, respectively, with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as they were out-of-the-money.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2016
Subsequent Events [Abstract]
Subsequent Events	SUBSEQUENT EVENTS On April 1, 2016, an aggregate of 21,248 shares of restricted common stock were granted to certain directors as a portion of their compensation for serving on the Company’s Board of Directors.

Significant Accounting Polici18

Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2016
Accounting Policies [Abstract]
Basis Of Presentation	Basis of Presentation The accompanying unaudited consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and the instructions to Securities and Exchange Commission ("SEC") Form 10-Q and Article 10, Rule 10-01 of Regulation S-X. Accordingly, the financial statements do not include all of the information and footnotes required by U.S. GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. The unaudited consolidated financial statements should be read in conjunction with the Company’s audited financial statements as of and for the year ended December 31, 2015, included in the 2015 Annual Report. The results for interim periods are not necessarily indicative of the results to be expected for the entire fiscal year. The unaudited consolidated financial statements include the accounts of the Company and all of its subsidiaries. All intercompany balances and transactions have been eliminated. The unaudited consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of estimates and assumptions that affect the amounts reported in the unaudited consolidated financial statements and accompanying footnotes. Actual results could differ from these estimates and the differences may be material. Reclassification Commencing with the report on Form 10-K for the year ended December 31, 2015, "Swap and cap interest expense", which up through September 30, 2015 was recognized as a separate component of " Total interest expense" in the consolidated statement of operations, is now recognized as a component of "Net gain (loss) on derivative instruments". This reclassification was made in order to record income, expenses and fair value changes related to derivative instruments in one line item in the consolidated statements of operations, consistent with common industry practice. Prior period balances have been reclassified to conform to the current period presentation.
Investments in Securities	Investments in Securities The Company's investment securities are accounted for in accordance with Accounting Standards Codification ("ASC") 320 —Investments in Debt and Equity Securities . The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for its securities and, therefore, our investment securities are recorded at fair market value on the unaudited consolidated balance sheets. The periodic changes in fair market value are recorded in current period earnings on the unaudited consolidated statements of operations as a component of net unrealized gain (loss) on investments. These investments generally meet the requirements to be classified as available-for-sale under ASC 320, which requires the securities to be carried at fair value on the balance sheet. Electing the fair value option requires the Company to record changes in fair value of our investments in the unaudited consolidated statements of operations, which in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. The Company records its transactions in securities on a trade date basis. We record realized gains and losses on securities transactions on an identified cost basis.
Agency RMBS	Agency RMBS The Company’s investments in Agency RMBS consist of pass-through certificates backed by fixed-rate, monthly-reset adjustable-rate loans ("ARMs") and hybrid ARMs, the principal and interest of which are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. Hybrid ARMs have interest rates that have an initial fixed period (typically three, five, seven or ten years) and thereafter reset at regular intervals in a manner similar to ARMs.
Forward Settling Transactions	Forward Settling Transactions The Company engages in forward settling transactions to purchase or sell certain securities. Agency RMBS may include forward contracts for Agency RMBS purchases or sales of specified pools on a to-be-announced basis ("TBA Securities") that meet the regular-way scope exception in the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 815 - Derivatives and Hedging ("ASC 815"), and are recorded on a trade date basis. The Company maintains security positions such that sufficiently liquid assets will be available to make payment on the settlement date for securities purchased. The Agency RMBS purchased at the forward settlement date are typically priced at a discount to securities for settlement in the current month. Securities purchased on a forward settling basis are carried at fair value and begin earning interest on the settlement date. Gains or losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract. See Note 7, Pledged Assets, for disclosure regarding the fair value of collateral pledged or received on forward settling transactions.
Investment Valuation	Investment Valuation The Company's pricing committee is responsible for establishing valuation policies and procedures, as well as reviewing and approving valuations at a monthly pricing meeting. The pricing committee is composed of individuals from the accounting team, the investment team and senior management. Agency RMBS, Agency Debentures and U.S. Treasuries are generally valued based on prices provided by third-party services and derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and ask prices, broker quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and/or economic events. The pricing services may also use a matrix approach, which uses information regarding securities with similar characteristics to determine the valuation for a security. We generally value interest rate swaps and caps using prices provided by broker quotations. Such broker quotations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to present value using swap rates provided by electronic data services or by brokers. No credit valuation adjustments are made in determining the fair value of the Company's interest rate swaps and caps. All valuations from third-party pricing services or broker quotes are non-binding. We review all prices during our pricing process. To date, the Company has not adjusted any of the prices received from third-party pricing services or brokers. Our pricing review includes comparisons of similar market transactions, alternative third-party pricing services and broker quotes, or comparisons to a pricing model. To ensure proper fair value hierarchy, the Company reviews the third-party pricing services methodology periodically to ascertain which observable or unobservable inputs are being used. See Note 8, Fair Value Measurements , for a discussion of how the Company values its assets.
