Chimera Investment (CIM) 10-K 25 Feb 16 2015 FY Annual report Financial data

Document and Entity Information

Document and Entity Information - USD ($)	12 Months Ended
	Dec. 31, 2015	Jan. 29, 2016	Jun. 30, 2015
Document And Entity Information [Abstract]
Document Type	10-K
Amendment Flag	false
Document Period End Date	Dec. 31, 2015
Document Fiscal Year Focus	2,015
Document Fiscal Period Focus	FY
Trading Symbol	CIM
Entity Registrant Name	CHIMERA INVESTMENT CORP
Entity Central Index Key	1,409,493
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	Yes
Entity Current Reporting Status	Yes
Entity Voluntary Filers	No
Entity Filer Category	Large Accelerated Filer
Entity Common Stock, Shares Outstanding		187,711,868
Entity Public Float			$ 2,683,573,258

Consolidated Statements of Fina

Consolidated Statements of Financial Condition - USD ($) $ in Thousands		Dec. 31, 2015	Dec. 31, 2014
Assets:
Cash and cash equivalents		$ 114,062	$ 164,620
Non-Agency RMBS, at fair value		3,675,841	3,404,149
Agency RMBS, at fair value		6,514,824	8,441,522
Securitized loans held for investment, net of allowance for loan losses of $0 million and $7 million, respectively			626,112
Securitized loans held for investment, at fair value		4,768,416	4,699,215
Receivable for investments sold			1,572,056
Accrued interest receivable		66,247	71,099
Other assets		189,796	172,601
Derivatives, at fair value, net		15,460	3,631
Total assets	[1]	15,344,646	19,155,005
Liabilities:
Repurchase agreements, RMBS ($8.8 billion and $9.3 billion pledged as collateral, respectively)		7,439,339	8,455,381
Securitized debt, collateralized by Non-Agency RMBS ($2.1 billion and $2.5 billion pledged as collateral, respectively)		529,415	704,915
Securitized debt, collateralized by loans held for investment ($0 million and $626 million pledged as collateral, respectively)			521,997
Securitized debt at fair value, collateralized by loans held for investment ($4.8 billion and $4.7 billion pledged as collateral, respectively)		3,720,496	3,868,366
Payable for investments purchased		560,641	1,845,282
Accrued interest payable		37,432	31,888
Dividends payable		90,097	92,483
Accounts payable and other liabilities		11,404	2,469
Investment management fees payable			10,357
Derivatives, at fair value		9,634	14,177
Total liabilities	[1]	$ 12,398,458	$ 15,547,315
Commitments and Contingencies (See Note 16)
Stockholders' Equity:
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively		$ 0	$ 0
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,711,868 and 205,546,144 shares issued and outstanding, respectively		1,877	2,055
Additional paid-in-capital		3,366,568	3,614,411
Accumulated other comprehensive income		773,791	1,046,680
Accumulated deficit		(1,196,048)	(1,055,456)
Total stockholders' equity		2,946,188	3,607,690
Total liabilities and stockholders' equity		$ 15,344,646	$ 19,155,005
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corp.). As of December 31, 2015 and 2014, total assets of consolidated VIEs were $7,031,278 and $7,924,232, respectively, and total liabilities of consolidated VIEs were $4,262,017 and $5,111,348, respectively. See Note 8 for further discussion.

Consolidated Statements of Fin3

Consolidated Statements of Financial Condition (Parenthetical) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Preferred Stock, par value	$ 0.01	$ 0.01
Preferred Stock, shares authorized	100,000,000	100,000,000
Preferred Stock, shares issued	0	0
Preferred Stock, shares outstanding	0	0
Common stock, par value	$ 0.01	$ 0.01
Common stock, shares authorized	300,000,000	300,000,000
Common stock, shares issued	187,711,868	205,546,144
Common stock, shares outstanding	187,711,868	205,546,144
Securitized Loans Held for Investment at Cost [Member]
Allowance for loan losses	$ 0	$ 7,274
Repurchase Agreements [Member] | Mortgage-Backed Securities [Member]
Securities pledged as collateral	8,773,285	9,309,738
Repurchase Agreements [Member] | Non-Agency RMBS [Member]
Securities pledged as collateral	3,117,875	1,487,184
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Assets	7,031,278	7,924,232
Liabilities	4,262,017	5,111,348
Securitized Loans [Member] | Securitized Loans Held for Investment at Cost [Member]
Securities pledged as collateral	0	626,000
Securitized Loans [Member] | Non-Agency RMBS [Member]
Securities pledged as collateral	2,100,000	2,500,000
Securitized Loans [Member] | Securitized Loans Held for Investment at Fair Value [Member]
Securities pledged as collateral	$ 4,800,000	$ 4,700,000

Consolidated Statements of Oper

Consolidated Statements of Operations and Comprehensive Income - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Net Interest Income:
Interest income	[1]	$ 872,737	$ 687,795	$ 511,783
Interest expense	[2]	259,365	147,785	101,999
Net interest income		613,372	540,010	409,784
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(8,700)	(8,713)	(4,356)
Portion of loss recognized in other comprehensive income		(58,744)	(55,279)	(40,811)
Net other-than-temporary credit impairment losses		(67,444)	(63,992)	(45,167)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		67,385	(103,496)	34,369
Realized gains (losses) on terminations of interest rate swaps		(98,949)
Net realized gains (losses) on derivatives		(83,073)	(82,852)	(7,713)
Net gains (losses) on derivatives		(114,637)	(186,348)	26,656
Net unrealized gains (losses) on financial instruments at fair value		(158,433)	193,534	(44,277)
Net realized gains (losses) on sales of investments		77,074	91,709	68,107
Gain (loss) on deconsolidation		(256)	47,846
Gains (losses) on Extinguishment of Debt		(5,930)	(2,184)
Realized losses on principal write-downs of Non-Agency RMBS				(18,316)
Total other gains (losses)		(202,182)	144,557	32,170
Other expenses:
Management fees		24,609	32,514	25,952
Expense recoveries from Manager		(6,906)	(8,936)	(6,788)
Net management fees		17,703	23,578	19,164
Provision for loan losses, net			(232)	(1,799)
Compensation and benefits		10,544
General and administrative expenses		31,633	20,403	14,085
Servicing Fees of consolidated VIEs		25,244	10,004	2,649
Deal Expenses		8,272	1,398
Other (income) expense			(23,783)
Total other expenses		93,396	31,368	34,099
Income (loss) before income taxes		250,350	589,207	362,688
Income taxes		1	2	2
Net income		$ 250,349	$ 589,205	$ 362,686
Net income (loss) per share available to common shareholders:
Basic		$ 1.25	$ 2.87	$ 1.77
Diluted		$ 1.25	$ 2.87	$ 1.76
Weighted average number of common shares outstanding:
Basic		199,563,196	205,450,095	205,418,876
Diluted		199,650,177	205,508,769	205,514,069
Comprehensive income (loss):
Net income		$ 250,349	$ 589,205	$ 362,686
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		(263,049)	134,113	23,807
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses		67,444	63,992	45,167
Reclassification adjustment for net realized losses (gains) included in net income		(77,284)	(94,382)	(68,107)
Reclassification adjustment for gain on deconsolidation included in net income			(47,846)
Other comprehensive income (loss)		(272,889)	55,877	867
Comprehensive income (loss)		$ (22,540)	$ 645,082	$ 363,553
[1]	Includes interest income of consolidated VIEs of $575,715, $428,992 and $371,559 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.
[2]	Includes interest expense of consolidated VIEs of $191,922, $119,103 and $95,229 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.

Consolidated Statements of Ope5

Consolidated Statements of Operations and Comprehensive Income (Parenthetical) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Interest income	$ 575,715	$ 428,992	$ 371,559
Interest expense	$ 191,922	$ 119,103	$ 95,229

Consolidated Statements of Chan

Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands		Total	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Accumulated Deficit)
Beginning Balance at Dec. 31, 2012		$ 3,542,479	$ 2,054	$ 3,612,768	$ 989,936	$ (1,062,279)
Net income (loss)		362,686				362,686
Other comprehensive income (loss)		867			867
Proceeds from restricted stock grants		691	1	690
Common dividends declared		(575,213)				(575,213)
Ending Balance at Dec. 31, 2013		3,331,510	2,055	3,613,458	990,803	(1,274,806)
Net income (loss)		589,205				589,205
Other comprehensive income (loss)		55,877			55,877
Proceeds from restricted stock grants		953	0	953
Common dividends declared		(369,855)				(369,855)
Ending Balance at Dec. 31, 2014		3,607,690	2,055	3,614,411	1,046,680	(1,055,456)
Net income (loss)		250,349				250,349
Cumulative effect of accounting change	[1]	(12,137)				(12,137)
Other comprehensive income (loss)		(272,889)			(272,889)
Proceeds from restricted stock grants		1,979	2	1,977
Repurchase of common stock		(250,000)	(180)	(249,820)
Common dividends declared		(378,804)				(378,804)
Ending Balance at Dec. 31, 2015		$ 2,946,188	$ 1,877	$ 3,366,568	$ 773,791	$ (1,196,048)
[1]	Adoption of ASU No. 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. See Note 2(p), Recent Accounting Pronouncements for further discussion.

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Cash Flows From Operating Activities:
Net income	$ 250,349	$ 589,205	$ 362,686
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	3,813	(72,569)	(80,586)
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	17,145	11,552	17,671
Net unrealized losses (gains) on derivatives	(67,385)	103,496	(34,369)
Net realized losses (gains) on option contracts settled		1,246
Proceeds (payments) for derivative sales and settlements	(13,495)	(6,923)
Margin (paid) received on derivatives	82,671	(186,462)
Net unrealized losses (gains) on financial instruments at fair value	158,433	(193,534)	44,277
Net realized losses (gains) on sales of investments	(77,074)	(91,709)	(68,107)
Realized losses on principal write-downs of Non-Agency RMBS			18,316
(Gains) losses on deconsolidation	256	(47,846)
Net other-than-temporary credit impairment losses	67,444	63,992	45,167
(Gain) loss on extinguishment of debt	5,930	2,184
Provision for loan losses, net		(232)	(1,799)
Equity-based compensation expense	1,979	956	691
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	4,852	(37,570)	6,336
Decrease (increase) in other assets	(42,738)	16,471	(13)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	8,935	608	691
Increase (decrease) in investment management fees and expenses payable to affiliate	(10,357)	4,699	(2,017)
Increase (decrease) in accrued interest payable, net	5,544	25,213	(4,124)
Net cash provided by (used in) operating activities	396,302	182,777	304,820
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	2,037,911	(5,778,558)	305,099
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	41,644,280	27,128,227	7,879,361
Payments on repurchase agreements	(42,660,323)	(20,331,406)	(7,748,825)
Payments on repurchase of common stock	(250,000)
Payment of deferred financing costs	0	0	0
Proceeds from securitized debt borrowings, collateralized by loans held for investment	1,483,301	43,981
Payments on securitized debt borrowings, collateralized by loans held for investment	(2,138,623)	(341,313)	(499,549)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(182,217)	(185,369)	(414,690)
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS		(56,072)
Common dividends paid	(381,189)	(575,276)	(369,740)
Net cash provided by (used in) financing activities	(2,484,771)	5,682,772	(1,153,443)
Net increase (decrease) in cash and cash equivalents	(50,558)	86,991	(543,524)
Cash and cash equivalents at beginning of period	164,620	77,629	621,153
Cash and cash equivalents at end of period	114,062	164,620	77,629
Supplemental disclosure of cash flow information:
Interest received	881,403	577,123	437,533
Interest paid	236,676	111,020	88,455
Management fees and expenses paid	34,966	27,815	27,969
Non-cash investing activities:
Receivable for investments sold		1,572,056	253,541
Payable for investments purchased	(560,641)	(1,845,282)
Net change in unrealized gain (loss) on available-for sale securities	(272,889)	55,877	867
Non-cash financing activities:
Common dividends declared, not yet paid	90,097	92,483	297,904
Agency MBS - Residential [Member]
Cash Flows From Investing Activities:
Purchases	(6,590,731)	(8,860,042)	(2,068,870)
Sales	7,563,771	2,555,570	1,037,371
Principal payments	1,061,193	512,202	479,650
Non-Agency RMBS [Member]
Cash Flows From Investing Activities:
Purchases	(850,750)	(365,240)	(317,299)
Sales	158,404	513,030	191,437
Principal payments	385,988	323,900	475,127
Securitized Loans [Member]
Cash Flows From Investing Activities:
Purchases	(281,811)
Principal payments	699,118	316,372	$ 507,683
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Cash Flows From Investing Activities:
Acquisition of investments in consolidated VIEs	(109,872)	(774,350)
Disposition of investments in consolidated VIEs	2,601
Acquisition of investments in consolidated VIEs
Securitized loans held for investment, at fair value	295,225	4,722,825
Other assets		84,830
Securitized debt at fair value	(185,353)	$ 4,033,304
Disposition of investments in consolidated VIEs
Non-agency RMBS, at fair value	49,118
Securitized loans held for investment, at fair value	(287,806)
Securitized debt at fair value	$ 236,087

Organization

Organization	12 Months Ended
	Dec. 31, 2015
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	1. Organization Chimera Investment Corporation (the “Company”) was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has six wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC, both qualified REIT subsidiaries (“QRS”) formed in June 2009; CIM Trading Company LLC (“CIM Trading”), a TRS formed in July 2010; Chimera Funding TRS LLC, TRS formed in October 2013, Chimera CMBS Whole Pool LLC, a QRS formed in March 2015; and Chimera Insurance Company, LLC, a TRS formed in July 2015. Until August 5, 2015, the Company was externally managed by Fixed Income Discount Advisory Company (“FIDAC” or “Manager”), a wholly-owned subsidiary of Annaly Capital Management, Inc. (“Annaly”), under the terms of a management agreement (“Management Agreement”). On August 5, 2015, the Company announced it had internalized its management and would continue to be led by its key professionals. In connection with the internalization, the Company and FIDAC agreed to terminate the Management Agreement, without the payment of a termination fee effective immediately. As part of the termination, the Company entered into a transition services agreement with FIDAC through the end of 2015 (the “Transition Services Agreement”). In addition, during the third quarter of 2015, the Company purchased the 4.4% stake in the Company held by Annaly as a part of the new $250 million share repurchase program (“Repurchase Program”) authorized by the Company’s Board.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	12 Months Ended
	Dec. 31, 2015
Accounting Policies [Abstract]
Summary of the Significant Accounting Policies	2. Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior year amounts have been reclassified to conform to the current year’s presentation. All per share amounts, common shares outstanding and restricted shares for the current period and all prior periods reflect the Company's 1-for-5 reverse stock split, which was effective April 6, 2015. The consolidated financial statements include, on a consolidated basis, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a certificate holder of the bonds it has retained. There have been no recent changes to the nature of risks associated with the Company’s involvement with VIEs. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership of substantially all subordinate interests provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) such as rights to direct servicer activity or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these entities, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool. The securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) and residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. (c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2015 and December 31, 2014. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities (“MBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation. Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is subject to the performance of the mortgage loans or MBS collateralizing the obligation. The Company also invests in Interest Only Agency MBS strips and Non-Agency RMBS strips (“IO MBS strips”). IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. Interest income on IO MBS strips is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium is calculated in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 325-40, Beneficial Interests in Securitized Financial Assets The Company classifies the majority of its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on all MBS in Other comprehensive income (“OCI”) in the Consolidated Statements of Operations and Comprehensive Income. For IO strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations and Comprehensive Income. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations and Comprehensive Income utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs · Agency MBS · Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): 1. Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available. 2. The Company expects to collect all of the security’s contractual cash flows. 3. The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date: 1. There is evidence of deterioration in credit quality of the security from its inception. 2. It is probable that the Company will be unable to collect all contractual cash flows of the security. Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date: 1. The security is not of high credit quality (defined as rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost the security is considered impaired. On a quarterly basis the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is subjective as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings. (e) Securitized Loans Held for Investment Prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of non-conforming, single family, owner occupied, jumbo, prime loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of a default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. As of January 1, 2015, the securitized loan portfolio comprised of non-conforming, single family, owner occupied, jumbo, prime loans is carried at fair value with changes in fair value recorded in earnings. Prior to January 1, 2015, this loan portfolio was carried at amortized cost, net of the allowance for loan losses. The allowance for loan losses as of December 31, 2014 was $7 million. As all loans are carried at fair value since the beginning of 2015, there is no longer an allowance for losses as of December 31, 2015. The allowance for loan losses consists of a general reserve and a specific reserve. The general reserve is based on historical loss rates for pools of loans with similar credit characteristics, adjusted for current trends and market conditions, including current trends in delinquencies and severities. The specific reserve reflects consideration of loans more than 60 days delinquent, loans in foreclosure and borrowers that have declared bankruptcy. The specific loan loss provision related to these loans is primarily the difference between the unpaid principal balance and the estimated fair value of the property securing the mortgage, less estimated costs to sell. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned sub-prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned sub-prime residential mortgage loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised primarily of seasoned sub-prime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. As these loans are carried at fair value since their purchase, no allowance for loan losses is required. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. All residential mortgage loans: Interest is accrued on all securitized loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses in the Statement of operations and comprehensive income. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned (“REO”) represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. The Company recognized a loss of $8 million for the year ended December 31, 2015 related to REO which is presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. The carrying value of REO assets at December 31, 2015 and December 31, 2014 was $18 million and $8 million, respectively, and were recorded in Other Assets on the Company’s consolidated statements of financial condition. (f) Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. As of January 1, 2015, securitized debt, collateralized by loans held for investment, is carried at fair value. Prior to January 1, 2015, securitized debt, collateralized by loans held for investment, was carried at amortized cost. The Company recognizes interest expense on securitized debt over the expected life of the debt using the interest method with changes in yield reflected in earnings on a prospective basis. Fees associated with the debt issuance of jumbo prime residential mortgage loans are also amortized using the interest method. Unamortized fees associated with debt issuance are included in other assets. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Fair Value Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $245 million and $214 million as of December 31, 2015 and December 31, 2014. Included in Agency MBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $273 million and $186 million as of December 31, 2015 and December 31, 2014. Interest income reported on all IO securities was $49 million and $30 million for the years ended December 31, 2015 and 2014, respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in MBS which we refer to as the overcollateralization class of the MBS pass through structure. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of MBS investments is highly judgmental and uncertain; therefore, the Company has elected to carry these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $20 million as of December 31, 2015. There were no Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings as of December 31, 2014. Securitized Loans Held for Investment: Upon the adoption of ASU 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity Changes in fair value of securitized loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. As of December 31, 2014, $626 million of securitized loans held for investment comprised primarily of non-conforming, single family, owner occupied, jumbo, prime loans were carried at amortized cost, net of an allowance for loan losses. Securitized Debt, Collateralized by Loans Held for Investment: As of January 1, 2015, the Company has elected the fair value option for all of the Company’s securitized debt, collateralized by loans held for investment. The Company has elected fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. As of December 31, 2014, $522 million of securitized debt collateralized primarily by non-conforming, single family, owner occupied, jumbo, prime loans were carried at amortized cost. Upon the adoption of ASU 2014-13 on January 1, 2015, the securitized debt collateralized primarily by non-conforming, single family, owner occupied, jumbo, prime loans were carried at fair value. Changes in fair value of securitized loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. (i) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair value of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details. (j) Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS, and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales and the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any diff