Derivative Instruments	Derivative Instruments Included in Derivative Instruments are interest rate swaps and interest rate caps and TBA Derivatives (defined below). The Company uses interest rate swaps and interest rate caps to economically hedge a portion of its exposure to market risks, including interest rate and extension risk. The objective of our risk management strategy is to reduce fluctuations in stockholders’ equity over a range of interest rate scenarios. In particular, we attempt to manage the risk of the cost of our variable rate liabilities increasing during a period of rising interest rates. During the term of an interest rate swap or cap, the Company makes or receives periodic payments and records unrealized gains or losses as a result of marking the swap or cap to fair value. When the Company terminates a swap or cap, we record a realized gain or loss equal to the difference between the proceeds from (or the cost of) closing the transaction and the Company's cost basis in the contract, if any. We report the periodic payments and amortization of premiums on cap contracts under swap and cap interest expense in our unaudited consolidated statements of operations. Swaps involve a risk that interest rates will move contrary to the Company’s expectations, thereby increasing the Company’s payment obligation. The Company's interest rate swap and cap contracts (a "swap" or "cap", respectively) may be subject to a master netting arrangement ("MNA"). The Company is exposed to credit loss in the event of non-performance by the counterparty to the swap or cap limited to the fair value of collateral posted in excess of the fair value of the contract in a net liability position and the shortage of the fair value of collateral posted for the contract in a net asset position. As of March 31, 2016 and December 31, 2015 , the Company did not anticipate non-performance by any counterparty. Should interest rates move unexpectedly, the Company may not achieve the anticipated benefits of the interest rate swap or cap and may realize a loss. While the Company's derivative agreements generally permit netting or setting off derivative assets and liabilities with the counterparty, the Company reports derivative assets and liabilities on a gross basis in our unaudited consolidated balance sheets. Derivatives are accounted for in accordance with ASC 815 which requires recognition of all derivatives as either assets or liabilities at fair value in the consolidated balance sheets with changes in fair value recognized in the consolidated statements of operations in "Net realized and unrealized gain (loss) on derivative instruments". Cash receipts and payments related to derivative instruments are classified in our unaudited consolidated statements of cash flows in accordance with U.S. GAAP in both the operating and investing activities sections. See Note 4, Derivative Instruments. The Company enters into TBA dollar roll transactions whereby the Company is not contractually obligated to accept delivery on the settlement date ("TBA Derivatives"). TBA Derivatives are accounted for as a series of derivative transactions. The fair value of TBA Derivatives is based on similar methods used to value Agency RMBS with gains and losses recorded in Net gains (losses) on derivative instruments in the consolidated statements of operations. TBA Derivative transactions involve moving the settlement of a TBA contract out to a later date by entering into an offsetting short position (referred to as a "pair off"), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. The Company records such pair offs on a gross basis such that there is a sale of the original TBA Derivative and a subsequent purchase of a new TBA Derivative. None of the Company's derivatives have been designated as hedging instruments for accounting purposes. Effective January 1, 2016, the Company recognized all TBAs that do not qualify for the regular-way scope exception under ASC 815 as derivatives.
Interest Income	Interest Income We record interest income and expense on an accrual basis. We accrue interest income based on the outstanding principal amount of the securities and their contractual terms. We amortize premium and discount using the effective interest method, and this net amortization is either accretive to or a reduction of interest income from Agency RMBS in the Company's unaudited consolidated statements of operations. The Company does not estimate prepayments when calculating the yield to maturity on Agency RMBS. We record the amount of premium or discount associated with a prepayment through interest income from Agency RMBS on our unaudited consolidated statements of operations as it occurs.
Other investments	Other Investments The Company's subsidiary, CYS Insurance, is a member of, and owns capital stock in, the FHLBC. The FHLBC provides CYS Insurance with credit capacity and authorizes advances based on the security of pledged Agency RMBS, provided the Company meets certain creditworthiness standards. FHLBC Advances at fair value are a funding source for the Company. As a condition of its membership in the FHLBC, CYS Insurance is required to maintain a FHLBC stock investment, both for membership and for the level of advances from the FHLBC to CYS Insurance. The Company accounts for its investment in FHLBC stock as a cost method investment in "Other investments". The Company periodically evaluates FHLBC stock for impairment in accordance with ASC 320 - Investments Debt and Equity Securities . Also included in other investments is a real estate asset which is recorded at fair value.
Repurchase Agreements and FHLB Advances	Repurchase Agreements and FHLBC Advances Borrowings under repurchase agreements ("repo borrowings") and FHLBC Advances are collateralized by the Company’s Agency RMBS and U.S. Treasuries (collectively, "Debt Securities"). The Company’s repo borrowing counterparties are institutional dealers in fixed income securities and large financial institutions, and CYS Insurance's counterparty for FHLBC Advances is the FHLBC. Collateral pledged on repo borrowings is valued daily, and on FHLBC Advances periodically, and our counterparties (including the FHLBC) may require posting of additional collateral when the fair value of pledged collateral decline. Repo borrowing counterparties and the FHLBC have the right to sell or repledge collateral pledged under repo borrowings and FHLBC Advances. See Note 5, Repurchase Agreements and FHLBC Advances . We account for our repo borrowings as short-term indebtedness under ASC 470 — Debt; accordingly, these short-term instruments are accounted in our financial statements and carried at their amortized cost or carrying value, which approximates their fair value due to their short-term nature. Also, we have entered into FHLBC Advances that may have an initial maturity of more than one year that are collateralized by the Company's Debt Securities. The Company has chosen to make a fair value election pursuant to ASC 825 —Financial Instruments for FHLBC Advances and, therefore, this debt is recorded at fair market value on the consolidated balance sheets. The unpaid principal balance of FHLBC Advances with initial maturities less than one year generally approximate fair value due to the short-term nature of the instruments. We price FHLBC Advances with an initial maturity greater than one year daily through a pricing service that uses a discounted cash flow model to value the debt, and periodically we validate the prices we receive through this process. The changes in fair market value are recorded in current period earnings on our unaudited consolidated statements of operations as a component of net unrealized gain (loss) on FHLBC Advances. Electing the fair value option permits the Company to record changes in the fair value of our FHLBC Advances along with that of our investments in our unaudited consolidated statements of operations which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all income producing assets and liabilities will be treated in a similar manner. See Note 5, Repurchase Agreements and FHLBC Advances .

Investments in Securities (Tabl

Investments in Securities (Tables)	3 Months Ended
	Mar. 31, 2016
Available-for-sale Securities [Abstract]
Available-for-sale Securities	The available-for-sale portfolio consisted of the following as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Asset Type Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Fannie Mae Certificates Fixed Rate $ 10,925,812 $ (1,038 ) $ 172,749 $ 11,097,523 ARMs 263,926 — 2,711 266,637 Total Fannie Mae 11,189,738 (1,038 ) 175,460 11,364,160 Freddie Mac Certificates Fixed Rate 1,422,646 (88 ) 24,995 1,447,553 ARMs 31,680 (1 ) 720 32,399 Total Freddie Mac 1,454,326 (89 ) 25,715 1,479,952 Ginnie Mae Certificates - ARMs 43,596 — 722 44,318 U.S. Treasuries 29,959 — 13 29,972 Other Investments 32,948 — 1,080 34,028 Total $ 12,750,567 $ (1,127 ) $ 202,990 $ 12,952,430 December 31, 2015 Fannie Mae Certificates Fixed Rate $ 11,142,798 $ (45,018 ) $ 74,891 $ 11,172,671 ARMs 260,394 (1,859 ) 1,860 260,395 Total Fannie Mae 11,403,192 (46,877 ) 76,751 11,433,066 Freddie Mac Certificates Fixed Rate 1,379,566 (3,881 ) 11,822 1,387,507 ARMs 60,821 (727 ) 749 60,843 Total Freddie Mac 1,440,387 (4,608 ) 12,571 1,448,350 Ginnie Mae Certificates - ARMs 45,784 — 796 46,580 U.S. Treasuries 99,847 (136 ) — 99,711 Other Investments 48,948 — 1,080 50,028 Total $ 13,038,158 $ (51,621 ) $ 91,198 $ 13,077,735 The following table presents the gross unrealized loss and fair values of our available-for-sale Agency RMBS by length of time that such securities have been in a continuous unrealized loss position as of March 31, 2016 and December 31, 2015 (in thousands): Unrealized loss positions for Less than 12 Months Greater than 12 months Total As of Fair value Unrealized loss Fair value Unrealized loss Fair value Unrealized loss March 31, 2016 $ 341,950 $ (770 ) $ 148,987 $ (221 ) $ 490,937 $ (991 ) December 31, 2015 6,718,658 (50,319 ) 86,300 (1,303 ) 6,804,958 (51,622 ) The following table summarizes our net realized gain (loss) from the sale of available-for-sale investments for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 2015 Available-for-sale investments, at cost $ 1,397,188 $ 5,999,963 Proceeds from available-for-sale investments sold 1,398,390 6,018,216 Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 Gross gain on sale of available-for-sale investments $ 5,383 $ 33,979 Gross (loss) on sale of available-for-sale investments (4,181 ) (15,726 ) Net gain (loss) on sale of available-for-sale investments $ 1,202 $ 18,253 The components of the carrying value of available-for-sale securities at March 31, 2016 and December 31, 2015 are presented below. A premium purchase price is due to the average coupon interest rates on these investments being higher than prevailing market rates; similarly, a discount purchase price is due to the average coupon interest rate on these investments being lower than prevailing market rates. (in thousands) March 31, 2016 (1) December 31, 2015 (1) Principal balance $ 12,265,726 $ 12,534,877 Unamortized premium 458,991 462,632 Unamortized discount (153 ) (273 ) Gross unrealized gains 202,990 90,118 Gross unrealized losses (1,127 ) (51,622 ) Fair value $ 12,926,427 $ 13,035,732

Derivative Instruments (Tables)

Derivative Instruments (Tables)	3 Months Ended
	Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Interest Rate Derivatives [Table Text Block]	The Company had the following activity in interest rate swap and cap transactions during the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, 2016 Three Months Ended March 31, 2015 Trade Date Transaction Notional Trade Date Transaction Notional January 2016 Terminated $ (500,000 ) January 2015 Terminated $ (400,000 ) January 2015 Opened $ 500,000 Net Increase $ 100,000
Schedule of Derivative Instruments	Below is a summary of our interest rate swap and cap contracts and TBA Derivatives open as of March 31, 2016 and December 31, 2015 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 1,000,000 $ 327 Derivative assets, at fair value March 31, 2016 $ 6,450,000 $ (84,173 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 Derivative assets, at fair value December 31, 2015 2,050,000 (14,024 ) Derivative liabilities, at fair value Interest Rate Cap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 2,500,000 $ 29,325 Derivative assets, at fair value December 31, 2015 2,500,000 61,343 Derivative assets, at fair value TBA Derivatives Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 350,000 $ (1,288 ) Derivative liabilities, at fair value March 31, 2016 643,807 3,049 Derivative assets, at fair value The average notional value of the Company's TBA Derivatives during the quarter ended March 31, 2016 was $1,103.5 million . The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (18,398 ) $ (27,468 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (140,524 ) (77,368 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments (158,922 ) (104,836 ) The swap and cap notional was $9,950.0 million at March 31, 2016 compared to $10,450.0 million at December 31, 2015 , and as a percentage of our repo borrowings and FHLB Advances was 96.5% at March 31, 2016 compared to 94.3% at December 31, 2015 . At March 31, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): March 31, 2016 Assets Liabilities Interest rate swap contracts $ 327 $ 84,173 Interest rate cap contracts 29,325 — TBA derivatives 3,049 1,288 Total derivative assets and liabilities in the unaudited consolidated balance sheets 32,701 85,461 Derivatives not subject to an MNA — 80,304 Total assets and liabilities subject to an MNA $ 32,701 $ 5,157 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities in the unaudited consolidated balance sheets 100,778 14,024 Derivatives not subject to an MNA 25,151 14,024 Total assets and liabilities subject to an MNA $ 75,627 $ —

Repurchase Agreements and FHL21

Repurchase Agreements and FHLB Advances (Tables)	3 Months Ended
	Mar. 31, 2016
Banking and Thrift [Abstract]
Schedule Of Company's Borrowings	Certain information with respect to the Company’s repo borrowings and FHLBC Advances outstanding at the balance sheet date is summarized in the table below. (in thousands) March 31, 2016 December 31, 2015 Outstanding repurchase agreements $ 9,656,969 $ 8,987,776 Outstanding FHLBC advances (2) $ 649,553 $ 2,098,701 Interest accrued thereon $ 6,000 $ 7,383 Weighted-average borrowing rate 0.73 % 0.54 % Weighted-average remaining maturity (in days) 50.5 42.2 Fair value of the collateral (1) $ 10,816,817 $ 11,548,930

Pledged Assets (Tables)