Mortgage-Backed Securities

Mortgage-Backed Securities	12 Months Ended
	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	3. Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, or subordinated IO. The Company also invests in residential and commercial Agency MBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. December 31, 2015 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,651,869 $ 309 $ (1,553,317 ) $ 2,098,860 $ 2,826,121 $ 736,040 $ (8,779 ) $ 727,261 Senior, interest-only 5,426,029 268,515 - 268,515 234,171 18,113 (52,457 ) (34,344 ) Subordinated 762,466 23,635 (258,128 ) 527,975 604,295 83,896 (7,577 ) 76,319 Subordinated, interest-only 284,931 15,226 - 15,226 11,254 62 (4,035 ) (3,973 ) Agency MBS Residential 5,045,418 255,837 - 5,301,255 5,267,848 18,593 (52,001 ) (33,408 ) Commercial 952,091 24,815 (3,170 ) 973,736 973,787 8,052 (8,001 ) 51 Interest-only 6,722,472 280,073 - 280,073 273,189 2,756 (9,640 ) (6,884 ) $ 22,845,276 $ 868,410 $ (1,814,615 ) $ 9,465,640 $ 10,190,665 $ 867,512 $ (142,490 ) $ 725,022 December 31, 2014 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,435,362 $ - $ (1,542,907 ) $ 1,892,455 $ 2,735,780 $ 843,680 $ (355 ) $ 843,325 Senior, interest-only 5,221,937 227,305 - 227,305 207,216 17,378 (37,467 ) (20,089 ) Subordinated 690,599 - (344,033 ) 346,566 454,348 108,091 (309 ) 107,782 Subordinated, interest-only 216,403 9,577 - 9,577 6,805 194 (2,966 ) (2,772 ) Agency MBS Residential 7,774,266 387,174 (1,624 ) 8,159,816 8,255,419 108,802 (13,199 ) 95,603 Interest-only 3,884,523 189,797 - 189,797 186,103 1,326 (5,020 ) (3,694 ) $ 21,223,090 $ 813,853 $ (1,888,564 ) $ 10,825,516 $ 11,845,671 $ 1,079,471 $ (59,316 ) $ 1,020,155 The table below presents changes in Accretable Yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Year Ended December 31, 2015 December 31, 2014 (dollars in thousands) Balance at beginning of period $ 1,534,497 $ 1,794,577 Purchases 277,922 110,694 Accretion (249,898 ) (294,395 ) Reclassification (to) from non-accretable difference 238,348 123,181 Sales and deconsolidation (58,125 ) (199,560 ) Balance at end of period $ 1,742,744 $ 1,534,497 The table below presents the outstanding principal balance and related amortized cost at December 31, 2015 and December 31, 2014 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Year Ended For the Year Ended December 31, 2015 December 31, 2014 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,325,335 $ 3,949,664 End of period $ 3,550,698 $ 3,325,335 Amortized cost: Beginning of period $ 1,741,780 $ 2,027,738 End of period $ 1,958,726 $ 1,741,780 The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d). December 31, 2015 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 294,520 $ (8,779 ) 20 $ - $ - - $ 294,520 $ (8,779 ) 20 Senior, interest-only $ 81,919 $ (18,715 ) 83 64,058 (33,742 ) 47 145,977 (52,457 ) 130 Subordinated $ 138,257 $ (7,577 ) 22 - - - 138,257 (7,577 ) 22 Subordinated, interest-only $ 6,455 $ (1,039 ) 1 3,635 (2,996 ) 2 10,090 (4,035 ) 3 Agency MBS Residential $ 4,468,717 $ (44,687 ) 116 290,926 (7,314 ) 4 4,759,643 (52,001 ) 120 Commercial $ 393,058 $ (7,969 ) 140 4,986 (32 ) 4 398,044 (8,001 ) 144 Interest-only $ 94,969 $ (3,457 ) 24 39,707 (6,183 ) 7 134,676 (9,640 ) 31 Total $ 5,477,895 $ (92,223 ) 406 $ 403,312 $ (50,267 ) 64 $ 5,881,207 $ (142,490 ) 470 December 31, 2014 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 29,789 $ (355 ) 3 $ - $ - - $ 29,789 $ (355 ) 3 Senior, interest-only 23,479 (3,066 ) 24 96,754 (34,401 ) 53 120,233 (37,467 ) 77 Subordinated 19,380 (7 ) 2 11,605 (302 ) 4 30,985 (309 ) 6 Subordinated, interest-only 4,373 (2,709 ) 2 1,074 (257 ) 2 5,447 (2,966 ) 4 Agency MBS Residential 219,808 (198 ) 7 701,442 (13,001 ) 11 921,250 (13,199 ) 18 Interest-only 112,014 (3,616 ) 12 10,467 (1,404 ) 3 122,481 (5,020 ) 15 Total $ 408,843 $ (9,951 ) 50 $ 821,342 $ (49,365 ) 73 $ 1,230,185 $ (59,316 ) 123 At December 31, 2015, the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of December 31, 2015. Gross unrealized losses on the Company’s Agency pass-through and Commercial Agency MBS were $60 million and $13 million as of December 31, 2015 and December 31, 2014, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency pass-through MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2015 and December 31, 2014, unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS IO strips which are reported at fair value with changes in fair value recorded in earnings) were $16 million and $1 million at December 31, 2015 and December 31, 2014, respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the OTTI included in earnings for the years ended December 31, 2015, 2014 and 2013 is presented below. For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Total other-than-temporary impairment losses $ (8,700 ) $ (8,713 ) $ (4,356 ) Portion of loss recognized in other comprehensive income (loss) (58,744 ) (55,279 ) (40,811 ) Net other-than-temporary credit impairment losses $ (67,444 ) $ (63,992 ) $ (45,167 ) The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Cumulative credit loss beginning balance $ 507,548 $ 524,432 $ 510,089 Additions: Other-than-temporary impairments not previously recognized 41,233 63,123 39,098 Reductions for securities sold or deconsolidated during the period (19,746 ) (61,854 ) (14,038 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 26,138 869 6,069 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (26,061 ) (19,022 ) (16,786 ) Cumulative credit impairment loss ending balance $ 529,112 $ 507,548 $ 524,432 Cash flows generated to determine net other-than-temporary credit impairment losses recognized in earnings are estimated using significant unobservable inputs. The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows: For the Year Ended December 31, 2015 December 31, 2014 Loss Severity Weighted Average 57% 72% Range 0% - 92% 35% - 93% 60+ days delinquent Weighted Average 22% 30% Range 2% - 41% 0% - 47% Credit Enhancement (1) Weighted Average 8% 6% Range 0% - 67% 0% - 35% 3 Month CPR Weighted Average 9% 9% Range 3% - 27% 2% - 25% 12 Month CPR Weighted Average 8% 11% Range 3% - 20% 5% - 22% (1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. The following tables present a summary of unrealized gains and losses at December 31, 2015 and December 31, 2014. IO MBS included in the tables below represent the right to receive a specified portion of the contractual interest cash flows of the underlying principal balance of specific securities. At December 31, 2015, IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million. At December 31, 2014, IO MBS had a net unrealized loss of $27 million and had an amortized cost of $427 million. The fair value of IOs at December 31, 2015 and December 31, 2014 was $519 million, and $400 million, respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations and Comprehensive Income. December 31, 2015 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 736,040 $ - $ 736,040 $ (8,779 ) $ - $ (8,779 ) Senior, interest-only - 18,113 18,113 - (52,457 ) (52,457 ) Subordinated 81,588 2,309 83,896 (1,971 ) (5,606 ) (7,577 ) Subordinated, interest-only - 62 62 - (4,035 ) (4,035 ) Agency MBS Residential 18,593 - 18,593 (52,001 ) - (52,001 ) Commercial 8,052 - 8,052 (8,001 ) - (8,001 ) Interest-only - 2,756 2,756 - (9,640 ) (9,640 ) Total $ 844,273 $ 23,240 $ 867,512 $ (70,752 ) $ (71,738 ) $ (142,490 ) December 31, 2014 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 843,680 $ - $ 843,680 $ (355 ) $ - $ (355 ) Senior, interest-only - 17,378 17,378 - (37,467 ) (37,467 ) Subordinated 108,091 - 108,091 (309 ) - (309 ) Subordinated, interest-only - 194 194 - (2,966 ) (2,966 ) Agency MBS Residential 108,802 - 108,802 (13,199 ) - (13,199 ) Interest-only - 1,326 1,326 - (5,020 ) (5,020 ) Total $ 1,060,573 $ 18,898 $ 1,079,471 $ (13,863 ) $ (45,453 ) $ (59,316 ) Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2015 and December 31, 2014. December 31, 2015 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,651,869 $ 57.47 $ 77.39 3.8 % 13.7 % Senior, interest-only 5,426,029 4.95 4.32 1.7 % 12.9 % Subordinated 762,466 69.25 79.26 3.2 % 8.8 % Subordinated, interest-only 284,931 5.34 3.95 1.2 % 10.9 % Agency MBS Residential pass-through 5,045,418 105.07 104.41 3.7 % 2.8 % Commercial pass-through 952,091 102.27 102.28 3.4 % 2.9 % Interest-only 6,722,472 4.17 4.06 0.8 % 3.4 % (1) Bond Equivalent Yield at period end. December 31, 2014 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,435,362 $ 55.09 $ 79.63 4.3 % 15.9 % Senior, interest-only 5,221,937 4.35 3.97 1.6 % 14.4 % Subordinated 690,599 50.18 65.79 3.1 % 10.6 % Subordinated, interest-only 216,403 4.43 3.14 0.9 % 9.2 % Agency MBS Pass-through 7,774,266 104.96 106.19 4.0 % 3.2 % Interest-only 3,884,523 4.89 4.79 0.9 % 3.1 % (1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at December 31, 2015 and December 31, 2014. December 31, 2015 December 31, 2014 AAA 0.5% 0.9% AA 0.4% 0.4% A 0.8% 0.0% BBB 0.4% 0.4% BB 5.2% 1.9% B 3.0% 5.6% Below B or not rated 89.7% 90.8% Total 100.0% 100.0% Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2015 and December 31, 2014 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. December 31, 2015 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less than five years Greater than five years and less than ten years Greater than ten years Total Fair value Non-Agency RMBS Senior $ - $ 374,462 $ 1,629,564 $ 822,095 $ 2,826,121 Senior interest-only 1,458 41,862 123,538 67,313 234,171 Subordinated 2,229 108,728 212,003 281,335 604,295 Subordinated interest-only - - 11,254 - 11,254 Agency MBS Residential - 150,357 5,117,491 - 5,267,848 Commercial - - 29,176 944,611 973,787 Interest-only - 106,069 161,413 5,707 273,189 Total fair value $ 3,687 $ 781,478 $ 7,284,439 $ 2,121,060 $ 10,190,665 Amortized cost Non-Agency RMBS Senior $ - $ 281,255 $ 1,235,528 $ 582,077 $ 2,098,860 Senior interest-only 2,440 59,823 135,359 70,893 268,515 Subordinated 2,208 86,728 168,403 270,636 527,975 Subordinated interest-only - - 15,226 - 15,226 Agency MBS Residential - 149,111 5,152,144 - 5,301,255 Commercial - - 29,156 944,580 973,736 Interest-only - 106,708 167,646 5,719 280,073 Total amortized cost $ 4,648 $ 683,625 $ 6,903,462 $ 1,873,905 $ 9,465,640 December 31, 2014 (dollars in thousands) Weighted Average Life Less than one year Greater than Greater than Greater than Total Fair value Non-Agency RMBS Senior $ 1,656 $ 306,309 $ 1,678,226 $ 749,589 $ 2,735,780 Senior interest-only 515 60,403 110,800 35,498 207,216 Subordinated - 80,414 245,438 128,496 454,348 Subordinated interest-only - - 5,447 1,358 6,805 Agency MBS Residential - 4,237,658 3,781,890 235,871 8,255,419 Interest-only - 82,994 103,109 - 186,103 Total fair value $ 2,171 $ 4,767,778 $ 5,924,910 $ 1,150,812 $ 11,845,671 Amortized cost Non-Agency RMBS Senior $ 1,205 $ 255,009 $ 1,129,932 $ 506,309 $ 1,892,455 Senior interest-only 1,294 65,291 124,996 35,724 227,305 Subordinated - 58,448 188,502 99,616 346,566 Subordinated interest-only - - 8,413 1,164 9,577 Agency MBS Residential - 4,173,986 3,750,831 234,999 8,159,816 Interest-only - 83,659 106,138 - 189,797 Total amortized cost $ 2,499 $ 4,636,393 $ 5,308,812 $ 877,812 $ 10,825,516 The Non-Agency RMBS portfolio is subject to credit risk. The Company seeks to mitigate credit risk through its asset selection process. The Non-Agency RMBS portfolio is primarily collateralized by what the Company classifies as Alt-A first lien mortgages. An Alt-A mortgage is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or prime, and less risky than subprime, the riskiest category. Alt-A interest rates, which are determined by credit risk, therefore tend to be between those of prime and subprime home loans. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher loan-to-value ratios. The Company defines Alt-A mortgage securities as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans. At December 31, 2015 and December 31, 2014, 64% and 65% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At December 31, 2015 and December 31, 2014, 17% and 24% of the Non-Agency RMBS collateral was classified as prime, respectively. The remaining Non-Agency RMBS collateral is classified as sub-prime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2015 and December 31, 2014. December 31, 2015 December 31, 2014 Weighted average maturity (years) 22.0 22.5 Weighted average amortized loan to value (1) 67.9% 67.5% Weighted average FICO (2) 671 679 Weighted average loan balance (in thousands) $ 330 $ 332 Weighted average percentage owner occupied 82.7% 83.0% Weighted average percentage single family residence 65.9% 65.5% Weighted average current credit enhancement 2.4% 1.7% Weighted average geographic concentration of top four states CA 30.4% CA 31.7% FL 8.0% FL 8.4% NY 8.0% NY 7.8% NJ 2.5% NJ 2.9% (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2015 and December 31, 2014. Origination Year December 31, 2015 December 31, 2014 1998 0.0% 0.0% 1999 0.1% 0.2% 2000 0.6% 0.6% 2001 1.6% 2.1% 2002 0.5% 0.4% 2003 2.2% 2.5% 2004 3.7% 3.9% 2005 21.7% 20.4% 2006 32.9% 28.5% 2007 34.2% 37.6% 2008 1.9% 2.1% 2013 0.5% 0.9% 2014 0.1% 0.8% 2015 0.0% 0.0% Total 100.0% 100.0% Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations and Comprehensive Income. The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2015, 2014 and 2013 are as follows: For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Proceeds from sales $ 6,244,613 $ 4,036,033 $ 1,079,649 Gross realized gains 94,618 98,656 72,946 Gross realized losses (17,544 ) (6,947 ) (4,839 ) Net realized gain $ 77,074 $ 91,709 $ 68,107 Included in the gross realized gains for the year ended December 31, 2015 are exchanges of securities with a fair value of $95 million, where the Company exchanged its investment in a re-remic security for the underlying collateral supporting the group related to the exchanged asset. These exchanges were treated as non-cash sales and purchases and resulted in a realized gain of $24 million for the year ended December 31, 2015 reflected in earnings. For the year ended December 31, 2014 the fair value of these exchanges of securities was $89 million and resulted in realized gain of $23 million.

Securitized Loans Held for Inve

Securitized Loans Held for Investment	12 Months Ended
	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Securitized Loans Held for Investment	4. Securitized Loans Held for Investment The Securitized loans held for investment is comprised of two portfolios. The first portfolio is comprised of loans collateralized by non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The second portfolio is comprised primarily of loans collateralized by seasoned sub-prime residential mortgages. At December 31, 2015, all securitized loans held for investment are carried at fair value. See Note 5 to our Consolidated Financial Statements for a discussion on how the Company determines the fair values of the securitized loans held for investment. As changes in the fair value of these securitized loans are reflected in earnings, the Company does not estimate or record a loan loss provision. At December 31, 2014, $626 million of securitized loans held for investment comprised primarily of non-conforming, single family, owner occupied, jumbo, prime loans were carried at amortized cost, net of an allowance for loan losses. The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at December 31, 2015 and December 31, 2014: For the Year Ended For the Year Ended December 31, 2015 December 31, 2014 (dollars in thousands) Balance, beginning of period (1) $ 5,306,501 $ - Purchases 577,036 4,722,824 Principal paydowns (707,996 ) (173,597 ) Sales and settlements (9,638 ) - Net periodic acrretion (amortization) (19,100 ) 5,028 Change in fair value (90,581 ) 144,960 Transfer due to deconsolidation (287,806 ) - Balance, end of period $ 4,768,416 $ 4,699,215 (1) Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. The primary cause of the change in fair value is due to changes in credit risk of the portfolio. Jumbo prime residential mortgage loans The securitized loan portfolio collateralized by jumbo prime residential mortgages was originated during the following years: Origination Year December 31, 2015 December 31, 2014 2004 0.1% 0.9% 2007 8.5% 8.1% 2008 7.4% 7.0% 2009 0.3% 0.2% 2010 5.1% 6.3% 2011 33.1% 35.4% 2012 45.5% 42.1% Total 100.0% 100.0% A summary of key characteristics of the loan portfolio collateralized primarily of non-conforming, single family, owner occupied, jumbo, prime mortgages follows: December 31, 2015 December 31, 2014 Number of loans 657 869 Weighted average maturity (years) 25.5 26.4 Weighted average loan to value (1) 70.7% 71.6% Weighted average FICO (2) 765 766 Weighted average loan balance (in thousands) $ 682 $ 716 Weighted average percentage owner occupied 94.3% 95.0% Weighted average percentage single family residence 70.1% 71.0% Weighted average geographic concentration of top five states CA 32.4% CA 34.8% VA 6.4% NJ 5.6% NJ 6.3% VA 5.5% MD 6.2% MD 5.1% TX 5.1% NY 5.1% (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The following table summarizes the outstanding principal balance of the jumbo prime loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2015 and December 31, 2014. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2015 $ 3,079 $ - $ 2,915 $ - $ 2,875 $ 2,312 $ 11,181 December 31, 2014 $ 2,621 $ 565 $ 988 $ - $ 7,152 $ - $ 11,326 The fair value of the jumbo prime residential mortgage loans 90 days or more past due is $2 million as of December 31, 2015. Seasoned sub-prime residential mortgage loans The securitized loan portfolio collateralized by seasoned sub-prime residential mortgages originated during the following years: Origination Year December 31, 2015 December 31, 2014 2002 and prior 11.2% 6.0% 2003 4.0% 4.4% 2004 11.1% 12.3% 2005 19.3% 20.6% 2006 17.4% 18.2% 2007 25.4% 26.3% 2008 9.5% 9.9% 2009 1.1% 1.2% 2010 and later 1.0% 1.1% Total 100.0% 100.0% A summary of key characteristics of the loan portfolio collateralized by seasoned sub-prime residential mortgages follows: December 31, 2015 December 31, 2014 Number of loans 56,870 58,170 Weighted average maturity (years) 21.5 22.2 Weighted average loan to value (1) 80.7% 80.3% Weighted average FICO (1) 625 629 Weighted average loan balance (in thousands) $ 76 $ 79 Weighted average percentage owner occupied 96.0% 95.8% Weighted average percentage single family residence 72.5% 73.6% Weighted average geographic concentration of top five states CA 8.8% CA 9.3% FL 7.2% FL 7.0% NC 7.1% NC 7.0% VA 6.3% VA 6.4% OH 6.1% OH 6.0% (1) As provided by the Trustee The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned sub-prime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2015 and December 31, 2014. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2015 $ 189,816 $ 66,429 $ 125,897 $ 117,308 $ 218,493 $ 36,124 $ 754,067 December 31, 2014 $ 226,154 $ 92,363 $ 192,245 $ 154,279 $ 80,148 $ 16,556 $ 761,745 The fair value of seasoned sub-prime residential mortgage loans 90 days or more past due is $341 million as of December 31, 2015. Securitized loans held for investment, net of allowance for loan losses As of December 31, 2014, $626 million of securitized loans held for investment comprised primarily of non-conforming, single family, owner occupied, jumbo, prime loans were carried at amortized cost, net of an allowance for loan losses of $7 million. The prime jumbo securitized loans held for investment for which the Company has not elected the fair value option are carried at amortized cost which is their principal balance outstanding, plus unamortized premiums, less unaccreted discounts and an allowance for loan losses. The following table provides a summary of the changes in the carrying value of these securitized loans held for investment at December 31, 2014: December 31, 2014 Balance, beginning of period $ 783,484 Principal paydowns (153,063 ) Net periodic (amortization) accretion (4,541 ) Change to loan loss provision 232 Balance, end of period $ 626,112 The following table represents the Company’s prime jumbo securitized residential mortgage loans held for investment which are carried at amortized cost at December 31, 2014: December 31, 2014 Securitized loans, at amortized cost $ 633,386 Less: allowance for loan losses 7,274 Securitized loans held for investment $ 626,112 The following table summarizes the changes in the allowance for loan losses for the securitized mortgage loan portfolio carried at amortized cost at December 31, 2014: December 31, 2014 Balance, beginning of period $ 9,063 Provision for loan losses (232 ) Charge-offs (1,557 ) Balance, end of period $ 7,274 The Company established an allowance for loan losses related to jumbo prime securitized loans carried at amortized cost that is composed of a general and specific reserve. The balance in the allowance for loan losses related to the general reserve and specific reserve at December 31, 2014 was $3 million and $4 million, respectively. The Company is not involved with the servicing or modification of the jumbo prime loans held for investments except for its ability to approve certain loan modifications. The servicer of the respective securitization is responsible for servicing and modifying these loans. The Company is required to make certain assumptions in accounting for these loans due to the limitation of information available to the Company. As all loans are carried at fair value as of December 31, 2015, there is no longer a reserve for losses as of December 31, 2015. The following table displays the loan product type and accompanying loan characteristic of residential loans recorded on our consilidated balance sheets as of December 31, 2015 and 2014. December 31, 2015 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 2,119 1.7% to 15.2% 2/1/2003 - 10/1/2055 138,321 11,140 5,292 $250 to $500 66 2% to 10.375% 1/1/2030 - 9/1/2055 23,021 1,201 2,277 $500 to $750 29 2% to 5.75% 2/1/2032 - 4/1/2038 17,186 - 1,688 $750 to $1,000 7 2.875% to 2.875% 1/1/2038 - 4/1/2038 5,867 - - Over $1,000 6 2.875% to 4% 12/1/2037 - 4/1/2038 8,402 - 1,730 2,227 192,797 12,341 10,986 Hybrid loans: $1 to $250 2 6.67% to 6.83% 8/1/2037 - 9/1/2037 193 - - $250 to $500 2 5.762% to 5.875% 7/1/2037 - 4/1/2038 908 - - $500 to $750 8 4% to 7.188% 7/1/2037 - 3/1/2038 4,751 1,081 1,744 $750 to $1,000 2 5.625% to 5.75% 4/1/2037 - 4/1/2038 1,730 - - 14 7,582 1,081 1,744 Fixed loans: $1 to $250 52,774 0% to 24% 1/1/1999 - 5/1/2062 3,540,447 245,151 359,559 $250 to $500 1,957 2% to 11.93% 12/1/2019 - 10/1/2065 645,347 33,405 58,336 $500 to $750 374 2% to 9.75% 6/1/2022 - 9/1/2057 226,481 3,205 4,005 $750 to $1,000 130 3.75% to 7% 7/1/2037 - 10/1/2042 112,490 1,729 1,892 Over $1,000 51 2.25% to 7.125% 3/1/2013 - 10/1/2042 62,773 - - 55,286 4,587,538 283,490 423,792 Total 57,527 4,787,918 296,912 436,521 December 31, 2014 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment: Adjustable rate loans: $250 to $500 7 2.00% to 3.00% 8/1/2037 - 2/1/2042 3,131 - - $500 to $750 12 2.00% to 4.00% 1/1/2038 - 4/1/2038 7,497 565 - $750 to $1,000 5 2.75% to 2.875% 1/1/2038 - 4/1/2038 4,328 - - Over $1,000 4 2.875% to 4.00% 12/1/2037 - 3/1/2038 5,879 - 1,730 28 20,835 565 1,730 Hybrid loans: $0 to $250 3 6.50% to 6.83% 8/1/2037 - 1/1/2038 283 - - $250 to $500 11 2.125% to 6.875% 6/1/2037 - 4/1/2038 5,123 - 498 $500 to $750 31 2.75% to 7.188% 5/1/2037 - 4/1/2038 18,817 1,154 1,709 $750 to $1,000 5 5.625% to 6.35% 4/1/2037 - 4/1/2038 4,327 - - Over $1,000 3 3.00% to 5.75% 2/1/2038 - 4/1/2038 4,170 - 1,629 53 32,720 1,154 3,836 Fixed loans: $0 to $250 2 4.375% to 6.75% 6/1/2037 - 8/1/2042 85 - - $250 to $500 137 2.00% to 7.875% 7/1/2022 - 10/1/2042 61,868 - 958 $500 to $750 371 2.00% to 7.875% 9/1/2022 - 10/1/2042 230,894 506 1,616 $750 to $1,000 190 3.50% to 7.00% 9/1/2037 - 10/1/2042 165,065 961 - Over $1,000 88 2.25% to 7.125% 1/1/2038 - 10/1/2042 110,440 - - 788 568,352 1,467 2,574 Total 869 621,907 3,186 8,140 Held-for-Investment at fair value: Adjustable rate loans: $0 to $250 570 1.625% to 13.99% 5/1/2017 - 11/1/2054 57,908 1,451 3,663 $250 to $500 61 1.875% to 9.375% 3/1/2034 - 5/1/2054 19,641 395 3,138 $500 to $750 4 4.29% to 5.75% 2/1/2032 - 6/1/2035 2,210 - 547 635 79,759 1,846 7,348 Fixed loans: $0 to $250 55,300 0.00% to 24.00% 7/1/2012 - 5/1/2062 3,789,721 275,076 356,916 $250 to $500 2,128 0.00% to 11.93% 6/1/2014 - 11/1/2065 688,464 37,387 75,661 $500 to $750 106 2.00% to 9.75% 6/1/2022 - 9/1/2057 60,445 3,405 3,303 $750 to $1,000 1 5.50% to 5.50% 7/1/2037 - 7/1/2037 804 804 - 57,535 4,539,434 316,672 435,880 Total 58,170 4,619,193 318,518 443,228