Pledged Assets (Tables)	3 Months Ended
	Mar. 31, 2016
Transfers and Servicing [Abstract]
Assets Pledged to Counterparties	The following tables summarize our assets pledged as collateral under our repo borrowings, FHLBC Advances, and derivative instruments by type, including securities pledged related to securities purchased or sold but not yet settled, as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Assets Pledged to Counterparties Repurchase Agreements and FHLBC Advances Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 10,804,826 $ 48,389 $ 2,367 $ 10,855,582 U.S. Treasuries - fair value 11,992 31,171 — 43,163 Accrued interest on pledged securities 29,521 134 7 29,662 Cash — 85,097 — 85,097 Total $ 10,846,339 $ 164,791 $ 2,374 $ 11,013,504 December 31, 2015 Assets Pledged to Counterparties Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total Agency RMBS - fair value $ 11,547,098 $ 37,657 $ 2,259 $ 11,587,014 U.S. Treasuries - fair value 1,832 13,054 — 14,886 Accrued interest on pledged securities 30,890 196 5 31,091 Cash — 21,751 — 21,751 Total $ 11,579,820 $ 72,658 $ 2,264 $ 11,654,742
Assets Pledged from Counterparties	As of March 31, 2016 and December 31, 2015 , we had assets pledged to us as collateral under our repurchase, derivative agreements and TBAs as summarized in the tables below (in thousands): March 31, 2016 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) (1) Total Agency RMBS - fair value $ 15,499 $ — $ — $ 15,499 U.S. Treasuries - fair value 12,451 21,540 — 33,991 Accrued interest on pledged securities 71 104 — 175 Cash — 9,141 — 9,141 Total $ 28,021 $ 30,785 $ — $ 58,806 December 31, 2015 Assets Pledged to CYS Repurchase Agreements Derivative Instruments Forward Settling Trades (TBAs) Total U.S. Treasuries - fair value — 44,143 — 44,143 Accrued interest on pledged securities — 209 — 209 Cash — 18,534 — 18,534 Total $ — $ 62,886 $ — $ 62,886
Schedule of Derivative Instruments	Below is a summary of our interest rate swap and cap contracts and TBA Derivatives open as of March 31, 2016 and December 31, 2015 (in thousands): Derivatives not designated as hedging instruments under ASC 815 Interest Rate Swap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 1,000,000 $ 327 Derivative assets, at fair value March 31, 2016 $ 6,450,000 $ (84,173 ) Derivative liabilities, at fair value December 31, 2015 5,900,000 39,435 Derivative assets, at fair value December 31, 2015 2,050,000 (14,024 ) Derivative liabilities, at fair value Interest Rate Cap Contracts Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 2,500,000 $ 29,325 Derivative assets, at fair value December 31, 2015 2,500,000 61,343 Derivative assets, at fair value TBA Derivatives Notional Fair Value Consolidated Balance Sheets March 31, 2016 $ 350,000 $ (1,288 ) Derivative liabilities, at fair value March 31, 2016 643,807 3,049 Derivative assets, at fair value The average notional value of the Company's TBA Derivatives during the quarter ended March 31, 2016 was $1,103.5 million . The following table presents information about the net realized and unrealized gain (loss) on swap, cap and TBA Derivatives for the three months ended March 31, 2016 and 2015 (in thousands): Three Months Ended March 31, Derivative Instrument Type Location of Gain (Loss) on Derivative Instruments 2016 2015 Interest rate swaps and caps Swap and cap interest expense $ (18,398 ) $ (27,468 ) Interest rate swaps, caps and TBA Derivatives Net realized and unrealized gain (loss) on derivative instruments (140,524 ) (77,368 ) Interest rate swaps, caps and TBA Derivatives Net gain (loss) on derivative instruments (158,922 ) (104,836 ) The swap and cap notional was $9,950.0 million at March 31, 2016 compared to $10,450.0 million at December 31, 2015 , and as a percentage of our repo borrowings and FHLB Advances was 96.5% at March 31, 2016 compared to 94.3% at December 31, 2015 . At March 31, 2016 and December 31, 2015 , the Company's derivative assets and liabilities (by type) are as follows (in thousands): March 31, 2016 Assets Liabilities Interest rate swap contracts $ 327 $ 84,173 Interest rate cap contracts 29,325 — TBA derivatives 3,049 1,288 Total derivative assets and liabilities in the unaudited consolidated balance sheets 32,701 85,461 Derivatives not subject to an MNA — 80,304 Total assets and liabilities subject to an MNA $ 32,701 $ 5,157 December 31, 2015 Assets Liabilities Interest rate swap contracts $ 39,435 $ 14,024 Interest rate cap contracts 61,343 — Total derivative assets and liabilities in the unaudited consolidated balance sheets 100,778 14,024 Derivatives not subject to an MNA 25,151 14,024 Total assets and liabilities subject to an MNA $ 75,627 $ —
Offsetting Assets	Below are summaries of the Company's assets and liabilities subject to offsetting provisions (in thousands): Assets Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Assets Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Received (1) Net Amount (2) March 31, 2016 Derivative assets $ 32,701 $ 2,132 $ 27,322 $ 3,247 December 31, 2015 Derivative assets 75,627 — 59,907 15,720 Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) March 31, 2016 Derivative liabilities $ 5,157 $ 2,132 $ 3,025 $ — March 31, 2016 Repurchase agreements and FHLBC Advances 10,306,522 26,003 10,280,519 — December 31, 2015 Repurchase agreements and FHLBC Advances 11,086,477 42,003 11,044,474 —
Offsetting Liabilities	Liabilities Gross Amounts Not Offset in the Unaudited Consolidated Balance Sheets As of Description Amount of Liabilities Presented in the Unaudited Consolidated Balance Sheets Instruments Available for Offset Collateral Pledged (1) Net Amount (2) March 31, 2016 Derivative liabilities $ 5,157 $ 2,132 $ 3,025 $ — March 31, 2016 Repurchase agreements and FHLBC Advances 10,306,522 26,003 10,280,519 — December 31, 2015 Repurchase agreements and FHLBC Advances 11,086,477 42,003 11,044,474 — ______________ (1) Collateral consists of Agency RMBS, U.S. Treasuries and Cash. Excess collateral pledged is not shown for financial reporting purposes. (2) Net amount represents the net amount receivable (in the case of assets) and payable (in the case of liabilities) to the counterparty in the event of default.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	3 Months Ended
	Mar. 31, 2016
Fair Value Disclosures [Abstract]
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis	The following tables provide a summary of the Company’s assets and liabilities that are measured at fair value on a recurring basis, as of March 31, 2016 and December 31, 2015 (in thousands): March 31, 2016 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,888,430 $ — $ 12,888,430 U.S. Treasuries 29,972 — — 29,972 Other investments — — 8,025 8,025 Derivative assets — 32,701 — 32,701 Total $ 29,972 $ 12,921,131 $ 8,025 $ 12,959,128 Liabilities FHLBC Advances — 649,553 — 649,553 Derivative liabilities — 85,461 — 85,461 Total $ — $ 735,014 $ — $ 735,014 December 31, 2015 Fair Value Measurements Using Level 1 Level 2 Level 3 Total Assets Agency RMBS $ — $ 12,927,996 $ — $ 12,927,996 U.S. Treasuries 99,711 — — 99,711 Other investments — — 8,025 8,025 Derivative assets — 100,778 — 100,778 Total $ 99,711 $ 13,028,774 $ 8,025 $ 13,136,510 Liabilities FHLBC Advances — 2,098,701 — 2,098,701 Derivative liabilities — 14,024 — 14,024 $ — $ 2,112,725 $ — $ 2,112,725
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation	The table below presents a reconciliation of changes in "Other investments" classified as Level 3 assets and measured for fair value on a recurring basis in the Company’s unaudited consolidated financial statements for the three months ended March 31, 2016 and 2015 . Level 3 Fair Value Reconciliation (In thousands) Three Months Ended March 31, Other investments (1) 2016 2015 Beginning balance Level 3 assets $ 8,025 $ 8,025 Cash payments recorded as a reduction of cost basis — — Change in net unrealized gain (loss) — — Gross purchases — — Gross sales — — Net gain (loss) on sales — — Transfers into (out of) Level 3 — — Ending balance Level 3 assets $ 8,025 $ 8,025 __________________ (1) FHLBC stock of approximately $26.0 million and $10.2 million at March 31, 2016 and 2015 , respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment .

Earnings Per Share (Tables)

Earnings Per Share (Tables)	3 Months Ended
	Mar. 31, 2016
Earnings Per Share [Abstract]
Schedule Of Computation Of Basic And Diluted Earnings Per Share	Components of the computation of basic and diluted earnings per share ("EPS") were as follows (in thousands except per share amounts): Three Months Ended March 31, 2016 2015 Net income (loss) $ 61,331 $ 54,597 Less preferred stock dividends (5,203 ) (5,203 ) Net income (loss) available to common stockholders 56,128 49,394 Less dividends paid: Common shares (39,126 ) (47,110 ) Unvested shares (273 ) (324 ) Undistributed earnings (loss) 16,729 1,960 Basic weighted-average shares outstanding: Common shares 150,776 159,573 Basic earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Basic earnings (loss) per common share $ 0.37 $ 0.31 Diluted weighted-average shares outstanding: Common shares 150,776 159,573 Net effect of dilutive stock options (1) — — 150,776 159,573 Diluted earnings (loss) per common share: Distributed earnings $ 0.26 $ 0.30 Undistributed earnings (loss) 0.11 0.01 Diluted earnings (loss) per common share $ 0.37 $ 0.31 __________________ (1) For the three months ended March 31, 2016 and 2015 , the Company had an aggregate of zero and 131,088 stock options outstanding, respectively, with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as they were out-of-the-money.

Organization (Details)

Organization (Details) - $ / shares	Mar. 31, 2016	Dec. 31, 2015
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share	$ 25	$ 25

Investments in Securities (Deta

Investments in Securities (Details)	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Available-for-sale Securities [Abstract]
WeightedAverageCouponDebtSecurities	3.43%	3.39%
Debt Instrument, Maturity Date	30 years
U.S. Treasury Security Maturity Date	2,019
Agency RMBS Maturity Date Min	2,024
Agency RMBS Maturity Date Max	2,046

Investments in Securities (Avai

Investments in Securities (Available-for-sale securities by GSE Agency and Coupon) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	$ (1,127)	$ (51,622)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	202,990	90,118
Fair value	12,926,427	13,035,732
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	11,189,738	11,403,192
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	(1,038)	(46,877)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	175,460	76,751
Fair value	11,364,160	11,433,066
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Fixed Rate Residential Mortgage [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	10,925,812	11,142,798
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	(1,038)	(45,018)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	172,749	74,891
Fair value	11,097,523	11,172,671
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | Adjustable Rate Residential Mortgage [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	263,926	260,394
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	0	(1,859)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	2,711	1,860
Fair value	266,637	260,395
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	1,454,326	1,440,387
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	(89)	(4,608)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	25,715	12,571
Fair value	1,479,952	1,448,350
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Fixed Rate Residential Mortgage [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	1,422,646	1,379,566
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	(88)	(3,881)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	24,995	11,822
Fair value	1,447,553	1,387,507
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | Adjustable Rate Residential Mortgage [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	31,680	60,821
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	(1)	(727)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	720	749
Fair value	32,399	60,843
Government National Mortgage Association Certificates and Obligations (GNMA) [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	43,596	45,784
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	0	0
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	722	796
Fair value	44,318	46,580
US Treasury Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	29,959	99,847
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	0	(136)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	13	0
Fair value	29,972	99,711
Other Investments [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	32,948	48,948
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	0	0
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	1,080	1,080
Fair value	34,028	50,028
Investments [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	12,750,567	13,038,158
Available-for-sale Securities, Accumulated Gross Unrealized Loss, before Tax	(1,127)	(51,621)
Available-for-sale Securities, Accumulated Gross Unrealized Gain, before Tax	202,990	91,198
Fair value	$ 12,952,430	$ 13,077,735

Investments in Securities (Av28

Investments in Securities (Available for sale, Continuous Unrealized Loss) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value	$ 341,950	$ 6,718,658
Unrealized loss on investments, owned less than 12 months	(770)	(50,319)
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value	148,987	86,300
Unrealized loss on investments, owned more than 12 months	(221)	(1,303)
Fair value of investments in unrealized loss position	490,937	6,804,958
Available for sale securities, continuous unrealized loss	$ (991)	$ (51,622)

Investments in Securities (Summ

Investments in Securities (Summary of Net Gain (loss) from the Sale of Available-for-Sale Investments) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Available-for-sale investments, at cost	$ 1,397,188	$ 5,999,963
Proceeds from securities sold	1,398,390	6,018,216
Proceeds from available-for-sale investments sold	1,382,390	6,018,216
Net gain (loss) on sale of available-for-sale investments	1,202	18,253
Gross gain on sale of available-for-sale investments	5,383	33,979
Gross (loss) on sale of available-for-sale investments	$ (4,181)	$ (15,726)