Fair Value Measurements

Fair Value Measurements	12 Months Ended
	Dec. 31, 2015
Fair Value Disclosures [Abstract]
Fair Value Measurements	5. Fair Value Measurements The Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants. Using different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. If third party pricing services are unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by two independent third party pricing services. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced (“TBA”) securities. Each quarter the Company develops thresholds which are determined utilizing current bid/ask spreads, liquidity, price volatility and other factors as appropriate. If internally developed model prices differ from the independent prices provided by greater than a market derived predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third party pricing service. The Company obtains the inputs used by the third party pricing services and compares them to the Company’s inputs. The Company updates its own inputs if the Company determines the third party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third party pricing service review market factors that may not have been considered by the third party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting Non-Agency RMBS fair value estimates Level 3 inputs in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as level 2 in the fair value hierarchy. Securitized Loans Held for Investment Securitized loans consisting of seasoned sub-prime residential mortgage loans: The Company estimates the fair value of its securitized loans held for investment consisting of seasoned sub-prime residential mortgage loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include: loan coupon as compared to coupon currently available in the market, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan interest rate as compared to interest rates currently available in the market and delinquency history. These two factors are based on relevant observable inputs. The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned sub-prime pool of mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the market place to develop a comprehensive direct range of values. However, if market data becomes available, the Company will compare this data to the internally developed prices to ensure reasonableness of the valuation. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by two independent third party pricing services for the loan portfolio. Each quarter the Company develops thresholds which are determined utilizing a senior securitization market for a similar pool of loans. If the internally developed fair values of the loan pools differ from the independent prices provided by greater than a predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third party pricing service. The Company obtains certain inputs used by the third party pricing services and evaluates them for reasonableness. The Company updates its own model if the Company determines the third party pricing inputs more accurately reflect the current market environment or observed information from the third party vendors. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third party pricing service review market factors that may not have been considered by the third party pricing service. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. The Company’s estimates of fair value of securitized loans held for investment involve management judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized loans collateralized by jumbo, prime residential mortgages The securitized loans collateralized by jumbo, prime residential mortgages are carried at fair value as of December 31, 2015. The securitized loans are held as part of a consolidated CFE. A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity and the beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allow the Company to elect to measure the CFE’s financial assets using the fair value of the CFE’s financial liabilities as the fair values of the financial liabilities of the CFE are more observable. Therefore, the fair value of the securitized loans collateralized by jumbo, prime residential mortgages is based on the fair value of the securitized debt. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable Securitized debt, collateralized by loans held for investment are considered level 3 in the fair value hierarchy, the Securitized loans collateralized by jumbo, prime residential mortgages are also level 3 in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. The Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and management’s expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. See the further discussion of the valuation process and benchmarking process in the Agency MBS and Non-Agency RMBS The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve management’s judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The Company determines the fair value of securitized debt, collateralized by loans held for investment based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, expected losses, expected default severity, credit enhancement, and other pertinent factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. See the further discussion of the valuation process and benchmarking process in the Agency MBS and Non-Agency RMBS The Company’s estimates of fair value of securitized debt, collateralized by loans held for investment involve management’s judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cashflows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. The Company compares its own estimate of fair value to clearing market prices to evaluate for reasonableness. The clearing exchange pricing quotes incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices for similar financial instruments in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Mortgage Options Mortgage options are valued using an option pricing model which considers the strike price of the option, the price of the underlying security, settle date, a discount rate and the implied volatility. The implied volatility is determined from the daily price of the underlying security as well as prices on similar financial instruments. The Company has classified the characteristics used to determine the fair value of mortgage options as Level 3 inputs in the fair value hierarchy. Repurchase Agreements Repurchase agreements are collateralized financing transactions utilized by the Company to acquire investment securities. Due to the short term nature of these financial instruments, the Company estimates the fair value of these repurchase agreements using the contractual obligation plus accrued interest payable at maturity. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, receivable for securities sold, dividends payable, payable for securities purchased and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2015 and December 31, 2014 is presented below. December 31, 2015 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - 3,675,841 $ - $ 3,675,841 Agency RMBS, at fair value - 6,514,824 - - 6,514,824 Securitized loans held for investment, at fair value - - 4,768,416 - 4,768,416 Derivatives 1,599 18,987 - (5,126 ) 15,460 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,720,496 ) - (3,720,496 ) Derivatives (192 ) (57,042 ) - 47,600 (9,634 ) Total $ 1,407 $ 6,476,769 $ 4,723,761 $ 42,474 $ 11,244,411 December 31, 2014 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - $ 3,404,149 $ - $ 3,404,149 Agency RMBS, at fair value - 8,441,522 - - 8,441,522 Securitized loans held for investment, at fair value - - 4,699,215 - 4,699,215 Derivatives 4,798 (1,167 ) 3,631 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,868,366 ) - (3,868,366 ) Derivatives (7,227 ) (113,679 ) (71 ) 106,800 (14,177 ) Total $ (7,227 ) $ 8,332,641 $ 4,234,927 $ 105,633 $ 12,665,974 The table below provides a summary of the changes in the fair value of securities classified as Level 3 at December 31, 2015 and December 31, 2014. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2015 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans (1) Securitized Debt Total Beginning balance Level 3 assets $ 3,404,149 $ (71 ) $ 5,306,501 $ (4,383,217 ) $ 4,327,362 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Transfer due to consolidation/deconsolidation (59,646 ) - (287,806 ) 243,732 (105,870 ) Purchases 1,045,534 - 577,036 (1,668,654 ) (46,084 ) Principal payments (385,822 ) - (707,996 ) 743,329 (350,489 ) Sales and Settlements (252,532 ) (597 ) (9,638 ) 1,395,292 1,132,526 Accretion (amortization) of purchase discounts 117,836 - (19,100 ) (6,344 ) 94,542 Gains (losses) included in net income Other than temporary credit impairment losses (67,444 ) - - - (67,444 ) Realized gains (losses) on sales and settlements 28,724 443 - (5,930 ) 23,236 Net unrealized gains (losses) included in income (18,874 ) 225 (90,581 ) (38,704 ) (147,934 ) Gains (losses) included in other comprehensive income - - Total unrealized gains (losses) for the period (136,084 ) - - - (136,084 ) Ending balance Level 3 assets $ 3,675,841 $ - $ 4,768,416 $ (3,720,496 ) $ 4,723,761 (1) Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2014 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,774,463 $ - $ - $ - $ 3,774,463 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Purchases 454,506 - 4,722,824 (4,309,055 ) 868,275 Principal payments (324,768 ) - (173,597 ) 412,652 (85,713 ) Sales and Settlements (602,573 ) (8,479 ) - - (611,052 ) Accretion of purchase discounts 99,512 - 5,028 2,026 106,566 Gains (losses) included in net income Other than temporary credit impairment losses (63,992 ) - - - (63,992 ) Realized gains (losses) on sales and settlements 62,634 8,749 - - 71,383 Realized gain on deconsolidation 47,846 - - - 47,846 Net unrealized gains (losses) included in income 25,271 (341 ) 144,960 26,011 195,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (68,750 ) - - - (68,750 ) Ending balance Level 3 assets $ 3,404,149 $ (71 ) $ 4,699,215 $ (3,868,366 ) $ 4,234,927 There were no transfers to or from Level 3 for the years ended December 31, 2015 and 2014. The primary cause of the changes in fair value of the securitized loans and the securitized debt included in the tables above are due to changes in credit risk of the portfolio. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, constant prepayment speed (“CPR”), cumulative default rate, and the loss severity. Prepayment speeds, as reflected by the CPR, vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment speeds increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment speeds increase, the amount of income the Company earns increases from the acceleration of the accretion of the discount into interest income. Conversely, decreases in prepayment speeds result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. For securitized debt carried at fair value issued at a premium, as prepayment speeds increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment speeds increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment speeds result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. Cumulative default rates represent an annualized rate of default on a group of mortgages. The constant default rate (“CDR”) represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the discounted cash flows are reduced. A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of December 31, 2015 and December 31, 2014 follows: December 31, 2015 December 31, 2014 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR CDR Loss Severity Weighted Average Discount Rate CPR CDR Loss Severity Range Range Non-Agency RMBS Senior 5.5% 1% -17% 0% -22% 35% -95% 4.7% 1% - 12% 0% - 29% 50% - 85% Senior interest-only 13.1% 3% -25% 0% -23% 1% -95% 14.4% 1% - 25% 0% - 32% 50% - 85% Subordinated 6.6% 1% -22% 0% -20% 5% -91% 5.8% 1% - 16% 0% - 19% 10% - 78% Subordinated interest-only 17.4% 6% -13% 0% -10% 1% -64% 22.0% 1% - 10% 0% - 14% 50% - 65% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of December 31, 2015 and December 31, 2014 follows: December 31, 2015 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 4% - 32% 0% - 6% 35% - 65% December 31, 2014 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 3% - 8% 0% - 9% 50% - 73% All of the significant inputs listed have some degree of market observability, based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security. The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. The prepayment speed specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment speed is based on factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Characteristics such as seasoning are taken into consideration because severities tend to initially increase on newly originated securities, before beginning to decline as the collateral ages and eventually stabilize. Collateral characteristics such as loan size, loan-to-value, and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Securitized loans held for investment The significant unobservable inputs used to estimate the fair value of the securitized loans held for investment collateralized by seasoned sub-prime residential mortgage loans, as of December 31, 2015 and December 31, 2014 include coupon, FICO score at origination, loan-to-value ratios (LTV), owner occupancy status, and property type. A summary of the significant inputs used to estimate the fair value of Securitized loans held for investment at fair value as of December 31, 2015 and December 31, 2014 follows: December 31, 2015 December 31, 2014 Significant Inputs Significant Inputs Base Rate Weighted Average/Percent of loan pool Base Rate Weighted Average/Percent of loan pool Factor: Coupon Clean 4.4 % 6.9 % 4.4 % 6.6 % Reperforming 5.3 % 6.7 % 5.3 % 6.6 % FICO 620 625 620 637 Loan-to-value (LTV) 90 % 81 % 90 % 81 % Occupancy Owner Occupied N/A 96 % N/A 96 % Investor N/A 4 % N/A 4 % Secondary N/A 0 % N/A 0 % Property Type Single family N/A 77 % N/A 79 % Manufactured housing N/A 11 % N/A 15 % Multi-family/mixed use/other N/A 12 % N/A 6 % The loan factors are generally not observable for the individual loans and the base rates developed by the Company’s internal model are subjective and change as market conditions change. The impact of the loan coupon on the value of the loan is dependent on whether the loan is clean or reperforming. A clean loan, with no history of delinquent payments and a relatively high loan interest rate would result in a higher overall value than a reperforming loan which has a history of delinquency. Similarly, a higher FICO score and a lower LTV ratio results in increases in the fair market value of the loan and a lower FICO score and a higher LTV ratio results in a lower value. Property types also affect the overall loan values. Property types include single family, manufactured housing and multi-family/mixed use and other types of properties. Single family homes represent properties which house only one family unit. Manufactured homes include mobile homes and modular homes. Loan value for properties that are investor or secondary homes have a reduced value as compared to the baseline loan value. Additionally, single family homes will result in an increase to the loan value where manufactured and multi-family/mixed use and other properties will result in a decrease to the loan value, as compared to the baseline. The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2015 and December 31, 2014. December 31, 2015 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 (7,439,339 ) (7,466,409 ) Securitized debt, collateralized by Non-Agency RMBS 3 (529,415 ) (518,941 ) December 31, 2014 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Securitized loans held for investment 3 626,112 626,100 Repurchase agreements 2 (8,455,381 ) (8,473,836 ) Securitized debt, collateralized by Non-Agency RMBS 3 (704,915 ) (708,623 ) Securitized debt, collateralized by loans held for investment 3 (521,997 ) (514,851 )

Repurchase Agreements

Repurchase Agreements	12 Months Ended
	Dec. 31, 2015
Banking and Thrift [Abstract]
Repurchase Agreements	6. Repurchase Agreements The interest rates of the Company’s repurchase agreements are generally indexed to the one-month, three-month and twelve-month LIBOR rates and re-price accordingly. The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of December 31, 2015 and December 31, 2014 is: December 31, 2015 December 31, 2014 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 5,324,729 $ 7,422,040 Non-agency MBS (in thousands) 2,114,610 1,033,341 Total: $ 7,439,339 $ 8,455,381 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 5,776,980 $ 4,862,939 Non-agency MBS (in thousands) $ 1,627,909 329,716 Total: $ 7,404,889 $ 5,192,655 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.64 % 0.44 % Non-agency MBS 2.44 % 1.98 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 53 Days 94 Days Non-agency MBS 137 Days 146 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 5,655,410 $ 7,822,554 Non-agency MBS (in thousands) 3,117,875 1,487,184 Total: $ 8,773,285 $ 9,309,738 At December 31, 2015 and December 31, 2014, the repurchase agreements collateralized by RMBS had the following remaining maturities. December 31, 2015 December 31, 2014 (dollars in thousands) Overnight $ - $ - 1 to 29 days 3,312,902 2,652,717 30 to 59 days 2,501,513 1,371,856 60 to 89 days 246,970 656,915 90 to 119 days 430,026 2,068,740 Greater than or equal to 120 days 947,928 1,705,153 Total $ 7,439,339 $ 8,455,381 At December 31, 2015 and December 31, 2014, the Company had an amount at risk with Credit Suisse First Boston of 10% of its equity related to the collateral posted on repurchase agreements. As of December 31, 2015 the weighted average maturity of the repurchase agreements with Credit Suisse First Boston was 25 days and the amount at risk was $303 million. As of December 31, 2014 the weighted average maturity of the repurchase agreements with Credit Suisse First Boston was 156 days and the amount at risk was $367 million. There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of December 31, 2015 and December 31, 2014.