Investments in Securities (Comp

Investments in Securities (Components of the Carrying Value of Available-for-Sale Securities) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Principal balance	$ 12,265,726	$ 12,534,877
Unamortized premium	458,991	462,632
Unamortized discount	(153)	(273)
Gross unrealized gains	(202,990)	(90,118)
Gross unrealized losses	(1,127)	(51,622)
Fair value	12,926,427	13,035,732
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	(11,189,738)	(11,403,192)
Gross unrealized gains	(175,460)	(76,751)
Gross unrealized losses	(1,038)	(46,877)
Fair value	11,364,160	11,433,066
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	(1,454,326)	(1,440,387)
Gross unrealized gains	(25,715)	(12,571)
Gross unrealized losses	(89)	(4,608)
Fair value	1,479,952	1,448,350
US Treasury Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	(29,959)	(99,847)
Gross unrealized gains	(13)	0
Gross unrealized losses	0	(136)
Fair value	29,972	99,711
Other Investments [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	(32,948)	(48,948)
Gross unrealized gains	(1,080)	(1,080)
Gross unrealized losses	0	0
Fair value	34,028	50,028
Investments [Member]
Schedule of Available-for-sale Securities [Line Items]
Available-for-sale Securities, Amortized Cost Basis	(12,750,567)	(13,038,158)
Gross unrealized gains	(202,990)	(91,198)
Gross unrealized losses	(1,127)	(51,621)
Fair value	$ 12,952,430	$ 13,077,735

Derivative Instruments (Details

Derivative Instruments (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Derivative [Line Items]
Trading Securities Pledged as Collateral	$ 79,100	$ 50,700
Derivative, Collateral, Right to Reclaim Cash	85,097	21,751	[1]
Securities Received as Collateral	21,500	44,100
Derivative, Collateral, Obligation to Return Cash	8,800	18,500
SwapandCapNotional	$ 9,950,000	$ 10,450,000
SwapandCapNotionalasPercentageofRepoBorrowings	96.50%	94.30%
Not Designated as Hedging Instrument [Member]
Derivative [Line Items]
Derivative, Average Notional Amount	$ 1,103,500
[1]	Derived from audited consolidated financial statements.

Derivative Instruments (Summary

Derivative Instruments (Summary Of Interest Rate Swap And Cap Contracts) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Transaction And Trade Date [Line Items]
DerivativeNotionalTransactions		$ 100,000
JanuaryTwoThousandSixteenTerminated [Domain]
Transaction And Trade Date [Line Items]
Trade Date Of Interest Rate Swap And Cap Contracts	January 2,016
DerivativeNotionalTransactions	$ (500,000)
JanuarylTwoThousandFifteenOpened [Domain]
Transaction And Trade Date [Line Items]
Trade Date Of Interest Rate Swap And Cap Contracts		January 2,015
DerivativeNotionalTransactions		$ 500,000
JanuaryTwoThousandFifteenTerminated [Domain]
Transaction And Trade Date [Line Items]
Trade Date Of Interest Rate Swap And Cap Contracts		January 2,015
DerivativeNotionalTransactions		$ (400,000)

Derivative Instruments (Derivat

Derivative Instruments (Derivatives not designated as hedging activities under ASC 815) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Derivative Liability, Fair Value, Gross Liability	$ (5,157)	$ 0
Derivative Asset, Fair Value, Gross Asset	32,701	75,627
Derivatives Not Designated As Hedging Instruments [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	1,103,500
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	1,000,000	5,900,000
Derivative Asset, Fair Value, Gross Asset	327	39,435
Interest Rate Swap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Liabilities [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	6,450,000	2,050,000
Derivative Liability, Fair Value, Gross Liability	(84,173)	(14,024)
Interest Rate Cap [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	2,500,000	2,500,000
Derivative Asset, Fair Value, Gross Asset	29,325	$ 61,343
TBA Derivatives [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Assets [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	643,807
Derivative Asset, Fair Value, Gross Asset	3,049
TBA Derivatives [Member] | Derivatives Not Designated As Hedging Instruments [Member] | Liabilities [Member]
Derivatives, Fair Value [Line Items]
Derivative, Notional Amount	350,000
Derivative Liability, Fair Value, Gross Liability	$ (1,288)

Derivative Instruments (Amount

Derivative Instruments (Amount recognized in income on derivatives) (Details) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Swap and cap interest expense	$ (18,398)	$ (27,468)
Net realized and unrealized gain (loss) on derivative instruments	(140,524)	(77,368)
Derivative, Gain (Loss) on Derivative, Net	$ (158,922)	$ (104,836)

Repurchase Agreements and FHL35

Repurchase Agreements and FHLB Advances (Details) $ in Thousands	1 Months Ended	3 Months Ended
	Jan. 31, 2016USD ($)	Mar. 31, 2016USD ($)d	Dec. 31, 2015USD ($)d		Mar. 31, 2015USD ($)
Short-term Debt [Line Items]
Payments for Federal Home Loan Bank Advances	$ 1,450,000
Number Of Repurchase Agreements		0	0
RepoBorrowingsandFHLBadvancesaspercentageoftotalassets		5.00%	14.70%
Federal Home Loan Bank Stock		$ 26,000	$ 42,000		$ 10,200
Securities Sold under Agreements to Repurchase, Fair Value of Collateral		10,816,817	11,548,930
Long-term Federal Home Loan Bank Advances		650,000
Federal Home Loan Bank, Advances, Maturities Summary, Due in Next Twelve Months		649,553	2,098,701	[1]
Outstanding repurchase agreements		9,656,969	8,987,776	[1]
Federal Home Loan Bank Borrowings, Fair Value Disclosure		649,553	2,098,701
Interest accrued thereon		$ 6,000	$ 7,383
Debt, Weighted Average Interest Rate		1.48%
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements		10 months 24 days
Weighted average borrowing rate		0.73%	0.54%
Weighted Average Remaining Maturity (In Days) | d		50.5	42.2
Fair value of the collateral(1)		$ 424,600	$ 423,700
AccruedInterestExpenseonLongTermFHLBCAdvances		$ 500
Accrued interest on federal home loan bank advances with initial term over one year			$ 500
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets		3.20%	2.30%
[1]	Derived from audited consolidated financial statements.