Securitized Debt

Securitized Debt	12 Months Ended
	Dec. 31, 2015
Debt Disclosure [Abstract]
Securitized Debt	7. Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as securitized loans held for investment or Non-Agency RMBS transferred to consolidated VIEs and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At December 31, 2015 and December 31, 2014 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $545 million and $727 million, respectively. At December 31, 2015 and December 31, 2014, the debt carried a weighted average cost of financing equal to 4.49% and 4.28%, respectively. The debt matures between the years 2035 and 2047. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. During 2014, the Company acquired securitized debt collateralized by Non-Agency RMBS with an outstanding principal balance of $54 million for $56 million. This transaction resulted in a loss on the extinguishment of debt of $2 million. This loss is reflected in earnings for the year ended December 31, 2014. The following table presents the estimated principal repayment schedule of the securitized debt at December 31, 2015 and December 31, 2014, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2015 December 31, 2014 (dollars in thousands) Within One Year $ 137,642 $ 175,713 One to Three Years 178,191 220,995 Three to Five Years 60,872 112,779 Greater Than Five Years 52,280 96,266 Total $ 428,985 $ 605,753 Maturities of the Company’s securitized debt are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Notes 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At December 31, 2015 and December 31, 2014 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $3.8 billion and $4.5 billion, respectively. During the year ended December 31, 2015 and 2014, the company recognized a loss of $39 million and a gain of $26 million, respectively, on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair value. During the year ended 2015, the Company acquired securitized debt collateralized by loans with an outstanding principal balance of $1.4 billion for $1.4 billion. This transaction resulted in a net loss on the extinguishment of debt of $6 million. This loss is reflected in earnings for the year ended December 31, 2015. At December 31, 2015 and December 31, 2014 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 3.24% and 3.47% respectively. The debt matures between the years 2023 and 2065. The following table presents the estimated principal repayment schedule of the securitized debt at December 31, 2015 and December 31, 2014, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2015 December 31, 2014 (dollars in thousands) Within One Year $ 591,171 $ 704,654 One to Three Years 941,704 1,206,241 Three to Five Years 734,291 828,196 Greater Than Five Years 1,502,663 1,577,368 Total $ 3,769,829 $ 4,316,459 Maturities of the Company’s securitized debt are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by loans held for investment contain call provisions and are callable at par, at the option of the Company. The following table presents the par value of the callable debt by year at December 31, 2015. December 31, 2015 (dollars in thousands) Year Principal 2016 $ 1,861,864 2017 217,308 2018 1,334,964 Total $ 3,414,136

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	12 Months Ended
	Dec. 31, 2015
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Consolidated Securitization Vehicles and Other Variable Interest Entities	8. Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining permanent, non-recourse term financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of December 31, 2015, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $7.0 billion and liabilities with a carrying value of $4.3 billion. As of December 31, 2014, the Company’s Consolidated Statement of Financial Condition includes consolidated VIEs with $7.9 billion of assets and $5.1 billion of liabilities. During the third quarter of 2015, the Company acquired the rights to approximately $295 million of seasoned sub-prime residential mortgage loans through the purchase of certain subordinate tranches in CSMC 2015-RPL4 trust, a VIE. The company evaluated the CSMC 2015-RPL4 trust and concluded that its interests in the trust gave the Company the power to direct the activity of the trust. Therefore, the Company concluded that it was the primary beneficiary of the CSMC 2015-RPL4 trust and consolidated the assets and liabilities of the CSMC 2015-RPL4 trust. During the fourth quarter of 2015, the Company sold certain tranches and re-evaluated the CSMC 2015-RPL4 trust for consolidation and concluded that its remaining interests in the trust no longer gave the Company the power to direct the activity of the trust. Therefore, the Company concluded that it was no longer the primary beneficiary of the CSMC 2015-RPL4 trust and de-consolidated the assets and liabilities of the CSMC 2015-RPL4 trust. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these re-securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2015 and December 31, 2014. December 31, 2015 December 31, 2014 (dollars in thousands) Assets Non-Agency RMBS, at fair value $ 2,140,494 $ 2,473,467 Securitized loans held for investment, net of allowance for loan losses - 626,112 Securitized loans held for investment, at fair value 4,768,416 4,699,215 Accrued interest receivable 35,916 39,558 Other Assets 86,452 85,880 Liabilities Securitized debt, collateralized by Non-Agency RMBS $ 529,415 $ 704,915 Securitized debt, collateralized by loans held for investment - 521,997 Securitized debt at fair value, collateralized by loans held for investment 3,720,496 3,868,366 Accrued interest payable 12,106 16,070 Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income is presented in the table below. December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 575,715 $ 428,992 $ 371,559 Interest expense, Non-recourse liabilities of VIEs (191,922 ) (119,103 ) (95,229 ) Net interest income $ 383,793 $ 309,889 $ 276,330 Total other-than-temporary impairment losses $ (2,066 ) (3,374 ) (4,170 ) Portion of loss recognized in other comprehensive income (loss) (55,552 ) (55,392 ) (33,749 ) Net other-than-temporary credit impairment losses $ (57,618 ) $ (58,766 ) $ (37,919 ) VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2015, ranged from less than $1 million to $54 million, with an aggregate amount of $1.5 billion. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2014, ranged from less than $1 million to $46 million, with an aggregate amount of $931 million. The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.5 billion at December 31, 2015 and $822 million at December 31, 2014. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.

Derivative Instruments

Derivative Instruments	12 Months Ended
	Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	9. Derivative Instruments In connection with the Company’s interest rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and Treasury futures. The Company’s swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. The Company typically agrees to pay a fixed rate of interest (“pay rate”) in exchange for the right to receive a floating rate of interest (“receive rate”) over a specified period of time. Treasury futures are derivatives which track the prices of specific Treasury securities and are traded on an active exchange. It is generally the Company’s policy to close out any Treasury futures positions prior to taking delivery of the underlying security. The Company uses Treasury futures to lock in prices on the purchase or sale of Agency MBS and to hedge changes in interest rates on its existing portfolio. In addition to interest rate swaps, from time to time the Company purchases and sells mortgage options. Mortgage options give the Company the right, but not the obligation, to buy or sell mortgage backed securities at a future date for a fixed price. The Company uses mortgage options to lock in prices on the purchase or sale of Agency MBS and to enhance investment returns. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2015 and December 31, 2014. December 31, 2015 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,555,400 Derivatives, at fair value, net $ 1,232 Derivatives, at fair value, net $ (6,369 ) Mortgage Options - Derivatives, at fair value, net - Derivatives, at fair value, net - Swaptions 779,000 Derivatives, at fair value, net 12,821 Derivatives, at fair value, net (3,265 ) Treasury Futures 752,200 Derivatives, at fair value, net 1,407 Derivatives, at fair value, net - Total $ 6,086,600 $ 15,460 $ (9,634 ) December 31, 2014 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 3,573,000 Derivatives, at fair value, net $ - Derivatives, at fair value, net (14,061 ) Mortgage Options 200,000 Derivatives, at fair value, net - Derivatives, at fair value, net (71 ) Swaptions 242,000 Derivatives, at fair value, net 2,889 Derivatives, at fair value, net (45 ) Treasury Futures 1,240,000 Derivatives, at fair value, net - Derivatives, at fair value, net - Total $ 5,255,000 $ 2,889 $ (14,177 ) As of December 31, 2014, the Company had a net TBA position of $742 thousand which settled in January of 2015. This amount is included in Derivative assets on the Consolidated Statements of Financial Condition as of December 31, 2014. The effect of the Company’s derivatives on the Consolidated Statements of Operations and Comprehensive Income is presented below. Net gains (losses) on derivatives For the Year Ended Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 64,819 $ (84,913 ) $ 23,740 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (146,173 ) (52,523 ) (21,857 ) Mortgage Options Net unrealized gains (losses) on derivatives 225 340 - Mortgage Options Net realized gains (losses) on derivatives 443 7,505 12,115 Treasury Futures Net unrealized gains (losses) on derivatives 8,634 (17,856 ) 10,629 Treasury Futures Net realized gains (losses) on derivatives (35,523 ) (38,552 ) 2,029 Swaptions Net unrealized gains (losses) on derivatives (6,294 ) (1,067 ) - Swaptions Net realized gains (losses) on derivatives (353 ) (24 ) - Other Derivative Assets Net unrealized gains (losses) on derivatives - - - Other Derivative Assets Net realized gains (losses) on derivatives (415 ) 742 - Total $ (114,637 ) $ (186,348 ) $ 26,656 (1) Includes loss on termination of interest rate swap of $99 million for the year ended December 31, 2015 The Company paid $99 million to terminate interest rate swaps with a notional value of $1.5 billion during the year ended December 31, 2015. The terminated swaps had original maturities ranging from 2019 to 2044. This amount represented the fair value of the terminated interest rate swaps, not counting any accrued interest at the time of settlement. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2015 was 1.51% and the weighted average receive rate was 0.36%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2014 was 2.26% and the weighted average receive rate was 0.24%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2013 was 1.81% and the weighted average receive rate was 0.17%.The weighted average maturity on the Company’s interest rate swaps at December 31, 2015, 2014 and 2013 is 4 years, 6 years and 2 years, respectively. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. Certain of the Company’s interest rate swaps are cleared through a registered commodities exchange. Each of the Company’s ISDAs and clearing exchange agreements contains provisions under which the Company is required to fully collateralize its obligations under the interest rate swap agreements if at any point the fair value of the swap represents a liability greater than the minimum transfer amount contained within the agreements. The Company is also required to post initial collateral upon execution of certain of its swap transactions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value. The Company uses clearing exchange market prices to determine the fair value of its interest rate swaps. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a net liability position at December 31, 2015 is approximately $57 million including accrued interest, which represents the maximum amount the Company would be required to pay upon termination, which is fully collateralized.

Common Stock

Common Stock	12 Months Ended
	Dec. 31, 2015
Equity [Abstract]
Common Stock	10. Common Stock On March 12, 2015, The Company's board of directors approved a 1-for-5 reverse stock split of its common stock. The reverse stock split was effective after the close of trading on April 6, 2015, and the shares of the Company's common stock began trading on a reverse split-adjusted basis on the New York Stock Exchange beginning at the opening of trading on April 7, 2015. As a result of the reverse stock split, every five shares of the Company’s common stock was converted into one share of common stock, reducing the number of issued and outstanding shares of the Company’s common stock from approximately 1.0 billion to approximately 206 million and reducing the number of authorized shares from 1.5 billion to approximately 300 million. No fractional shares were issued in connection with the reverse stock split. Each stockholder who was otherwise entitled to receive a fractional share of the Company’s common stock was entitled to receive a cash payment in lieu of a fractional share. The reverse stock split was not subject to stockholder approval and did not change the par value of the Company's common stock. All common shares, outstanding options and per share amounts for all periods were retroactively adjusted to reflect the reverse stock split. On August 5, 2015, our Board of Directors adopted a program that authorizes repurchases of our common stock up to $250 million. Shares of our common stock may be purchased in the open market, including through block purchases, or through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, we intend to only consider repurchasing shares of our common stock when the purchase price is less than our estimate of our current net asset value per common share. Generally, when we repurchase our common stock at a discount to our net asset value, the net asset value of our remaining shares of common stock outstanding increases. In addition, we do not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate us to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. Pursuant to our share repurchase program, during the third and fourth quarter of 2015, we repurchased approximately 18 million shares of our common stock at an average repurchase price of $13.94 per share for a total of $250 million. During the years ended December 31, 2015, 2014 and 2013, the Company declared dividends to common shareholders totaling $379 million, $370 million and $575 million, respectively, or $1.92, $1.80 and $2.80 per share, respectively. Earnings per share for the years ended December 31, 2015, 2014 and 2013, respectively, are computed as follows: For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Numerator: Net income $ 250,349 $ 589,205 $ 362,686 Effect of dilutive securities: - - - Dilutive net income available to stockholders $ 250,349 $ 589,205 $ 362,686 Denominator: Weighted average basic shares 199,563,196 205,450,095 205,418,876 Effect of dilutive securities 86,981 58,674 95,193 Weighted average dilutive shares 199,650,177 205,508,769 205,514,069 Net income per average share attributable to common stockholders - Basic $ 1.25 $ 2.87 $ 1.77 Net income per average share attributable to common stockholders - Diluted $ 1.25 $ 2.87 $ 1.76

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	12 Months Ended
	Dec. 31, 2015
Equity [Abstract]
Accumulated Other Comprehensive Income	11. Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the years ended December 31, 2015 and 2014: December 31, 2015 (dollars in thousands) Unrealized gains (losses) on available- for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 OCI before reclassifications (263,049 ) (263,049 ) Amounts reclassified from AOCI (9,840 ) (9,840 ) Net current period OCI (272,889 ) (272,889 ) Balance as of December 31, 2015 $ 773,791 $ 773,791 December 31, 2014 (dollars in thousands) Balance as of December 31, 2013 $ 990,803 $ 990,803 OCI before reclassifications 134,113 134,113 Amounts reclassified from AOCI (78,236 ) (78,236 ) Net current period OCI 55,877 55,877 Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 The following table presents the details of the reclassifications from AOCI for the years ended December 31, 2015 and 2014: December 31, 2015 December 31, 2014 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations And Comprehensive Income Unrealized gains and losses on available-for-sale securities (dollars in thousands) $ 77,284 $ 94,382 Net realized gains (losses) on sales of investments - 47,846 Realized gain on deconsolidation (67,444 ) (63,992 ) Net other-than-temporary credit impairment losses $ 9,840 $ 78,236 Income before income taxes - - Income taxes $ 9,840 $ 78,236 Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	12 Months Ended
	Dec. 31, 2015
Postemployment Benefits [Abstract]
Equity Compensation, Employment Agreements and other Benefit Plans	12. Equity Compensation, Employment Agreements and other Benefit Plans In accordance with the terms of the Company’s 2007 Equity Incentive Plan (as amended and restated on December 10, 2015), directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a restriction period lasting between two to ten years depending on the award, after which time the awards fully vest. During the vesting period, these shares may not be sold. Restricted stock may be granted to all employees. There were 7.4 million shares available for future grants under the 2007 Equity Incentive Plan as of December 31, 2015. In January, 2016, the Compensation Committee of the Board of Directors of the Company approved the Stock Award Deferral Program. Under the program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the 2007 Equity Incentive Plan (as amended and restated on December 10, 2015). Deferred awards are credited as deferred stock units and are paid at the earlier of separation from service or a date elected by the participant. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments if paid upon separation from service. Deferred awards receive dividend equivalents during the deferral period credited as additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the 2007 Equity Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. At December 31, 2015, the Company had employment agreements with five of its officers, with varying terms that provide for, among other things, base salary, bonus and change-in-control payments upon the occurrence of certain triggering events. On January 2, 2008, the Company granted restricted stock awards in the amount of 260,200 shares, adjusted for the 1-for-5 split, to employees of FIDAC and its affiliates and the Company’s independent directors. The awards to the independent directors vested on the date of grant and the awards to FIDAC’s employees, which are now Chimera’s employees vest quarterly over a period of 10 years. On February 2, 2015, the Company granted restricted stock awards in the amount of 84,700 shares to employees of FIDAC and its affiliates. One third of the awards vested on grant date and the remainder will vest pro-rata over a period of two years. On August 5, 2015, in connection with the management internalization, 15,000 unvested restricted stock awards granted to FIDAC employees who did not become employees of the Company, vested immediately on that date. The remaining 70,000 unvested restricted stock awards granted to original FIDAC employees that are now employees of the Company were remeasured on August 5, 2015 based on the Company’s stock price on that date and will continue to be amortized over the remaining vesting period, based on their fair value as of August 5, 2015. The following table presents information with respect to the Company’s restricted stock awards during the years ended December 31, 2015 and 2014: For the Year Ended December 31, 2015 December 31, 2014 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 39,480 88.60 76,800 88.60 Granted 84,692 15.35 44,579 16.60 Vested (50,988 ) 88.60 (58,217 ) 88.60 Forfeited (2,184 ) 88.60 (23,682 ) 88.60 Unvested shares outstanding - end of period 71,000 28.39 39,480 88.60 The Company recognized stock based compensation expenses of $1 million, $166 thousand and $324 thousand for the years ended December 31, 2015, 2014 and 2013, respectively. As of December 31, 2015 there was approximately $1 million of total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan. That cost is expected to be recognized over a weighted average period of approximately 2 years. The Company’s independent directors receive a fixed dollar amount of the Company’s common stock in return for services provided to the Company. Equity based awards granted to the independent director’s vest during the year of service. For the years ended December 31, 2015, 2014 and 2013, the Company recognized $975 thousand, $740 thousand and $300 thousand, of stock based compensation to independent directors, respectively. In 2014, $320 thousand of the $895 thousand granted was related to independent directors electing to receive their cash retainer in the form of common stock. Subsequent to December 31, 2015, the executive officers of the Company were granted 266,000 shares of stock as compensation related to services provided in 2015. These shares had a market value at the grant date of $3 million and vest equally over a three year period beginning one year from the grant date and will fully vest in in 2019. The Company also maintains a qualified 401(k) plan. The plan is a voluntary contributory plan that allows eligible employees to defer compensation for federal income tax purposes under Section 401(k) of the Internal Revenue Code of 1986, as amended. Employees may contribute, through payroll deductions, up to 25% of eligible compensation. The Company matches 100% of the first 3% of the eligible compensation deferred by employee contributions and 50% of the next 2% of such compensation. The 401(k) matching contributions are made in the form of cash, whereby participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vest immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. Participants who qualify for distribution may receive a series of specified installment payments. The 401(k) expense related to the Company’s qualified plan for the year ended December 31, 2015 was $82 thousand. As we were externally managed prior to 2015, there was no 401(k) expense in 2014 or 2013.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2015
Income Tax Disclosure [Abstract]
Income Taxes	13. Income Taxes For the years ended December 31, 2015 and December 31, 2014, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRSs are subject to federal, state and local taxes. There were no significant income tax expenses for the years ended December 31, 2015, 2014 and 2013. The Company recorded a deferred tax asset of $4 million for the year ended December 31, 2015, relating to activities of its TRSs. Of this amount, $3 million related to cumulative net operating losses as of December 31, 2015 and $1 million related to losses which were disallowed under Code Section 267(a) during the year ended December 31, 2015. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $4 million for the year ended December 31, 2015. The Company did not record a deferred tax asset or establish a valuation allowance for the year ended December 31, 2014. In general, common stock cash dividends declared by the Company will be considered ordinary income to stockholders for income tax purposes. From time to time, a portion of the Company’s dividends may be characterized as capital gains or return of capital distributions. The Company’s effective tax rate differs from its combined federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). The Company’s 2014, 2013 and 2012 federal, state and local tax returns remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	12 Months Ended
	Dec. 31, 2015
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	14. Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, and borrowings under repurchase agreements. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related liabilities. The Company attempts to minimize credit risk through due diligence and asset selection by purchasing loans underwritten to agreed-upon specifications of selected originators as well as on-going portfolio monitoring. The Company has established a whole loan target market including prime and sub-prime borrowers, Alt-A documentation, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and repurchase agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a repurchase agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty, where appropriate. Our repurchase agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2015 and December 31, 2014. December 31, 2015 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,439,339 ) $ - $ (7,439,339 ) $ 8,773,285 $ 37,296 $ 1,371,242 Interest Rate Swaps - Gross Assets 6,166 (4,934 ) 1,232 - - 1,232 Interest Rate Swaps - Gross Liabilities (53,777 ) 47,408 (6,369 ) 8,589 51,424 53,644 Treasury Futures 1,599 (192 ) 1,407 - 6,420 7,827 Swaptions - Gross Assets 12,821 - 12,821 - - 12,821 Swaptions - Gross Liabilities (3,265 ) - (3,265 ) - - (3,265 ) Total Liabilities $ (7,475,795 ) $ 42,282 $ (7,433,513 ) $ 8,781,874 $ 95,140 $ 1,443,501 (1) Included in other assets December 31, 2014 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (8,455,381 ) $ - $ (8,455,381 ) $ 9,309,738 $ - $ 854,357 Interest Rate Swaps (113,597 ) 99,536 (14,061 ) 19,340 64,796 70,075 Treasury Futures (7,227 ) 7,227 - - 12,595 12,595 Mortgage Options (71 ) - (71 ) - - (71 ) Swaptions - Gross Asset 2,889 - 2,889 - - 2,889 Swaptions - Gross Liability (45 ) - (45 ) - - (45 ) Total Liabilities $ (8,573,432 ) $ 106,763 $ (8,466,669 ) $ 9,329,078 $ 77,391 $ 939,800 (1) Included in other assets

Management Agreement

Management Agreement	12 Months Ended
	Dec. 31, 2015
Related Party Transactions [Abstract]
Management Agreement	15. Management Agreement Until August 5, 2015, the Company was externally managed by a whole-owned subsidiary of Annaly Capital Management, Inc., FIDAC under the terms of a management agreement. On August 5, 2015, the Company announced it had internalized its management and would continue to be led by its key professionals. In connection with the internalization, the Company and FIDAC agreed to terminate the Management Agreement, without the payment of a termination fee effective immediately. As part of the termination, the Company entered into a transition services agreement with FIDAC through the end of 2015 (the “Transition Services Agreement”). In addition, FIDAC will continue to provide the Company a number of services previously provided under the Management Agreement at the same level, quality and time frame until December 31, 2015, at which time the Company will have the option to extend the term of the Transition Services Agreement for up to three one-month extension periods. Upon expiration of the term, FIDAC will not provide any further management services to the Company. For the year ended December 31, 2015, the Company incurred $7 million on transition services expenses, which is reported as a part of general and administrative expenses on income statement. On August 8, 2014, the management agreement was amended and restated. Effective August 8, 2014, the management fee was increased to 1.20% of gross stockholders’ equity from 0.75% of gross stockholders’ equity. The Company incurred management fee expenses of $25 million, $33 million and $26 million for each of the years ended December 31, 2015, 2014 and 2013, respectively. The Company is obligated to reimburse FIDAC for costs incurred on the Company’s behalf under the management agreement. In addition, the management agreement permits FIDAC to require the Company to pay for its pro-rata portion of rent, telephone, utilities, office furniture, equipment, machinery and other office, internal and overhead expenses that FIDAC incurred in connection with the Company’s operations. These expenses are allocated between FIDAC and the Company based on the ratio of the Company’s proportion of gross assets compared to the gross assets managed by FIDAC as calculated at each quarter end. FIDAC and the Company will modify this allocation methodology, subject to the approval of the Company’s Board of Directors if the allocation becomes inequitable (i.e., if the Company becomes very highly leveraged compared to FIDAC’s other funds and accounts). During the years ended December 31, 2015, 2014 and 2013, reimbursements to FIDAC were not significant. The management agreement provide that FIDAC will pay all past and future expenses that the Company or the Audit Committee of the Company incur to: (1) evaluate the Company’s accounting policy related to the application of GAAP to its Non-Agency RMBS portfolio (the “Evaluation”); (2) restate the Company’s financial statements for the period covering 2008 through 2011 as a result of the Evaluation (the “Restatement Filing”); and (3) investigate and evaluate any shareholder derivative demands arising from the Evaluation or the Restatement Filing (the “Investigation”); provided, however, that FIDAC’s obligation to pay expenses applies only to expenses not paid by the Company’s insurers under its insurance policies. Expenses shall include, without limitation, fees and costs incurred with respect to auditors, outside counsel, and consultants engaged by the Company or the Audit Committee of the Company for the Evaluation, Restatement Filing and the Investigation. The amount paid by FIDAC related to these expenses for each of the year ended December 31, 2015, 2014 and 2013 is $7 million, $32 million and $7 million, respectively.