Repurchase Agreements and FHL36

Repurchase Agreements and FHLB Advances Remaining contractual maturity of the agreements (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items]
Agency RMBS Collateral	$ 10,296,070	$ 10,739,525
U.S. Treasuries Collateral	10,899	348,251
Agency RMBS and U.S. Treasuries Collateral	10,306,969	11,087,776
Maturity Less than 30 Days [Member]
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items]
Agency RMBS Collateral	6,204,602	7,579,885
U.S. Treasuries Collateral	10,899	348,251
Agency RMBS and U.S. Treasuries Collateral	6,215,501	7,928,136
Maturity 30 to 90 Days [Member]
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items]
Agency RMBS Collateral	3,043,323	2,235,246
U.S. Treasuries Collateral	0	0
Agency RMBS and U.S. Treasuries Collateral	3,043,323	2,235,246
Maturity Greater than 90 Days [Member]
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items]
Agency RMBS Collateral	1,048,145	924,394
U.S. Treasuries Collateral	0	0
Agency RMBS and U.S. Treasuries Collateral	$ 1,048,145	$ 924,394

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($)	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Commitments and Contingencies Disclosure [Abstract]
RemainingLeaseTerm	84 months
Indemnification claims	$ 0	$ 0
Operating Leases, Future Minimum Payments Due	$ 2,732,000

Commitments and Contingencies L

Commitments and Contingencies Lease commitments table (Details) $ in Thousands	Mar. 31, 2016USD ($)
Operating Leased Assets [Line Items]
Operating Leases, Future Minimum Payments Due, Next Twelve Months	$ 261
Operating Leases, Future Minimum Payments, Due in Two Years	353
Operating Leases, Future Minimum Payments, Due in Three Years	363
Operating Leases, Future Minimum Payments, Due in Four Years	373
Operating Leases, Future Minimum Payments, Due in Five Years	383
Operating Leases, Future Minimum Payments, Due Thereafter	999
Operating Leases, Future Minimum Payments Due	$ 2,732

Pledged Assets (Assets Pledged

Pledged Assets (Assets Pledged to Counterparties) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	$ 11,013,504	$ 11,654,742
Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	10,855,582	11,587,014
US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	43,163	14,886
Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	29,662	31,091
Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	85,097	21,751
Repurchase Agreements [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	10,846,339	11,579,820
Repurchase Agreements [Member] | Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	10,804,826	11,547,098
Repurchase Agreements [Member] | US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	11,992	1,832
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	29,521	30,890
Repurchase Agreements [Member] | Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	0	0
Derivative [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	164,791	72,658
Derivative [Member] | Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	48,389	37,657
Derivative [Member] | US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	31,171	13,054
Derivative [Member] | Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	134	196
Derivative [Member] | Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	85,097	21,751
Forward Settling Trades [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	2,374	2,264
Forward Settling Trades [Member] | Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	2,367	2,259
Forward Settling Trades [Member] | US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	0	0
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	7	5
Forward Settling Trades [Member] | Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral to Counterparties, at Fair Value	$ 0	$ 0

Pledged Assets (Assets Pledge40

Pledged Assets (Assets Pledged from Counterparties ) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	$ 58,806	$ 62,886
Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	15,499
US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	33,991	44,143
Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	175	209
Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	9,141	18,534
Repurchase Agreements [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	28,021	0
Repurchase Agreements [Member] | Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	15,499
Repurchase Agreements [Member] | US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	12,451	0
Repurchase Agreements [Member] | Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	71	0
Repurchase Agreements [Member] | Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	0	0
Derivative [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	30,785	62,886
Derivative [Member] | Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	0
Derivative [Member] | US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	21,540	44,143
Derivative [Member] | Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	104	209
Derivative [Member] | Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	9,141	18,534
Forward Settling Trades [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	0	0
Forward Settling Trades [Member] | Agency RMBS [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	0
Forward Settling Trades [Member] | US Treasury Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	0	0
Forward Settling Trades [Member] | Accrued Interest on Pledged Securities [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	0	0
Forward Settling Trades [Member] | Cash [Member]
Schedule of Investments [Line Items]
Pledged Assets Separately Reported, Pledged as Collateral from Counterparties, at Fair Value	$ 0	$ 0

Pledged Assets (Derivatives) (D

Pledged Assets (Derivatives) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Derivative [Line Items]
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	$ 85,461	$ 14,024
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	32,701	100,778
Derivative Asset, Not Subject to Master Netting Arrangement	0	25,151
Derivative Liability, Not Subject to Master Netting Arrangement	80,304	14,024
Derivative Asset, Fair Value, Gross Asset	32,701	75,627
Derivative Liability, Fair Value, Gross Liability	5,157	0
Interest Rate Swap [Member]
Derivative [Line Items]
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	84,173	14,024
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	327	39,435
Interest Rate Cap [Member]
Derivative [Line Items]
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	0	0
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	29,325	$ 61,343
TBA Derivatives [Member]
Derivative [Line Items]
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	1,288
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	$ 3,049

Pledged Assets (Offsetting Asse

Pledged Assets (Offsetting Assets) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Transfers and Servicing [Abstract]
Derivative Asset, Fair Value, Gross Asset	$ 32,701	$ 75,627
DerivativeAssetSubjectToMasterNettingArrangement		75,627
Derivative Liability, Fair Value, Amount Not Offset Against Collateral	2,132	0
Fair Value of Securities Received as Collateral that Have Been Resold or Repledged	27,322	59,907
Derivative Asset, Fair Value, Amount Offset Against Collateral	$ 3,247	$ 15,720

Pledged Assets (Offsetting Liab

Pledged Assets (Offsetting Liabilities) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Transfers and Servicing [Abstract]
Derivative Liability, Fair Value, Gross Liability	$ 5,157	$ 0
Derivative Liability, Fair Value of Collateral	3,025
Derivative Liability, Fair Value, Amount Offset Against Collateral	0
RepurchaseagreementsandFederalHomeLoanBankAdvances	10,306,522	11,086,477
Securities Sold under Agreements to Repurchase and FHLBC Advances, Not Offset, Policy Election Deduction	26,003	42,003
Securities Sold under Agreements to Repurchase and FHLBC Advances, Right to Reclaim Securities and Cash	10,280,519	11,044,474
Securities Sold under Agreements to Repurchase and FHLBC Advances, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election	0	$ 0
InstrumentsAvailableToOffsetDerivativeLiability	$ 2,132

Fair Value Measurements (Detail

Fair Value Measurements (Details) - USD ($) $ in Millions	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Fair Value Disclosures [Abstract]
unobservable input capitalization rate min	3.00%
unobservable input capitalization rate max	6.00%
Federal Home Loan Bank Stock	$ 26	$ 42	$ 10.2

Fair Value Measurements (Assets

Fair Value Measurements (Assets And Liabilities Measured At Fair Value On A Recurring Basis) (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Agency RMBS	$ 12,888,430	$ 12,927,996
US Treasury fair value disclosure	29,972	99,711
Other Investments	8,025	8,025
Other Investments	34,028	50,028	[1]
Derivative Asset	32,701	100,778	[1]
Assets, Fair Value Disclosure, Recurring	12,959,128	13,136,510
Federal Home Loan Bank Borrowings, Fair Value Disclosure	649,553	2,098,701
Derivative liabilities, at fair value	85,461	14,024	[1]
Liabilities, Fair Value Disclosure, Recurring	735,014	2,112,725
Fair Value, Inputs, Level 1 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Agency RMBS	0	0
US Treasury fair value disclosure	29,972	99,711
Other Investments	0	0
Derivative Asset	0	0
Assets, Fair Value Disclosure, Recurring	29,972	99,711
Federal Home Loan Bank Borrowings, Fair Value Disclosure	0	0
Derivative liabilities, at fair value	0	0
Liabilities, Fair Value Disclosure, Recurring	0	0
Fair Value, Inputs, Level 2 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Agency RMBS	12,888,430	12,927,996
US Treasury fair value disclosure	0	0
Other Investments	0	0
Derivative Asset		100,778
Assets, Fair Value Disclosure, Recurring	12,921,131	13,028,774
Derivative liabilities, at fair value		14,024
Liabilities, Fair Value Disclosure, Recurring	735,014	2,112,725
Fair Value, Inputs, Level 3 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Agency RMBS	0	0
US Treasury fair value disclosure	0	0
Other Investments		8,025
Other Investments	8,025
Derivative Asset	0	0
Assets, Fair Value Disclosure, Recurring	8,025	8,025
Federal Home Loan Bank Borrowings, Fair Value Disclosure	0	0
Derivative liabilities, at fair value	0	0
Liabilities, Fair Value Disclosure, Recurring	$ 0	$ 0
[1]	Derived from audited consolidated financial statements.

Fair Value Measurements (Level

Fair Value Measurements (Level 3 Fair Value Reconciliation) (Details) - Other Investments [Member] - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	[1]	Mar. 31, 2015
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance Level 3 assets	$ 8,025		$ 8,025
Cash payments recorded as a reduction of cost basis	0		0
Change in net unrealized gain (loss)	0		0
Gross purchases	0		0
Gross sales	0		0
Net gain (loss) on sales	0		0
Transfers into (out of) level 3	0		0
Ending balance Level 3 assets	$ 8,025		$ 8,025
[1]	(1)FHLBC stock of approximately $26.0 million and $10.2 million at March 31, 2016 and 2015, respectively, is excluded from the table above as the Company accounts for its investment in FHLBC stock as a cost method investment and periodically evaluates FHLBC stock for impairment.

Share Capital (Details)

Share Capital (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		12 Months Ended			20 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015		Dec. 31, 2014	Jul. 20, 2014	Nov. 15, 2012
Equity Issuance [Line Items]
Common stock, shares authorized	500,000,000		500,000,000
Common stock, par value	$ 0.01		$ 0.01
Common Stock, Shares, Issued	151,535,316		151,739,840
Common Stock, Shares, Outstanding	151,535,316		151,739,840
Preferred Stock, Shares Authorized	50,000,000		50,000,000
Preferred Stock, Par or Stated Value Per Share	$ 0.01		$ 0.01
Preferred Stock, Shares Issued	3,000,000		3,000,000
Preferred Stock, Shares Outstanding	3,000,000		3,000,000
Preferred Stock B, Dividend Rate, Percentage 7.50%	7.50%
Series A Cumulative Redeemable Preferred Stock, liquidation preference per share	$ 25		$ 25
Preferred Stock A, Dividend Rate, Percentage 7.75%	7.75%
Series B Cumulative Redeemable Preferred Stock, shares outstanding	8,000,000		8,000,000
Series B Cumulative Redeemable Preferred Stock, shares issued	8,000,000		8,000,000
7.50% Series B Cumulative Redeemable Preferred Stock, (8,000 shares issued and outstanding, respectively, $200,000 in aggregate liquidation preference)	$ 193,531		$ 193,531	[1]
Share-based Compensation Arrangement by Share-based Payment Award, Shares Issued in Period	336,101	438,617
Number Of Common Stock Available To Sell Under Sales Agreement	156,800,000	134,300,000
Stock Repurchase Program, Authorized Amount	$ 250,000						$ 250,000
Treasury Stock Acquired, Average Cost Per Share	$ 7.82		$ 8.28		$ 8.88
Proceeds from (Repurchase of) Equity	$ 4,000
Net proceeds (payments) from issuance and repurchase of common shares	$ 4,223	$ 37,446	$ 87,700		$ 1,500	$ 115,700
Stock Repurchased and Retired During Period, Shares	510,618		10,559,493		172,549
Dividend Reinvestment And Direct Stock Purchase Plan [Member]
Equity Issuance [Line Items]
Stock Available For Issuance During Period Shares Dividend Reinvestment Plan	4,100,000		4,055,245
Equity Placement Program [Member]
Equity Issuance [Line Items]
Number Of Common Stock Available To Sell Under Sales Agreement			3,081,447
[1]	Derived from audited consolidated financial statements.

Earnings Per Share (Details)

Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items]
Net income		$ 61,331	$ 54,597
Less preferred stock dividends		(5,203)	(5,203)
Net income (loss) available to common stockholders		56,128	49,394
Common shares		(39,126)	(47,110)
Unvested shares		(273)	(324)
Undistributed earnings (loss)		$ 16,729	$ 1,960
Common shares		150,776,000	159,573,000
Distributed earnings		$ 0.26	$ 0.30
Undistributed earnings (loss)		0.11	0.01
Basic earnings (loss) per common share		$ 0.37	$ 0.31
Net effect of dilutive stock options (1)	[1]	0	0
Diluted weighted average shares outstanding		150,776,000	159,573,000
Distributed earnings		$ 0.26	$ 0.30
Undistributed earnings (loss)		0.11	0.01
Diluted earnings (loss) per common share		$ 0.37	$ 0.31
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercisable, Number		131,088	131,088
Share-based Compensation, Shares Authorized under Stock Option Plans, Exercise Price Range, Exercisable Options, Weighted Average Exercise Price		$ 30	$ 30
[1]	For the three months ended March 31, 2016 and 2015, the Company had an aggregate of zero and 131,088 stock options outstanding, respectively, with a weighted-average exercise price of $30.00 that were not included in the calculation of EPS, as they were out-of-the-money.

Subsequent Events (Details)

Subsequent Events (Details)	Apr. 01, 2016shares
Restricted Stock [Member] | Subsequent Event [Member]
Subsequent Event [Line Items]
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period	21,248