Commitments and Contingencies

Commitments and Contingencies	12 Months Ended
	Dec. 31, 2015
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	16. Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain re-securitization transactions engaged in by the Company, the Company has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. Management is not aware of any contingencies that require accrual or disclosure as of December 31, 2015 and December 31, 2014.

Subsequent Events

Subsequent Events	12 Months Ended
	Dec. 31, 2015
Subsequent Events [Abstract]
Subsequent Events	17. Subsequent Events Subsequent to December 31, 2015, the Company increased its existing share buyback program by $100 million from $250 million to $350 million. The Audit Committee also pursued additional remedies against other parties regarding the facts and circumstances relating to our accounting for Non-Agency RMBS and the restatement of our financial statements, which were resolved in the first quarter of 2016 and we expect to recover $95 million which will be characterized as taxable income in 2016.

Summarized Quarterly Results (U

Summarized Quarterly Results (Unaudited)	12 Months Ended
	Dec. 31, 2015
Quarterly Financial Information Disclosure [Abstract]
Summarized Quarterly Results (Unaudited)	18. Summarized Quarterly Results (Unaudited) The following is a presentation of the results of operations for the quarters ended December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015. For the Quarter Ended December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 201,912 $ 211,876 $ 215,804 $ 243,145 Interest expense 64,955 67,910 66,044 60,456 Net interest income 136,957 143,966 149,760 182,689 Other-than-temporary impairments: Total other-than-temporary impairment losses (2,311 ) (3,129 ) (2,208 ) (1,052 ) Portion of loss recognized in other comprehensive income (12,385 ) (14,703 ) (24,893 ) (6,763 ) Net other-than-temporary credit impairment losses (14,696 ) (17,832 ) (27,101 ) (7,815 ) Net gains (losses) on derivatives 44,546 (92,700 ) 40,127 (106,610 ) Net unrealized gains (losses) on financial instruments at fair value (69,793 ) (40,955 ) (37,260 ) (10,425 ) Gain (loss) on deconsolidation (256 ) - - - Gain (loss) on Extinguishment of Debt 8,906 (19,915 ) 5,079 - Net realized gains (losses) on sales of investments 34,285 3,539 9,685 29,565 Total other expenses 24,569 24,362 24,103 20,362 Net income $ 115,380 $ (48,259 ) $ 116,187 $ 67,042 Net income per share-basic $ 0.61 $ (0.24 ) $ 0.57 $ 0.33 For the Quarter Ended December 31, 2014 September 30, 2014 June 30, 2014 March 31, 2014 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 242,455 $ 190,355 $ 134,318 $ 120,667 Interest expense 65,794 38,886 20,680 22,425 Net interest income 176,661 151,469 113,638 98,242 Other-than-temporary impairments: Total other-than-temporary impairment losses (3,774 ) (726 ) (3,813 ) (400 ) Portion of loss recognized in other comprehensive income (51,347 ) (1,264 ) (1,534 ) (1,134 ) Net other-than-temporary credit impairment losses (55,121 ) (1,990 ) (5,347 ) (1,534 ) Net gains (losses) on derivatives (125,936 ) (10,177 ) (42,289 ) (7,946 ) Net unrealized gains (losses) on financial instruments at fair value 9,812 162,921 5,791 15,010 Gain of deconsolidation - - 47,846 - Loss on Extinguishment of Debt - - - (2,184 ) Net realized gains (losses) on sales of investments 23,564 64,107 (4,339 ) 8,377 Total other expenses 22,494 (11,250 ) 10,531 9,597 Net income $ 6,486 $ 377,580 $ 104,769 $ 100,368 Net income per share-basic $ 0.03 $ 1.85 $ 0.50 $ 0.49

Summary of the Significant Ac26

Summary of the Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 2015
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	(a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior year amounts have been reclassified to conform to the current year’s presentation. All per share amounts, common shares outstanding and restricted shares for the current period and all prior periods reflect the Company's 1-for-5 reverse stock split, which was effective April 6, 2015. The consolidated financial statements include, on a consolidated basis, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a certificate holder of the bonds it has retained. There have been no recent changes to the nature of risks associated with the Company’s involvement with VIEs. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership of substantially all subordinate interests provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) such as rights to direct servicer activity or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these entities, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool. The securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) and residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio.
Statements of Financial Condition Presentation	(b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles.
Cash and Cash Equivalents	(c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2015 and December 31, 2014.
Agency and Non-Agency Mortgage-Backed Securities	(d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities (“MBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation. Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is subject to the performance of the mortgage loans or MBS collateralizing the obligation. The Company also invests in Interest Only Agency MBS strips and Non-Agency RMBS strips (“IO MBS strips”). IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. Interest income on IO MBS strips is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium is calculated in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 325-40, Beneficial Interests in Securitized Financial Assets The Company classifies the majority of its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on all MBS in Other comprehensive income (“OCI”) in the Consolidated Statements of Operations and Comprehensive Income. For IO strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations and Comprehensive Income. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations and Comprehensive Income utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs · Agency MBS · Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): 1. Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available. 2. The Company expects to collect all of the security’s contractual cash flows. 3. The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date: 1. There is evidence of deterioration in credit quality of the security from its inception. 2. It is probable that the Company will be unable to collect all contractual cash flows of the security. Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date: 1. The security is not of high credit quality (defined as rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost the security is considered impaired. On a quarterly basis the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is subjective as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings.
Securitized Loans Held for Investment	(e) Securitized Loans Held for Investment Prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of non-conforming, single family, owner occupied, jumbo, prime loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of a default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. As of January 1, 2015, the securitized loan portfolio comprised of non-conforming, single family, owner occupied, jumbo, prime loans is carried at fair value with changes in fair value recorded in earnings. Prior to January 1, 2015, this loan portfolio was carried at amortized cost, net of the allowance for loan losses. The allowance for loan losses as of December 31, 2014 was $7 million. As all loans are carried at fair value since the beginning of 2015, there is no longer an allowance for losses as of December 31, 2015. The allowance for loan losses consists of a general reserve and a specific reserve. The general reserve is based on historical loss rates for pools of loans with similar credit characteristics, adjusted for current trends and market conditions, including current trends in delinquencies and severities. The specific reserve reflects consideration of loans more than 60 days delinquent, loans in foreclosure and borrowers that have declared bankruptcy. The specific loan loss provision related to these loans is primarily the difference between the unpaid principal balance and the estimated fair value of the property securing the mortgage, less estimated costs to sell. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned sub-prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned sub-prime residential mortgage loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised primarily of seasoned sub-prime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. As these loans are carried at fair value since their purchase, no allowance for loan losses is required. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. All residential mortgage loans: Interest is accrued on all securitized loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses in the Statement of operations and comprehensive income. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned (“REO”) represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. The Company recognized a loss of $8 million for the year ended December 31, 2015 related to REO which is presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. The carrying value of REO assets at December 31, 2015 and December 31, 2014 was $18 million and $8 million, respectively, and were recorded in Other Assets on the Company’s consolidated statements of financial condition.
Repurchase Agreements	(f) Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings.
Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment	(g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. As of January 1, 2015, securitized debt, collateralized by loans held for investment, is carried at fair value. Prior to January 1, 2015, securitized debt, collateralized by loans held for investment, was carried at amortized cost. The Company recognizes interest expense on securitized debt over the expected life of the debt using the interest method with changes in yield reflected in earnings on a prospective basis. Fees associated with the debt issuance of jumbo prime residential mortgage loans are also amortized using the interest method. Unamortized fees associated with debt issuance are included in other assets. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements.
Fair Value	(h) Fair Value Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $245 million and $214 million as of December 31, 2015 and December 31, 2014. Included in Agency MBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $273 million and $186 million as of December 31, 2015 and December 31, 2014. Interest income reported on all IO securities was $49 million and $30 million for the years ended December 31, 2015 and 2014, respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in MBS which we refer to as the overcollateralization class of the MBS pass through structure. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of MBS investments is highly judgmental and uncertain; therefore, the Company has elected to carry these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $20 million as of December 31, 2015. There were no Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings as of December 31, 2014. Securitized Loans Held for Investment: Upon the adoption of ASU 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity Changes in fair value of securitized loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. As of December 31, 2014, $626 million of securitized loans held for investment comprised primarily of non-conforming, single family, owner occupied, jumbo, prime loans were carried at amortized cost, net of an allowance for loan losses. Securitized Debt, Collateralized by Loans Held for Investment: As of January 1, 2015, the Company has elected the fair value option for all of the Company’s securitized debt, collateralized by loans held for investment. The Company has elected fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. As of December 31, 2014, $522 million of securitized debt collateralized primarily by non-conforming, single family, owner occupied, jumbo, prime loans were carried at amortized cost. Upon the adoption of ASU 2014-13 on January 1, 2015, the securitized debt collateralized primarily by non-conforming, single family, owner occupied, jumbo, prime loans were carried at fair value. Changes in fair value of securitized loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income.
Derivative Financial Instruments	(i) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair value of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details.
Fair Value Disclosure	(j) Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.
Sales, Securitizations, and Re-Securitizations	(k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS, and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales and the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield.
Income Taxes	(l) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will not be subject to federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. The Company, CIM Trading and CIM Funding TRS made joint elections to treat CIM Trading and CIM Funding TRS as TRS’s. As such, CIM Trading and CIM Funding TRS are taxable as domestic C corporations and subject to federal, state, and local income taxes based upon their respective taxable income. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of December 31, 2015 or 2014.
Net Income per Share	(m) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock. All per share amounts, common shares outstanding and restricted shares for the year ended December 31, 2015 and all prior periods reflect the Company's 1-for-5 reverse stock split, which was effective April 6, 2015.
Stock-Based Compensation	(n) Stock-Based Compensation Until August 5, 2015 the Company accounted for stock-based compensation awards granted to the employees of FIDAC and FIDAC’s affiliates at the fair value of the stock-based compensation provided. The Company measured the fair value of the equity instrument using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Stock compensation expense related to the grants of stock was recognized over the vesting period of such grants based on the fair value of the stock on each vesting date at which the recipient’s performance is complete. Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company beginning on August 5, 2015, is recognized pro-rata over the vesting period of such awards, based upon the fair value of such awards at the grant date.
Use of Estimates	(o) Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates in accounting for income recognition and OTTI on Agency and Non-Agency RMBS and IO MBS (Note 3), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4), securitized debt (Note 7) and derivative instruments (Notes 5 and 9). Actual results could differ materially from those estimates.
Recent Accounting Pronouncements	(p) Recent Accounting Pronouncements Financial Instruments—Overall (Subtopic 825-10) In January 2016, the FASB issued ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities to be measured at fair value with any changes in fair value recognized in net income. The update also eliminates the requirement to disclose the methods and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost. In addition, the Company will have to use the exit price notion when measuring the fair value of financial instruments measured at amortized cost for disclosure purposes. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption for certain provisions of the update is allowed. Any adjustment as a result of the adoption of this standard will be recorded as a cumulative-effect adjustment to beginning retained earnings as of the first period in which the guidance is adopted. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Interest—Imputation of Interest (Subtopic 835-30) In April 2015, the FASB issued ASU No. 2015-03, Simplifying the Presentation of Debt Issue Costs Consolidations (Subtopic 810) In February 2015, the FASB issued ASU No. 2015-02, Amendments to the Consolidation Analysis Presentation of Financial Statements—Going Concern (Subtopic 205-40) In August 2014, the FASB issued ASU No. 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern Consolidations (Subtopic 810) In August 2014, the FASB issued ASU No. 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity Upon adoption of this guidance, the Company elected the fair value option for certain consolidated VIEs holding securitized loans held for investment and the related securitized debt which qualified as CFEs. As the fair value of the securitized debt of these CFEs is more observable, the fair value of the securitized loans will be based on the fair value of the securitized debt. The adoption of this update resulted in a net reduction in equity of $12 million as of January 1, 2015. A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments impacted by this standard is included in Note 5 to these consolidated financial statements. The following table summarized the adjustments made to the Company's consolidated assets, liabilities and equity as of January 1, 2015: Effect of accounting standard Balance Reclass to fair value Fair value adjustment Total Assets: (dollars in thousands) Securitized loans held for investment, net of allowance for loan losses $ 626,112 $ (626,112 ) $ - $ - Securitized loans held for investment, at fair value 4,699,215 626,112 (19,283 ) 5,306,501 Total Securitized loans held for investment $ 5,325,327 $ - $ (19,283 ) $ 5,306,501 Liabilities: Securitized debt, collateralized by loans held for investment $ 521,997 $ (521,997 ) $ - $ - Securitized debt at fair value, collateralized by loans held for investment 3,868,366 521,997 (7,146 ) 4,383,217 Total Securitized debt $ 4,390,363 $ - $ (7,146 ) $ 4,383,217 Total effect of accounting standard on retained earnings $ (12,137 ) Transfers and Servicing (Subtopic 860) In June 2014, the FASB issued ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures Receivables—Troubled Debt Restructurings by Creditors (Subtopic 310-40) In January 2014, the FASB issued ASU No. 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans Upon Foreclosure in substance repossession or foreclosure

Summary of the Significant Ac27

Summary of the Significant Accounting Policies (Tables)	12 Months Ended
	Dec. 31, 2015
Accounting Policies [Abstract]
Schedule of Adoption of ASU 2014-13	The following table summarized the adjustments made to the Company's consolidated assets, liabilities and equity as of January 1, 2015: Effect of accounting standard Balance Reclass to fair value Fair value adjustment Total Assets: (dollars in thousands) Securitized loans held for investment, net of allowance for loan losses $ 626,112 $ (626,112 ) $ - $ - Securitized loans held for investment, at fair value 4,699,215 626,112 (19,283 ) 5,306,501 Total Securitized loans held for investment $ 5,325,327 $ - $ (19,283 ) $ 5,306,501 Liabilities: Securitized debt, collateralized by loans held for investment $ 521,997 $ (521,997 ) $ - $ - Securitized debt at fair value, collateralized by loans held for investment 3,868,366 521,997 (7,146 ) 4,383,217 Total Securitized debt $ 4,390,363 $ - $ (7,146 ) $ 4,383,217 Total effect of accounting standard on retained earnings $ (12,137 )

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	12 Months Ended
	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Schedule of Available-for-sale Securities Reconciliation	December 31, 2015 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,651,869 $ 309 $ (1,553,317 ) $ 2,098,860 $ 2,826,121 $ 736,040 $ (8,779 ) $ 727,261 Senior, interest-only 5,426,029 268,515 - 268,515 234,171 18,113 (52,457 ) (34,344 ) Subordinated 762,466 23,635 (258,128 ) 527,975 604,295 83,896 (7,577 ) 76,319 Subordinated, interest-only 284,931 15,226 - 15,226 11,254 62 (4,035 ) (3,973 ) Agency MBS Residential 5,045,418 255,837 - 5,301,255 5,267,848 18,593 (52,001 ) (33,408 ) Commercial 952,091 24,815 (3,170 ) 973,736 973,787 8,052 (8,001 ) 51 Interest-only 6,722,472 280,073 - 280,073 273,189 2,756 (9,640 ) (6,884 ) $ 22,845,276 $ 868,410 $ (1,814,615 ) $ 9,465,640 $ 10,190,665 $ 867,512 $ (142,490 ) $ 725,022 December 31, 2014 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,435,362 $ - $ (1,542,907 ) $ 1,892,455 $ 2,735,780 $ 843,680 $ (355 ) $ 843,325 Senior, interest-only 5,221,937 227,305 - 227,305 207,216 17,378 (37,467 ) (20,089 ) Subordinated 690,599 - (344,033 ) 346,566 454,348 108,091 (309 ) 107,782 Subordinated, interest-only 216,403 9,577 - 9,577 6,805 194 (2,966 ) (2,772 ) Agency MBS Residential 7,774,266 387,174 (1,624 ) 8,159,816 8,255,419 108,802 (13,199 ) 95,603 Interest-only 3,884,523 189,797 - 189,797 186,103 1,326 (5,020 ) (3,694 ) $ 21,223,090 $ 813,853 $ (1,888,564 ) $ 10,825,516 $ 11,845,671 $ 1,079,471 $ (59,316 ) $ 1,020,155
Schedule of Changes in Accretable Yield	The table below presents changes in Accretable Yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Year Ended December 31, 2015 December 31, 2014 (dollars in thousands) Balance at beginning of period $ 1,534,497 $ 1,794,577 Purchases 277,922 110,694 Accretion (249,898 ) (294,395 ) Reclassification (to) from non-accretable difference 238,348 123,181 Sales and deconsolidation (58,125 ) (199,560 ) Balance at end of period $ 1,742,744 $ 1,534,497
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired	The table below presents the outstanding principal balance and related amortized cost at December 31, 2015 and December 31, 2014 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Year Ended For the Year Ended December 31, 2015 December 31, 2014 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,325,335 $ 3,949,664 End of period $ 3,550,698 $ 3,325,335 Amortized cost: Beginning of period $ 1,741,780 $ 2,027,738 End of period $ 1,958,726 $ 1,741,780
Schedule of Temporary Impairment Losses, Investments	The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2015 and December 31, 2014. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d). December 31, 2015 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 294,520 $ (8,779 ) 20 $ - $ - - $ 294,520 $ (8,779 ) 20 Senior, interest-only $ 81,919 $ (18,715 ) 83 64,058 (33,742 ) 47 145,977 (52,457 ) 130 Subordinated $ 138,257 $ (7,577 ) 22 - - - 138,257 (7,577 ) 22 Subordinated, interest-only $ 6,455 $ (1,039 ) 1 3,635 (2,996 ) 2 10,090 (4,035 ) 3 Agency MBS Residential $ 4,468,717 $ (44,687 ) 116 290,926 (7,314 ) 4 4,759,643 (52,001 ) 120 Commercial $ 393,058 $ (7,969 ) 140 4,986 (32 ) 4 398,044 (8,001 ) 144 Interest-only $ 94,969 $ (3,457 ) 24 39,707 (6,183 ) 7 134,676 (9,640 ) 31 Total $ 5,477,895 $ (92,223 ) 406 $ 403,312 $ (50,267 ) 64 $ 5,881,207 $ (142,490 ) 470 December 31, 2014 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 29,789 $ (355 ) 3 $ - $ - - $ 29,789 $ (355 ) 3 Senior, interest-only 23,479 (3,066 ) 24 96,754 (34,401 ) 53 120,233 (37,467 ) 77 Subordinated 19,380 (7 ) 2 11,605 (302 ) 4 30,985 (309 ) 6 Subordinated, interest-only 4,373 (2,709 ) 2 1,074 (257 ) 2 5,447 (2,966 ) 4 Agency MBS Residential 219,808 (198 ) 7 701,442 (13,001 ) 11 921,250 (13,199 ) 18 Interest-only 112,014 (3,616 ) 12 10,467 (1,404 ) 3 122,481 (5,020 ) 15 Total $ 408,843 $ (9,951 ) 50 $ 821,342 $ (49,365 ) 73 $ 1,230,185 $ (59,316 ) 123
Other than Temporary Impairment, Credit Losses Recognized in Earnings	A summary of the OTTI included in earnings for the years ended December 31, 2015, 2014 and 2013 is presented below. For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Total other-than-temporary impairment losses $ (8,700 ) $ (8,713 ) $ (4,356 ) Portion of loss recognized in other comprehensive income (loss) (58,744 ) (55,279 ) (40,811 ) Net other-than-temporary credit impairment losses $ (67,444 ) $ (63,992 ) $ (45,167 ) The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Cumulative credit loss beginning balance $ 507,548 $ 524,432 $ 510,089 Additions: Other-than-temporary impairments not previously recognized 41,233 63,123 39,098 Reductions for securities sold or deconsolidated during the period (19,746 ) (61,854 ) (14,038 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 26,138 869 6,069 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (26,061 ) (19,022 ) (16,786 ) Cumulative credit impairment loss ending balance $ 529,112 $ 507,548 $ 524,432
Other than Temporary Impairment of Investments Recorded in Earnings, Significant Inputs and Assumptions	Cash flows generated to determine net other-than-temporary credit impairment losses recognized in earnings are estimated using significant unobservable inputs. The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows: For the Year Ended December 31, 2015 December 31, 2014 Loss Severity Weighted Average 57% 72% Range 0% - 92% 35% - 93% 60+ days delinquent Weighted Average 22% 30% Range 2% - 41% 0% - 47% Credit Enhancement (1) Weighted Average 8% 6% Range 0% - 67% 0% - 35% 3 Month CPR Weighted Average 9% 9% Range 3% - 27% 2% - 25% 12 Month CPR Weighted Average 8% 11% Range 3% - 20% 5% - 22% (1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.
Summary of Unrealized Gains and Losses on MBS	The following tables present a summary of unrealized gains and losses at December 31, 2015 and December 31, 2014. IO MBS included in the tables below represent the right to receive a specified portion of the contractual interest cash flows of the underlying principal balance of specific securities. At December 31, 2015, IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million. At December 31, 2014, IO MBS had a net unrealized loss of $27 million and had an amortized cost of $427 million. The fair value of IOs at December 31, 2015 and December 31, 2014 was $519 million, and $400 million, respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations and Comprehensive Income. December 31, 2015 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 736,040 $ - $ 736,040 $ (8,779 ) $ - $ (8,779 ) Senior, interest-only - 18,113 18,113 - (52,457 ) (52,457 ) Subordinated 81,588 2,309 83,896 (1,971 ) (5,606 ) (7,577 ) Subordinated, interest-only - 62 62 - (4,035 ) (4,035 ) Agency MBS Residential 18,593 - 18,593 (52,001 ) - (52,001 ) Commercial 8,052 - 8,052 (8,001 ) - (8,001 ) Interest-only - 2,756 2,756 - (9,640 ) (9,640 ) Total $ 844,273 $ 23,240 $ 867,512 $ (70,752 ) $ (71,738 ) $ (142,490 ) December 31, 2014 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 843,680 $ - $ 843,680 $ (355 ) $ - $ (355 ) Senior, interest-only - 17,378 17,378 - (37,467 ) (37,467 ) Subordinated 108,091 - 108,091 (309 ) - (309 ) Subordinated, interest-only - 194 194 - (2,966 ) (2,966 ) Agency MBS Residential 108,802 - 108,802 (13,199 ) - (13,199 ) Interest-only - 1,326 1,326 - (5,020 ) (5,020 ) Total $ 1,060,573 $ 18,898 $ 1,079,471 $ (13,863 ) $ (45,453 ) $ (59,316 )
Residential Mortgage-Backed Securities, Collateral Characteristics	The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2015 and December 31, 2014. December 31, 2015 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,651,869 $ 57.47 $ 77.39 3.8 % 13.7 % Senior, interest-only 5,426,029 4.95 4.32 1.7 % 12.9 % Subordinated 762,466 69.25 79.26 3.2 % 8.8 % Subordinated, interest-only 284,931 5.34 3.95 1.2 % 10.9 % Agency MBS Residential pass-through 5,045,418 105.07 104.41 3.7 % 2.8 % Commercial pass-through 952,091 102.27 102.28 3.4 % 2.9 % Interest-only 6,722,472 4.17 4.06 0.8 % 3.4 % (1) Bond Equivalent Yield at period end. December 31, 2014 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,435,362 $ 55.09 $ 79.63 4.3 % 15.9 % Senior, interest-only 5,221,937 4.35 3.97 1.6 % 14.4 % Subordinated 690,599 50.18 65.79 3.1 % 10.6 % Subordinated, interest-only 216,403 4.43 3.14 0.9 % 9.2 % Agency MBS Pass-through 7,774,266 104.96 106.19 4.0 % 3.2 % Interest-only 3,884,523 4.89 4.79 0.9 % 3.1 % (1) Bond Equivalent Yield at period end.
Credit Ratings of Residential Mortgage-Backed Securities	The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at December 31, 2015 and December 31, 2014. December 31, 2015 December 31, 2014 AAA 0.5% 0.9% AA 0.4% 0.4% A 0.8% 0.0% BBB 0.4% 0.4% BB 5.2% 1.9% B 3.0% 5.6% Below B or not rated 89.7% 90.8% Total 100.0% 100.0%
Schedule of Mortgage-Backed Securities by Estimated Weighted Average Life Classification	The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2015 and December 31, 2014 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. December 31, 2015 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less than five years Greater than five years and less than ten years Greater than ten years Total Fair value Non-Agency RMBS Senior $ - $ 374,462 $ 1,629,564 $ 822,095 $ 2,826,121 Senior interest-only 1,458 41,862 123,538 67,313 234,171 Subordinated 2,229 108,728 212,003 281,335 604,295 Subordinated interest-only - - 11,254 - 11,254 Agency MBS Residential - 150,357 5,117,491 - 5,267,848 Commercial - - 29,176 944,611 973,787 Interest-only - 106,069 161,413 5,707 273,189 Total fair value $ 3,687 $ 781,478 $ 7,284,439 $ 2,121,060 $ 10,190,665 Amortized cost Non-Agency RMBS Senior $ - $ 281,255 $ 1,235,528 $ 582,077 $ 2,098,860 Senior interest-only 2,440 59,823 135,359 70,893 268,515 Subordinated 2,208 86,728 168,403 270,636 527,975 Subordinated interest-only - - 15,226 - 15,226 Agency MBS Residential - 149,111 5,152,144 - 5,301,255 Commercial - - 29,156 944,580 973,736 Interest-only - 106,708 167,646 5,719 280,073 Total amortized cost $ 4,648 $ 683,625 $ 6,903,462 $ 1,873,905 $ 9,465,640 December 31, 2014 (dollars in thousands) Weighted Average Life Less than one year Greater than Greater than Greater than Total Fair value Non-Agency RMBS Senior $ 1,656 $ 306,309 $ 1,678,226 $ 749,589 $ 2,735,780 Senior interest-only 515 60,403 110,800 35,498 207,216 Subordinated - 80,414 245,438 128,496 454,348 Subordinated interest-only - - 5,447 1,358 6,805 Agency MBS Residential - 4,237,658 3,781,890 235,871 8,255,419 Interest-only - 82,994 103,109 - 186,103 Total fair value $ 2,171 $ 4,767,778 $ 5,924,910 $ 1,150,812 $ 11,845,671 Amortized cost Non-Agency RMBS Senior $ 1,205 $ 255,009 $ 1,129,932 $ 506,309 $ 1,892,455 Senior interest-only 1,294 65,291 124,996 35,724 227,305 Subordinated - 58,448 188,502 99,616 346,566 Subordinated interest-only - - 8,413 1,164 9,577 Agency MBS Residential - 4,173,986 3,750,831 234,999 8,159,816 Interest-only - 83,659 106,138 - 189,797 Total amortized cost $ 2,499 $ 4,636,393 $ 5,308,812 $ 877,812 $ 10,825,516
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio	The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2015 and December 31, 2014. December 31, 2015 December 31, 2014 Weighted average maturity (years) 22.0 22.5 Weighted average amortized loan to value (1) 67.9% 67.5% Weighted average FICO (2) 671 679 Weighted average loan balance (in thousands) $ 330 $ 332 Weighted average percentage owner occupied 82.7% 83.0% Weighted average percentage single family residence 65.9% 65.5% Weighted average current credit enhancement 2.4% 1.7% Weighted average geographic concentration of top four states CA 30.4% CA 31.7% FL 8.0% FL 8.4% NY 8.0% NY 7.8% NJ 2.5% NJ 2.9% (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
Schedule of Percentage of Non-Agency RMBS by Year Originated	The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2015 and December 31, 2014. Origination Year December 31, 2015 December 31, 2014 1998 0.0% 0.0% 1999 0.1% 0.2% 2000 0.6% 0.6% 2001 1.6% 2.1% 2002 0.5% 0.4% 2003 2.2% 2.5% 2004 3.7% 3.9% 2005 21.7% 20.4% 2006 32.9% 28.5% 2007 34.2% 37.6% 2008 1.9% 2.1% 2013 0.5% 0.9% 2014 0.1% 0.8% 2015 0.0% 0.0% Total 100.0% 100.0%
Schedule of Gains and Losses from Sales of Investments	The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2015, 2014 and 2013 are as follows: For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Proceeds from sales $ 6,244,613 $ 4,036,033 $ 1,079,649 Gross realized gains 94,618 98,656 72,946 Gross realized losses (17,544 ) (6,947 ) (4,839 ) Net realized gain $ 77,074 $ 91,709 $ 68,107

Securitized Loans Held for In29

Securitized Loans Held for Investment (Tables)	12 Months Ended
	Dec. 31, 2015
Summary of Changes in Carrying Value of Securitized Loans Held for Investment Carried at Fair Value	The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at December 31, 2015 and December 31, 2014: For the Year Ended For the Year Ended December 31, 2015 December 31, 2014 (dollars in thousands) Balance, beginning of period (1) $ 5,306,501 $ - Purchases 577,036 4,722,824 Principal paydowns (707,996 ) (173,597 ) Sales and settlements (9,638 ) - Net periodic acrretion (amortization) (19,100 ) 5,028 Change in fair value (90,581 ) 144,960 Transfer due to deconsolidation (287,806 ) - Balance, end of period $ 4,768,416 $ 4,699,215 (1) Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015.
Summary of Changes in Carrying Value of Securitized Loans Held for Investment Carried at Amortized Cost	The following table provides a summary of the changes in the carrying value of these securitized loans held for investment at December 31, 2014: December 31, 2014 Balance, beginning of period $ 783,484 Principal paydowns (153,063 ) Net periodic (amortization) accretion (4,541 ) Change to loan loss provision 232 Balance, end of period $ 626,112
Schedule of Securitized Loans Held for Investment Amortized Cost	The following table represents the Company’s prime jumbo securitized residential mortgage loans held for investment which are carried at amortized cost at December 31, 2014: December 31, 2014 Securitized loans, at amortized cost $ 633,386 Less: allowance for loan losses 7,274 Securitized loans held for investment $ 626,112
Summary of Allowance for Losses	The following table summarizes the changes in the allowance for loan losses for the securitized mortgage loan portfolio carried at amortized cost at December 31, 2014: December 31, 2014 Balance, beginning of period $ 9,063 Provision for loan losses (232 ) Charge-offs (1,557 ) Balance, end of period $ 7,274
Schedule of Securitized Loans Held for Investment Product Types and Key Characteristics of Underlying Collateral	The following table displays the loan product type and accompanying loan characteristic of residential loans recorded on our consilidated balance sheets as of December 31, 2015 and 2014. December 31, 2015 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 2,119 1.7% to 15.2% 2/1/2003 - 10/1/2055 138,321 11,140 5,292 $250 to $500 66 2% to 10.375% 1/1/2030 - 9/1/2055 23,021 1,201 2,277 $500 to $750 29 2% to 5.75% 2/1/2032 - 4/1/2038 17,186 - 1,688 $750 to $1,000 7 2.875% to 2.875% 1/1/2038 - 4/1/2038 5,867 - - Over $1,000 6 2.875% to 4% 12/1/2037 - 4/1/2038 8,402 - 1,730 2,227 192,797 12,341 10,986 Hybrid loans: $1 to $250 2 6.67% to 6.83% 8/1/2037 - 9/1/2037 193 - - $250 to $500 2 5.762% to 5.875% 7/1/2037 - 4/1/2038 908 - - $500 to $750 8 4% to 7.188% 7/1/2037 - 3/1/2038 4,751 1,081 1,744 $750 to $1,000 2 5.625% to 5.75% 4/1/2037 - 4/1/2038 1,730 - - 14 7,582 1,081 1,744 Fixed loans: $1 to $250 52,774 0% to 24% 1/1/1999 - 5/1/2062 3,540,447 245,151 359,559 $250 to $500 1,957 2% to 11.93% 12/1/2019 - 10/1/2065 645,347 33,405 58,336 $500 to $750 374 2% to 9.75% 6/1/2022 - 9/1/2057 226,481 3,205 4,005 $750 to $1,000 130 3.75% to 7% 7/1/2037 - 10/1/2042 112,490 1,729 1,892 Over $1,000 51 2.25% to 7.125% 3/1/2013 - 10/1/2042 62,773 - - 55,286 4,587,538 283,490 423,792 Total 57,527 4,787,918 296,912 436,521 December 31, 2014 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment: Adjustable rate loans: $250 to $500 7 2.00% to 3.00% 8/1/2037 - 2/1/2042 3,131 - - $500 to $750 12 2.00% to 4.00% 1/1/2038 - 4/1/2038 7,497 565 - $750 to $1,000 5 2.75% to 2.875% 1/1/2038 - 4/1/2038 4,328 - - Over $1,000 4 2.875% to 4.00% 12/1/2037 - 3/1/2038 5,879 - 1,730 28 20,835 565 1,730 Hybrid loans: $0 to $250 3 6.50% to 6.83% 8/1/2037 - 1/1/2038 283 - - $250 to $500 11 2.125% to 6.875% 6/1/2037 - 4/1/2038 5,123 - 498 $500 to $750 31 2.75% to 7.188% 5/1/2037 - 4/1/2038 18,817 1,154 1,709 $750 to $1,000 5 5.625% to 6.35% 4/1/2037 - 4/1/2038 4,327 - - Over $1,000 3 3.00% to 5.75% 2/1/2038 - 4/1/2038 4,170 - 1,629 53 32,720 1,154 3,836 Fixed loans: $0 to $250 2 4.375% to 6.75% 6/1/2037 - 8/1/2042 85 - - $250 to $500 137 2.00% to 7.875% 7/1/2022 - 10/1/2042 61,868 - 958 $500 to $750 371 2.00% to 7.875% 9/1/2022 - 10/1/2042 230,894 506 1,616 $750 to $1,000 190 3.50% to 7.00% 9/1/2037 - 10/1/2042 165,065 961 - Over $1,000 88 2.25% to 7.125% 1/1/2038 - 10/1/2042 110,440 - - 788 568,352 1,467 2,574 Total 869 621,907 3,186 8,140 Held-for-Investment at fair value: Adjustable rate loans: $0 to $250 570 1.625% to 13.99% 5/1/2017 - 11/1/2054 57,908 1,451 3,663 $250 to $500 61 1.875% to 9.375% 3/1/2034 - 5/1/2054 19,641 395 3,138 $500 to $750 4 4.29% to 5.75% 2/1/2032 - 6/1/2035 2,210 - 547 635 79,759 1,846 7,348 Fixed loans: $0 to $250 55,300 0.00% to 24.00% 7/1/2012 - 5/1/2062 3,789,721 275,076 356,916 $250 to $500 2,128 0.00% to 11.93% 6/1/2014 - 11/1/2065 688,464 37,387 75,661 $500 to $750 106 2.00% to 9.75% 6/1/2022 - 9/1/2057 60,445 3,405 3,303 $750 to $1,000 1 5.50% to 5.50% 7/1/2037 - 7/1/2037 804 804 - 57,535 4,539,434 316,672 435,880 Total 58,170 4,619,193 318,518 443,228
Jumbo Prime Residential Mortgage Loans [Member]
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated	The securitized loan portfolio collateralized by jumbo prime residential mortgages was originated during the following years: Origination Year December 31, 2015 December 31, 2014 2004 0.1% 0.9% 2007 8.5% 8.1% 2008 7.4% 7.0% 2009 0.3% 0.2% 2010 5.1% 6.3% 2011 33.1% 35.4% 2012 45.5% 42.1% Total 100.0% 100.0%
Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral	A summary of key characteristics of the loan portfolio collateralized primarily of non-conforming, single family, owner occupied, jumbo, prime mortgages follows: December 31, 2015 December 31, 2014 Number of loans 657 869 Weighted average maturity (years) 25.5 26.4 Weighted average loan to value (1) 70.7% 71.6% Weighted average FICO (2) 765 766 Weighted average loan balance (in thousands) $ 682 $ 716 Weighted average percentage owner occupied 94.3% 95.0% Weighted average percentage single family residence 70.1% 71.0% Weighted average geographic concentration of top five states CA 32.4% CA 34.8% VA 6.4% NJ 5.6% NJ 6.3% VA 5.5% MD 6.2% MD 5.1% TX 5.1% NY 5.1% (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
Schedule of Securitized Loans Held for Investment Carried at Fair Value Greater Than 30 Days Delinquent	The following table summarizes the outstanding principal balance of the jumbo prime loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2015 and December 31, 2014. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2015 $ 3,079 $ - $ 2,915 $ - $ 2,875 $ 2,312 $ 11,181 December 31, 2014 $ 2,621 $ 565 $ 988 $ - $ 7,152 $ - $ 11,326
Seasoned Subprime Residential Mortgage Loans [Member]
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated	The securitized loan portfolio collateralized by seasoned sub-prime residential mortgages originated during the following years: Origination Year December 31, 2015 December 31, 2014 2002 and prior 11.2% 6.0% 2003 4.0% 4.4% 2004 11.1% 12.3% 2005 19.3% 20.6% 2006 17.4% 18.2% 2007 25.4% 26.3% 2008 9.5% 9.9% 2009 1.1% 1.2% 2010 and later 1.0% 1.1% Total 100.0% 100.0%
Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral	A summary of key characteristics of the loan portfolio collateralized by seasoned sub-prime residential mortgages follows: December 31, 2015 December 31, 2014 Number of loans 56,870 58,170 Weighted average maturity (years) 21.5 22.2 Weighted average loan to value (1) 80.7% 80.3% Weighted average FICO (1) 625 629 Weighted average loan balance (in thousands) $ 76 $ 79 Weighted average percentage owner occupied 96.0% 95.8% Weighted average percentage single family residence 72.5% 73.6% Weighted average geographic concentration of top five states CA 8.8% CA 9.3% FL 7.2% FL 7.0% NC 7.1% NC 7.0% VA 6.3% VA 6.4% OH 6.1% OH 6.0% (1) As provided by the Trustee
Schedule of Securitized Loans Held for Investment Carried at Fair Value Greater Than 30 Days Delinquent	The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned sub-prime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2015 and December 31, 2014. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2015 $ 189,816 $ 66,429 $ 125,897 $ 117,308 $ 218,493 $ 36,124 $ 754,067 December 31, 2014 $ 226,154 $ 92,363 $ 192,245 $ 154,279 $ 80,148 $ 16,556 $ 761,745

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	12 Months Ended
	Dec. 31, 2015
Fair Value, Measurement Inputs, Disclosure	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2015 and December 31, 2014 is presented below. December 31, 2015 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - 3,675,841 $ - $ 3,675,841 Agency RMBS, at fair value - 6,514,824 - - 6,514,824 Securitized loans held for investment, at fair value - - 4,768,416 - 4,768,416 Derivatives 1,599 18,987 - (5,126 ) 15,460 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,720,496 ) - (3,720,496 ) Derivatives (192 ) (57,042 ) - 47,600 (9,634 ) Total $ 1,407 $ 6,476,769 $ 4,723,761 $ 42,474 $ 11,244,411 December 31, 2014 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - $ 3,404,149 $ - $ 3,404,149 Agency RMBS, at fair value - 8,441,522 - - 8,441,522 Securitized loans held for investment, at fair value - - 4,699,215 - 4,699,215 Derivatives 4,798 (1,167 ) 3,631 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,868,366 ) - (3,868,366 ) Derivatives (7,227 ) (113,679 ) (71 ) 106,800 (14,177 ) Total $ (7,227 ) $ 8,332,641 $ 4,234,927 $ 105,633 $ 12,665,974
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation	The table below provides a summary of the changes in the fair value of securities classified as Level 3 at December 31, 2015 and December 31, 2014. Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2015 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans (1) Securitized Debt Total Beginning balance Level 3 assets $ 3,404,149 $ (71 ) $ 5,306,501 $ (4,383,217 ) $ 4,327,362 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Transfer due to consolidation/deconsolidation (59,646 ) - (287,806 ) 243,732 (105,870 ) Purchases 1,045,534 - 577,036 (1,668,654 ) (46,084 ) Principal payments (385,822 ) - (707,996 ) 743,329 (350,489 ) Sales and Settlements (252,532 ) (597 ) (9,638 ) 1,395,292 1,132,526 Accretion (amortization) of purchase discounts 117,836 - (19,100 ) (6,344 ) 94,542 Gains (losses) included in net income Other than temporary credit impairment losses (67,444 ) - - - (67,444 ) Realized gains (losses) on sales and settlements 28,724 443 - (5,930 ) 23,236 Net unrealized gains (losses) included in income (18,874 ) 225 (90,581 ) (38,704 ) (147,934 ) Gains (losses) included in other comprehensive income - - Total unrealized gains (losses) for the period (136,084 ) - - - (136,084 ) Ending balance Level 3 assets $ 3,675,841 $ - $ 4,768,416 $ (3,720,496 ) $ 4,723,761 (1) Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2014 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,774,463 $ - $ - $ - $ 3,774,463 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Purchases 454,506 - 4,722,824 (4,309,055 ) 868,275 Principal payments (324,768 ) - (173,597 ) 412,652 (85,713 ) Sales and Settlements (602,573 ) (8,479 ) - - (611,052 ) Accretion of purchase discounts 99,512 - 5,028 2,026 106,566 Gains (losses) included in net income Other than temporary credit impairment losses (63,992 ) - - - (63,992 ) Realized gains (losses) on sales and settlements 62,634 8,749 - - 71,383 Realized gain on deconsolidation 47,846 - - - 47,846 Net unrealized gains (losses) included in income 25,271 (341 ) 144,960 26,011 195,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (68,750 ) - - - (68,750 ) Ending balance Level 3 assets $ 3,404,149 $ (71 ) $ 4,699,215 $ (3,868,366 ) $ 4,234,927
Fair Value Measurements, Significant Unobservable Inputs, Liabilities	A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of December 31, 2015 and December 31, 2014 follows: December 31, 2015 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 4% - 32% 0% - 6% 35% - 65% December 31, 2014 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 3% - 8% 0% - 9% 50% - 73%
Fair Value, by Balance Sheet Grouping	The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2015 and December 31, 2014. December 31, 2015 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 (7,439,339 ) (7,466,409 ) Securitized debt, collateralized by Non-Agency RMBS 3 (529,415 ) (518,941 ) December 31, 2014 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Securitized loans held for investment 3 626,112 626,100 Repurchase agreements 2 (8,455,381 ) (8,473,836 ) Securitized debt, collateralized by Non-Agency RMBS 3 (704,915 ) (708,623 ) Securitized debt, collateralized by loans held for investment 3 (521,997 ) (514,851 )
Non-Agency RMBS [Member]
Fair Value Measurements, Significant Unobservable Inputs, Assets	A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of December 31, 2015 and December 31, 2014 follows: December 31, 2015 December 31, 2014 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR CDR Loss Severity Weighted Average Discount Rate CPR CDR Loss Severity Range Range Non-Agency RMBS Senior 5.5% 1% -17% 0% -22% 35% -95% 4.7% 1% - 12% 0% - 29% 50% - 85% Senior interest-only 13.1% 3% -25% 0% -23% 1% -95% 14.4% 1% - 25% 0% - 32% 50% - 85% Subordinated 6.6% 1% -22% 0% -20% 5% -91% 5.8% 1% - 16% 0% - 19% 10% - 78% Subordinated interest-only 17.4% 6% -13% 0% -10% 1% -64% 22.0% 1% - 10% 0% - 14% 50% - 65%
Securitized Loans Held for Investment at Fair Value [Member]
Fair Value Measurements, Significant Unobservable Inputs, Assets	A summary of the significant inputs used to estimate the fair value of Securitized loans held for investment at fair value as of December 31, 2015 and December 31, 2014 follows: December 31, 2015 December 31, 2014 Significant Inputs Significant Inputs Base Rate Weighted Average/Percent of loan pool Base Rate Weighted Average/Percent of loan pool Factor: Coupon Clean 4.4 % 6.9 % 4.4 % 6.6 % Reperforming 5.3 % 6.7 % 5.3 % 6.6 % FICO 620 625 620 637 Loan-to-value (LTV) 90 % 81 % 90 % 81 % Occupancy Owner Occupied N/A 96 % N/A 96 % Investor N/A 4 % N/A 4 % Secondary N/A 0 % N/A 0 % Property Type Single family N/A 77 % N/A 79 % Manufactured housing N/A 11 % N/A 15 % Multi-family/mixed use/other N/A 12 % N/A 6 %

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	12 Months Ended
	Dec. 31, 2015
Banking and Thrift [Abstract]
Schedule of Repurchase Agreements	The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of December 31, 2015 and December 31, 2014 is: December 31, 2015 December 31, 2014 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 5,324,729 $ 7,422,040 Non-agency MBS (in thousands) 2,114,610 1,033,341 Total: $ 7,439,339 $ 8,455,381 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 5,776,980 $ 4,862,939 Non-agency MBS (in thousands) $ 1,627,909 329,716 Total: $ 7,404,889 $ 5,192,655 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.64 % 0.44 % Non-agency MBS 2.44 % 1.98 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 53 Days 94 Days Non-agency MBS 137 Days 146 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 5,655,410 $ 7,822,554 Non-agency MBS (in thousands) 3,117,875 1,487,184 Total: $ 8,773,285 $ 9,309,738 At December 31, 2015 and December 31, 2014, the repurchase agreements collateralized by RMBS had the following remaining maturities. December 31, 2015 December 31, 2014 (dollars in thousands) Overnight $ - $ - 1 to 29 days 3,312,902 2,652,717 30 to 59 days 2,501,513 1,371,856 60 to 89 days 246,970 656,915 90 to 119 days 430,026 2,068,740 Greater than or equal to 120 days 947,928 1,705,153 Total $ 7,439,339 $ 8,455,381

Securitized Debt (Tables)

Securitized Debt (Tables)	12 Months Ended
	Dec. 31, 2015
Schedule of Callable Debt	The following table presents the par value of the callable debt by year at December 31, 2015. December 31, 2015 (dollars in thousands) Year Principal 2016 $ 1,861,864 2017 217,308 2018 1,334,964 Total $ 3,414,136
Non-Agency RMBS [Member]
Schedule of Maturities of Long-term Debt	The following table presents the estimated principal repayment schedule of the securitized debt at December 31, 2015 and December 31, 2014, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2015 December 31, 2014 (dollars in thousands) Within One Year $ 137,642 $ 175,713 One to Three Years 178,191 220,995 Three to Five Years 60,872 112,779 Greater Than Five Years 52,280 96,266 Total $ 428,985 $ 605,753
Loans Held for Investment [Member]
Schedule of Maturities of Long-term Debt	The following table presents the estimated principal repayment schedule of the securitized debt at December 31, 2015 and December 31, 2014, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. December 31, 2015 December 31, 2014 (dollars in thousands) Within One Year $ 591,171 $ 704,654 One to Three Years 941,704 1,206,241 Three to Five Years 734,291 828,196 Greater Than Five Years 1,502,663 1,577,368 Total $ 3,769,829 $ 4,316,459

Consolidated Securitization V33

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 2015
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Schedule of Consolidated Securitization Entities on Financial Condition	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2015 and December 31, 2014. December 31, 2015 December 31, 2014 (dollars in thousands) Assets Non-Agency RMBS, at fair value $ 2,140,494 $ 2,473,467 Securitized loans held for investment, net of allowance for loan losses - 626,112 Securitized loans held for investment, at fair value 4,768,416 4,699,215 Accrued interest receivable 35,916 39,558 Other Assets 86,452 85,880 Liabilities Securitized debt, collateralized by Non-Agency RMBS $ 529,415 $ 704,915 Securitized debt, collateralized by loans held for investment - 521,997 Securitized debt at fair value, collateralized by loans held for investment 3,720,496 3,868,366 Accrued interest payable 12,106 16,070
Schedule of Consolidated Variable Interest Entities Effects on Operating Results	Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income is presented in the table below. December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 575,715 $ 428,992 $ 371,559 Interest expense, Non-recourse liabilities of VIEs (191,922 ) (119,103 ) (95,229 ) Net interest income $ 383,793 $ 309,889 $ 276,330 Total other-than-temporary impairment losses $ (2,066 ) (3,374 ) (4,170 ) Portion of loss recognized in other comprehensive income (loss) (55,552 ) (55,392 ) (33,749 ) Net other-than-temporary credit impairment losses $ (57,618 ) $ (58,766 ) $ (37,919 )

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Derivative Instruments in Statement of Financial Position	The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2015 and December 31, 2014. December 31, 2015 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,555,400 Derivatives, at fair value, net $ 1,232 Derivatives, at fair value, net $ (6,369 ) Mortgage Options - Derivatives, at fair value, net - Derivatives, at fair value, net - Swaptions 779,000 Derivatives, at fair value, net 12,821 Derivatives, at fair value, net (3,265 ) Treasury Futures 752,200 Derivatives, at fair value, net 1,407 Derivatives, at fair value, net - Total $ 6,086,600 $ 15,460 $ (9,634 ) December 31, 2014 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 3,573,000 Derivatives, at fair value, net $ - Derivatives, at fair value, net (14,061 ) Mortgage Options 200,000 Derivatives, at fair value, net - Derivatives, at fair value, net (71 ) Swaptions 242,000 Derivatives, at fair value, net 2,889 Derivatives, at fair value, net (45 ) Treasury Futures 1,240,000 Derivatives, at fair value, net - Derivatives, at fair value, net - Total $ 5,255,000 $ 2,889 $ (14,177 )
Schedule of Derivative Instruments Effects on Operating Results	The effect of the Company’s derivatives on the Consolidated Statements of Operations and Comprehensive Income is presented below. Net gains (losses) on derivatives For the Year Ended Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 64,819 $ (84,913 ) $ 23,740 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (146,173 ) (52,523 ) (21,857 ) Mortgage Options Net unrealized gains (losses) on derivatives 225 340 - Mortgage Options Net realized gains (losses) on derivatives 443 7,505 12,115 Treasury Futures Net unrealized gains (losses) on derivatives 8,634 (17,856 ) 10,629 Treasury Futures Net realized gains (losses) on derivatives (35,523 ) (38,552 ) 2,029 Swaptions Net unrealized gains (losses) on derivatives (6,294 ) (1,067 ) - Swaptions Net realized gains (losses) on derivatives (353 ) (24 ) - Other Derivative Assets Net unrealized gains (losses) on derivatives - - - Other Derivative Assets Net realized gains (losses) on derivatives (415 ) 742 - Total $ (114,637 ) $ (186,348 ) $ 26,656 (1) Includes loss on termination of interest rate swap of $99 million for the year ended December 31, 2015

Common Stock (Tables)

Common Stock (Tables)	12 Months Ended
	Dec. 31, 2015
Equity [Abstract]
Schedule of Earnings Per Share	Earnings per share for the years ended December 31, 2015, 2014 and 2013, respectively, are computed as follows: For the Year Ended December 31, 2015 December 31, 2014 December 31, 2013 (dollars in thousands) Numerator: Net income $ 250,349 $ 589,205 $ 362,686 Effect of dilutive securities: - - - Dilutive net income available to stockholders $ 250,349 $ 589,205 $ 362,686 Denominator: Weighted average basic shares 199,563,196 205,450,095 205,418,876 Effect of dilutive securities 86,981 58,674 95,193 Weighted average dilutive shares 199,650,177 205,508,769 205,514,069 Net income per average share attributable to common stockholders - Basic $ 1.25 $ 2.87 $ 1.77 Net income per average share attributable to common stockholders - Diluted $ 1.25 $ 2.87 $ 1.76

Accumulated Other Comprehensi36

Accumulated Other Comprehensive Income (Tables)	12 Months Ended
	Dec. 31, 2015
Equity [Abstract]
Schedule of Components of AOCI	The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the years ended December 31, 2015 and 2014: December 31, 2015 (dollars in thousands) Unrealized gains (losses) on available- for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 OCI before reclassifications (263,049 ) (263,049 ) Amounts reclassified from AOCI (9,840 ) (9,840 ) Net current period OCI (272,889 ) (272,889 ) Balance as of December 31, 2015 $ 773,791 $ 773,791 December 31, 2014 (dollars in thousands) Balance as of December 31, 2013 $ 990,803 $ 990,803 OCI before reclassifications 134,113 134,113 Amounts reclassified from AOCI (78,236 ) (78,236 ) Net current period OCI 55,877 55,877 Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680
Schedule of Reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the years ended December 31, 2015 and 2014: December 31, 2015 December 31, 2014 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations And Comprehensive Income Unrealized gains and losses on available-for-sale securities (dollars in thousands) $ 77,284 $ 94,382 Net realized gains (losses) on sales of investments - 47,846 Realized gain on deconsolidation (67,444 ) (63,992 ) Net other-than-temporary credit impairment losses $ 9,840 $ 78,236 Income before income taxes - - Income taxes $ 9,840 $ 78,236 Net of tax

Equity Compensation, Employme37

Equity Compensation, Employment Agreements and other Benefit Plans (Tables)	12 Months Ended
	Dec. 31, 2015
Postemployment Benefits [Abstract]
Restricted Stock Awards Activity	The following table presents information with respect to the Company’s restricted stock awards during the years ended December 31, 2015 and 2014: For the Year Ended December 31, 2015 December 31, 2014 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 39,480 88.60 76,800 88.60 Granted 84,692 15.35 44,579 16.60 Vested (50,988 ) 88.60 (58,217 ) 88.60 Forfeited (2,184 ) 88.60 (23,682 ) 88.60 Unvested shares outstanding - end of period 71,000 28.39 39,480 88.60

Credit Risk and Interest Rate38

Credit Risk and Interest Rate Risk (Tables)	12 Months Ended
	Dec. 31, 2015
Offsetting [Abstract]
Schedule of Assets and Liabilities Subject to Netting Arrangements	The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2015 and December 31, 2014. December 31, 2015 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,439,339 ) $ - $ (7,439,339 ) $ 8,773,285 $ 37,296 $ 1,371,242 Interest Rate Swaps - Gross Assets 6,166 (4,934 ) 1,232 - - 1,232 Interest Rate Swaps - Gross Liabilities (53,777 ) 47,408 (6,369 ) 8,589 51,424 53,644 Treasury Futures 1,599 (192 ) 1,407 - 6,420 7,827 Swaptions - Gross Assets 12,821 - 12,821 - - 12,821 Swaptions - Gross Liabilities (3,265 ) - (3,265 ) - - (3,265 ) Total Liabilities $ (7,475,795 ) $ 42,282 $ (7,433,513 ) $ 8,781,874 $ 95,140 $ 1,443,501 (1) Included in other assets December 31, 2014 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (8,455,381 ) $ - $ (8,455,381 ) $ 9,309,738 $ - $ 854,357 Interest Rate Swaps (113,597 ) 99,536 (14,061 ) 19,340 64,796 70,075 Treasury Futures (7,227 ) 7,227 - - 12,595 12,595 Mortgage Options (71 ) - (71 ) - - (71 ) Swaptions - Gross Asset 2,889 - 2,889 - - 2,889 Swaptions - Gross Liability (45 ) - (45 ) - - (45 ) Total Liabilities $ (8,573,432 ) $ 106,763 $ (8,466,669 ) $ 9,329,078 $ 77,391 $ 939,800 (1) Included in other assets

Summarized Quarterly Results 39

Summarized Quarterly Results (Unaudited) (Tables)	12 Months Ended
	Dec. 31, 2015
Quarterly Financial Information Disclosure [Abstract]
Schedule of Quarterly Results (Unaudited)	The following is a presentation of the results of operations for the quarters ended December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015. For the Quarter Ended December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 201,912 $ 211,876 $ 215,804 $ 243,145 Interest expense 64,955 67,910 66,044 60,456 Net interest income 136,957 143,966 149,760 182,689 Other-than-temporary impairments: Total other-than-temporary impairment losses (2,311 ) (3,129 ) (2,208 ) (1,052 ) Portion of loss recognized in other comprehensive income (12,385 ) (14,703 ) (24,893 ) (6,763 ) Net other-than-temporary credit impairment losses (14,696 ) (17,832 ) (27,101 ) (7,815 ) Net gains (losses) on derivatives 44,546 (92,700 ) 40,127 (106,610 ) Net unrealized gains (losses) on financial instruments at fair value (69,793 ) (40,955 ) (37,260 ) (10,425 ) Gain (loss) on deconsolidation (256 ) - - - Gain (loss) on Extinguishment of Debt 8,906 (19,915 ) 5,079 - Net realized gains (losses) on sales of investments 34,285 3,539 9,685 29,565 Total other expenses 24,569 24,362 24,103 20,362 Net income $ 115,380 $ (48,259 ) $ 116,187 $ 67,042 Net income per share-basic $ 0.61 $ (0.24 ) $ 0.57 $ 0.33 For the Quarter Ended December 31, 2014 September 30, 2014 June 30, 2014 March 31, 2014 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 242,455 $ 190,355 $ 134,318 $ 120,667 Interest expense 65,794 38,886 20,680 22,425 Net interest income 176,661 151,469 113,638 98,242 Other-than-temporary impairments: Total other-than-temporary impairment losses (3,774 ) (726 ) (3,813 ) (400 ) Portion of loss recognized in other comprehensive income (51,347 ) (1,264 ) (1,534 ) (1,134 ) Net other-than-temporary credit impairment losses (55,121 ) (1,990 ) (5,347 ) (1,534 ) Net gains (losses) on derivatives (125,936 ) (10,177 ) (42,289 ) (7,946 ) Net unrealized gains (losses) on financial instruments at fair value 9,812 162,921 5,791 15,010 Gain of deconsolidation - - 47,846 - Loss on Extinguishment of Debt - - - (2,184 ) Net realized gains (losses) on sales of investments 23,564 64,107 (4,339 ) 8,377 Total other expenses 22,494 (11,250 ) 10,531 9,597 Net income $ 6,486 $ 377,580 $ 104,769 $ 100,368 Net income per share-basic $ 0.03 $ 1.85 $ 0.50 $ 0.49

Organization - Narrative (Detai

Organization - Narrative (Detail) - USD ($)	Aug. 05, 2015	Sep. 30, 2015	Dec. 31, 2015
Related Party Transaction [Line Items]
Stock repurchase program, authorized amount	$ 250,000,000		$ 250,000,000
Annaly Capital Management, Inc. [Member]
Related Party Transaction [Line Items]
Percentage of the Company's common shares purchased from Annaly Capital Management, Inc.		4.40%
FIDAC [Member]
Related Party Transaction [Line Items]
Management agreement termination fee	$ 0

Significant Accounting Policies

Significant Accounting Policies - Narrative (Detail)		Apr. 06, 2015	Jan. 01, 2015USD ($)	Dec. 31, 2015USD ($)	Sep. 30, 2015USD ($)	Jun. 30, 2015USD ($)	Mar. 31, 2015USD ($)	Dec. 31, 2014USD ($)	Sep. 30, 2014USD ($)	Jun. 30, 2014USD ($)	Mar. 31, 2014USD ($)	Dec. 31, 2015USD ($)		Dec. 31, 2014USD ($)		Dec. 31, 2013USD ($)
Summary Of Significant Accounting Policies [Line Items]
Reverse stock split ratio		0.2
Net unrealized gains (losses) on financial instruments at fair value				$ (69,793,000)	$ (40,955,000)	$ (37,260,000)	$ (10,425,000)	$ 9,812,000	$ 162,921,000	$ 5,791,000	$ 15,010,000	$ (158,433,000)		$ 193,534,000		$ (44,277,000)
Non-Agency RMBS, at fair value				3,675,841,000				3,404,149,000				3,675,841,000		3,404,149,000
Agency RMBS, at fair value				6,514,824,000				8,441,522,000				6,514,824,000		8,441,522,000
Interest income				201,912,000	$ 211,876,000	$ 215,804,000	$ 243,145,000	242,455,000	$ 190,355,000	$ 134,318,000	$ 120,667,000	872,737,000	[1]	687,795,000	[1]	511,783,000	[1]
Securitized loans held for investment								626,112,000						626,112,000
Securitized debt, collateralized by loans held for investment								521,997,000						521,997,000
Accrual for income tax penalties and interest				0				0				0		0
Cumulative effect of accounting change	[2]											(12,137,000)
Other Assets [Member]
Summary Of Significant Accounting Policies [Line Items]
Total REO assets				18,000,000				8,000,000				18,000,000		8,000,000
Real Estate Owned ("REO") [Member]
Summary Of Significant Accounting Policies [Line Items]
Net unrealized gains (losses) on financial instruments at fair value												8,000,000
ASU 2014-13 [Member]
Summary Of Significant Accounting Policies [Line Items]
Cumulative effect of accounting change			$ (12,137,000)
Non-Agency RMBS, Fair Value Option [Member]
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value				20,000,000				0				20,000,000		0
Interest-Only RMBS [Member]
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value				245,000,000				214,000,000				245,000,000		214,000,000
Agency RMBS, at fair value				273,000,000				186,000,000				273,000,000		186,000,000
Mortgage-Backed Securities [Member] | Interest-Only RMBS [Member]
Summary Of Significant Accounting Policies [Line Items]
Interest income												49,000,000		30,000,000
Securitized Loans Held for Investment at Cost [Member]
Summary Of Significant Accounting Policies [Line Items]
Allowance for loan losses				$ 0				$ 7,274,000				$ 0		$ 7,274,000		$ 9,063,000
[1]	Includes interest income of consolidated VIEs of $575,715, $428,992 and $371,559 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.
[2]	Adoption of ASU No. 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. See Note 2(p), Recent Accounting Pronouncements for further discussion.

Summary of the Significant Ac42

Summary of the Significant Accounting Policies - Adoption of ASU 2014-13 (Detail) - USD ($) $ in Thousands		Jan. 01, 2015	Dec. 31, 2015	Dec. 31, 2014
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Securitized loans held for investment, net of allowance for loan losses				$ 626,112
Securitized loans held for investment, at fair value		$ 5,306,501	$ 4,768,416	4,699,215
Total Securitized loans held for investment		5,306,501
Securitized debt, collateralized by loans held for investment				521,997
Securitized debt at fair value, collateralized by loans held for investment		4,383,217	3,720,496	$ 3,868,366
Total Securitized debt		4,383,217
Total effect of accounting standard on retained earnings	[1]		$ (12,137)
Previously Reported [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Securitized loans held for investment, net of allowance for loan losses		626,112
Securitized loans held for investment, at fair value		4,699,215
Total Securitized loans held for investment		5,325,327
Securitized debt, collateralized by loans held for investment		521,997
Securitized debt at fair value, collateralized by loans held for investment		3,868,366
Total Securitized debt		4,390,363
ASU 2014-13 [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Total effect of accounting standard on retained earnings		(12,137)
ASU 2014-13 [Member] | Reclassification to Fair Value [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Securitized loans held for investment, net of allowance for loan losses		(626,112)
Securitized loans held for investment, at fair value		626,112
Securitized debt, collateralized by loans held for investment		(521,997)
Securitized debt at fair value, collateralized by loans held for investment		521,997
Securitized Loans Held for Investment at Fair Value [Member] | ASU 2014-13 [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Assets, fair value adjustment		(19,283)
Securitized Debt at Fair Value, Collateralized by Loans Held for Investment [Member] | ASU 2014-13 [Member]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Liabilities, fair value adjustment		$ (7,146)
[1]	Adoption of ASU No. 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. See Note 2(p), Recent Accounting Pronouncements for further discussion.

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary (Detail) - Mortgage-Backed Securities [Member] - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Investment Holdings [Line Items]
Principal or Notional Value	$ 22,845,276	$ 21,223,090
Total Premium	868,410	813,853
Total Discount	(1,814,615)	(1,888,564)
Amortized Cost	9,465,640	10,825,516
Fair Value	10,190,665	11,845,671
Gross Unrealized Gains	867,512	1,079,471
Gross Unrealized Losses	(142,490)	(59,316)
Net Unrealized Gain/(Loss)	725,022	1,020,155
Non-Agency RMBS - Senior [Member]
Investment Holdings [Line Items]
Principal or Notional Value	3,651,869	3,435,362
Total Premium	309
Total Discount	(1,553,317)	(1,542,907)
Amortized Cost	2,098,860	1,892,455
Fair Value	2,826,121	2,735,780
Gross Unrealized Gains	736,040	843,680
Gross Unrealized Losses	(8,779)	(355)
Net Unrealized Gain/(Loss)	727,261	843,325
Non-Agency RMBS - Senior interest-only [Member]
Investment Holdings [Line Items]
Principal or Notional Value	5,426,029	5,221,937
Total Premium	268,515	227,305
Amortized Cost	268,515	227,305
Fair Value	234,171	207,216
Gross Unrealized Gains	18,113	17,378
Gross Unrealized Losses	(52,457)	(37,467)
Net Unrealized Gain/(Loss)	(34,344)	(20,089)
Non-Agency RMBS - Subordinated [Member]
Investment Holdings [Line Items]
Principal or Notional Value	762,466	690,599
Total Premium	23,635
Total Discount	(258,128)	(344,033)
Amortized Cost	527,975	346,566
Fair Value	604,295	454,348
Gross Unrealized Gains	83,896	108,091
Gross Unrealized Losses	(7,577)	(309)
Net Unrealized Gain/(Loss)	76,319	107,782
Non-Agency RMBS - Subordinated interest-only [Member]
Investment Holdings [Line Items]
Principal or Notional Value	284,931	216,403
Total Premium	15,226	9,577
Amortized Cost	15,226	9,577
Fair Value	11,254	6,805
Gross Unrealized Gains	62	194
Gross Unrealized Losses	(4,035)	(2,966)
Net Unrealized Gain/(Loss)	(3,973)	(2,772)
Agency MBS - Residential [Member]
Investment Holdings [Line Items]
Principal or Notional Value	5,045,418	7,774,266
Total Premium	255,837	387,174
Total Discount		(1,624)
Amortized Cost	5,301,255	8,159,816
Fair Value	5,267,848	8,255,419
Gross Unrealized Gains	18,593	108,802
Gross Unrealized Losses	(52,001)	(13,199)
Net Unrealized Gain/(Loss)	(33,408)	95,603
Agency MBS - Commercial [Member]
Investment Holdings [Line Items]
Principal or Notional Value	952,091
Total Premium	24,815
Total Discount	(3,170)
Amortized Cost	973,736
Fair Value	973,787
Gross Unrealized Gains	8,052
Gross Unrealized Losses	(8,001)
Net Unrealized Gain/(Loss)	51
Agency MBS - Interest-only [Member]
Investment Holdings [Line Items]
Principal or Notional Value	6,722,472	3,884,523
Total Premium	280,073	189,797
Amortized Cost	280,073	189,797
Fair Value	273,189	186,103
Gross Unrealized Gains	2,756	1,326
Gross Unrealized Losses	(9,640)	(5,020)
Net Unrealized Gain/(Loss)	$ (6,884)	$ (3,694)

Mortgage-Backed Securities - Ac

Mortgage-Backed Securities - Accretable Yield (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired [Member] - Available-for-sale Securities [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Investment Holdings [Line Items]
Balance at beginning of period	$ 1,534,497	$ 1,794,577
Purchases	277,922	110,694
Accretion	(249,898)	(294,395)
Reclassification (to) from non-accretable difference	238,348	123,181
Sales and deconsolidation	(58,125)	(199,560)
Balance at end of period	$ 1,742,744	$ 1,534,497

Mortgage-Backed Securities - No

Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired [Member] - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Investment Holdings [Line Items]
Loans acquired having deteriorated credit, outstanding principal	$ 3,550,698	$ 3,325,335	$ 3,949,664
Loans acquired having deteriorated credit, carrying value	$ 1,958,726	$ 1,741,780	$ 2,027,738

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Mortgage-Backed Securities [Member] $ in Thousands	Dec. 31, 2015USD ($)Security	Dec. 31, 2014USD ($)Security
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 5,477,895	$ 408,843
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (92,223)	$ (9,951)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	406	50
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 403,312	$ 821,342
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (50,267)	$ (49,365)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security	64	73
Estimated fair value of RMBS in continuous loss position	$ 5,881,207	$ 1,230,185
Unrealized losses on RMBS in continuous loss position	$ (142,490)	$ (59,316)
Number of Securities in continuous loss position | Security	470	123
Non-Agency RMBS - Senior [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 294,520	$ 29,789
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (8,779)	$ (355)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	20	3
Estimated fair value of RMBS in continuous loss position	$ 294,520	$ 29,789
Unrealized losses on RMBS in continuous loss position	$ (8,779)	$ (355)
Number of Securities in continuous loss position | Security	20	3
Non-Agency RMBS - Senior interest-only [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 81,919	$ 23,479
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (18,715)	$ (3,066)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	83	24
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 64,058	$ 96,754
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (33,742)	$ (34,401)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security	47	53
Estimated fair value of RMBS in continuous loss position	$ 145,977	$ 120,233
Unrealized losses on RMBS in continuous loss position	$ (52,457)	$ (37,467)
Number of Securities in continuous loss position | Security	130	77
Non-Agency RMBS - Subordinated [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 138,257	$ 19,380
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (7,577)	$ (7)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	22	2
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months		$ 11,605
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months		$ (302)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security		4
Estimated fair value of RMBS in continuous loss position	$ 138,257	$ 30,985
Unrealized losses on RMBS in continuous loss position	$ (7,577)	$ (309)
Number of Securities in continuous loss position | Security	22	6
Non-Agency RMBS - Subordinated interest-only [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 6,455	$ 4,373
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (1,039)	$ (2,709)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	1	2
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 3,635	$ 1,074
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (2,996)	$ (257)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security	2	2
Estimated fair value of RMBS in continuous loss position	$ 10,090	$ 5,447
Unrealized losses on RMBS in continuous loss position	$ (4,035)	$ (2,966)
Number of Securities in continuous loss position | Security	3	4
Agency MBS - Residential [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 4,468,717	$ 219,808
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (44,687)	$ (198)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	116	7
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 290,926	$ 701,442
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (7,314)	$ (13,001)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security	4	11
Estimated fair value of RMBS in continuous loss position	$ 4,759,643	$ 921,250
Unrealized losses on RMBS in continuous loss position	$ (52,001)	$ (13,199)
Number of Securities in continuous loss position | Security	120	18
Agency MBS - Commercial [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 393,058
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (7,969)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	140
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 4,986
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (32)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security	4
Estimated fair value of RMBS in continuous loss position	$ 398,044
Unrealized losses on RMBS in continuous loss position	$ (8,001)
Number of Securities in continuous loss position | Security	144
Agency MBS - Interest-only [Member]
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 94,969	$ 112,014
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (3,457)	$ (3,616)
Number of Securities of RMBS in continuous loss position for less than 12 months | Security	24	12
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 39,707	$ 10,467
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (6,183)	$ (1,404)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security	7	3
Estimated fair value of RMBS in continuous loss position	$ 134,676	$ 122,481
Unrealized losses on RMBS in continuous loss position	$ (9,640)	$ (5,020)
Number of Securities in continuous loss position | Security	31	15

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Alt-A [Member]
Investment Holdings [Line Items]
Alt-A collateral characteristics	The Company defines Alt-A mortgage securities as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.
Interest-Only RMBS [Member]
Investment Holdings [Line Items]
Interest-only RMBS, net unrealized gain (loss)	$ (45)	$ (27)
Interest-only RMBS, amortized cost	564	427
Interest-only RMBS, fair value	519	400
Non-Agency RMBS [Member]
Investment Holdings [Line Items]
Gross unrealized loss	16	1
Agency RMBS - Pass-through [Member]
Investment Holdings [Line Items]
Gross unrealized loss	$ 60	$ 13
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality [Member]
Investment Holdings [Line Items]
Percentage in Alt-A collateral	64.00%	65.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality [Member]
Investment Holdings [Line Items]
Percentage in prime collateral	17.00%	24.00%
Re-REMIC Security [Member]
Investment Holdings [Line Items]
Fair value of securities exchanged	$ 95	$ 89
Gain on exchange of securities	$ 24	$ 23

Mortgage-Backed Securities - Ag

Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) - Mortgage-Backed Securities [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Total other-than-temporary impairment losses	$ (8,700)	$ (8,713)	$ (4,356)
Portion of loss recognized in other comprehensive income	(58,744)	(55,279)	(40,811)
Net other-than-temporary credit impairment losses	$ (67,444)	$ (63,992)	$ (45,167)

Mortgage-Backed Securities - 49

Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-Agency RMBS [Member] - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Investment Holdings [Line Items]
Cumulative credit loss beginning balance	$ 507,548	$ 524,432	$ 510,089
Additions:
Other-than-temporary impairments not previously recognized	41,233	63,123	39,098
Reductions for securities sold or deconsolidated during the period	(19,746)	(61,854)	(14,038)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	26,138	869	6,069
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(26,061)	(19,022)	(16,786)
Cumulative credit impairment loss ending balance	$ 529,112	$ 507,548	$ 524,432

Mortgage-Backed Securities - OT

Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-Agency RMBS [Member]		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014
Weighted Average [Member]
Investment Holdings [Line Items]
Loss Severity		57.00%	72.00%
60+ days delinquent		22.00%	30.00%
Credit Enhancement	[1]	8.00%	6.00%
3 Month CPR		9.00%	9.00%
12 Month CPR		8.00%	11.00%
Minimum [Member]
Investment Holdings [Line Items]
Loss Severity		0.00%	35.00%
60+ days delinquent		2.00%	0.00%
Credit Enhancement	[1]	0.00%	0.00%
3 Month CPR		3.00%	2.00%
12 Month CPR		3.00%	5.00%
Maximum [Member]
Investment Holdings [Line Items]
Loss Severity		92.00%	93.00%
60+ days delinquent		41.00%	47.00%
Credit Enhancement	[1]	67.00%	35.00%
3 Month CPR		27.00%	25.00%
12 Month CPR		20.00%	22.00%
[1]	Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures.

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Mortgage-Backed Securities [Member] - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 844,273	$ 1,060,573
Gross Unrealized Gain Included in Accumulated Deficit	23,240	18,898
Total Gross Unrealized Gain	867,512	1,079,471
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(70,752)	(13,863)
Gross Unrealized Loss Included in Accumulated Deficit	(71,738)	(45,453)
Total Gross Unrealized Loss	(142,490)	(59,316)
Non-Agency RMBS - Senior [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	736,040	843,680
Total Gross Unrealized Gain	736,040	843,680
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(8,779)	(355)
Total Gross Unrealized Loss	(8,779)	(355)
Non-Agency RMBS - Senior interest-only [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Deficit	18,113	17,378
Total Gross Unrealized Gain	18,113	17,378
Gross Unrealized Loss Included in Accumulated Deficit	(52,457)	(37,467)
Total Gross Unrealized Loss	(52,457)	(37,467)
Non-Agency RMBS - Subordinated [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	81,588	108,091
Gross Unrealized Gain Included in Accumulated Deficit	2,309
Total Gross Unrealized Gain	83,896	108,091
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(1,971)	(309)
Gross Unrealized Loss Included in Accumulated Deficit	(5,606)
Total Gross Unrealized Loss	(7,577)	(309)
Non-Agency RMBS - Subordinated interest-only [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Deficit	62	194
Total Gross Unrealized Gain	62	194
Gross Unrealized Loss Included in Accumulated Deficit	(4,035)	(2,966)
Total Gross Unrealized Loss	(4,035)	(2,966)
Agency MBS - Residential [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	18,593	108,802
Total Gross Unrealized Gain	18,593	108,802
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(52,001)	(13,199)
Total Gross Unrealized Loss	(52,001)	(13,199)
Agency MBS - Commercial [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	8,052
Total Gross Unrealized Gain	8,052
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(8,001)
Total Gross Unrealized Loss	(8,001)
Agency MBS - Interest-only [Member]
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Deficit	2,756	1,326
Total Gross Unrealized Gain	2,756	1,326
Gross Unrealized Loss Included in Accumulated Deficit	(9,640)	(5,020)
Total Gross Unrealized Loss	$ (9,640)	$ (5,020)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - Mortgage-Backed Securities [Member] $ in Thousands		Dec. 31, 2015USD ($)$ / Security	Dec. 31, 2014USD ($)$ / Security
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 22,845,276	$ 21,223,090
Non-Agency RMBS - Senior [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 3,651,869	$ 3,435,362
Weighted Average Amortized Cost Basis		57.47	55.09
Weighted Average Fair Value		77.39	79.63
Weighted Average Coupon		3.80%	4.30%
Weighted Average Yield at Period-End	[1]	13.70%	15.90%
Non-Agency RMBS - Senior interest-only [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 5,426,029	$ 5,221,937
Weighted Average Amortized Cost Basis		4.95	4.35
Weighted Average Fair Value		4.32	3.97
Weighted Average Coupon		1.70%	1.60%
Weighted Average Yield at Period-End	[1]	12.90%	14.40%
Non-Agency RMBS - Subordinated [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 762,466	$ 690,599
Weighted Average Amortized Cost Basis		69.25	50.18
Weighted Average Fair Value		79.26	65.79
Weighted Average Coupon		3.20%	3.10%
Weighted Average Yield at Period-End	[1]	8.80%	10.60%
Non-Agency RMBS - Subordinated interest-only [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 284,931	$ 216,403
Weighted Average Amortized Cost Basis		5.34	4.43
Weighted Average Fair Value		3.95	3.14
Weighted Average Coupon		1.20%	0.90%
Weighted Average Yield at Period-End	[1]	10.90%	9.20%
Agency MBS - Residential pass-through [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 5,045,418
Weighted Average Amortized Cost Basis		105.07
Weighted Average Fair Value		104.41
Weighted Average Coupon		3.70%
Weighted Average Yield at Period-End	[1]	2.80%
Agency MBS - Commercial pass-through [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 952,091
Weighted Average Amortized Cost Basis		102.27
Weighted Average Fair Value		102.28
Weighted Average Coupon		3.40%
Weighted Average Yield at Period-End	[1]	2.90%
Agency MBS - Interest-only [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $		$ 6,722,472	$ 3,884,523
Weighted Average Amortized Cost Basis		4.17	4.89
Weighted Average Fair Value		4.06	4.79
Weighted Average Coupon		0.80%	0.90%
Weighted Average Yield at Period-End	[1]	3.40%	3.10%
Agency RMBS - Pass-through [Member]
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $			$ 7,774,266
Weighted Average Amortized Cost Basis			104.96
Weighted Average Fair Value			106.19
Weighted Average Coupon			4.00%
Weighted Average Yield at Period-End	[1]		3.20%
[1]	Bond Equivalent Yield at period end.

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-Agency RMBS [Member]	Dec. 31, 2015	Dec. 31, 2014
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	100.00%	100.00%
AAA Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.50%	0.90%
AA Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.40%	0.40%
A Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.80%	0.00%
BBB Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.40%	0.40%
BB Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	5.20%	1.90%
B Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	3.00%	5.60%
Below B or Not Rated Credit Rating [Member]
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	89.70%	90.80%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - Mortgage-Backed Securities [Member] - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Less than one year, at amortized cost	$ 4,648	$ 2,499
Greater than one year and less than five years, at amortized cost	683,625	4,636,393
Greater than five years and less than ten years, at amortized cost	6,903,462	5,308,812
Greater than ten years, at amortized cost	1,873,905	877,812
Amortized Cost	9,465,640	10,825,516
Less than one year, at fair value	3,687	2,171
Greater than one year and less than five years, at fair value	781,478	4,767,778
Greater than five years and less than ten years, at fair value	7,284,439	5,924,910
Greater than ten years, at fair value	2,121,060	1,150,812
Total maturities, at fair value	10,190,665	11,845,671
Non-Agency RMBS - Senior [Member]
Schedule of Available-for-sale Securities [Line Items]
Less than one year, at amortized cost		1,205
Greater than one year and less than five years, at amortized cost	281,255	255,009
Greater than five years and less than ten years, at amortized cost	1,235,528	1,129,932
Greater than ten years, at amortized cost	582,077	506,309
Amortized Cost	2,098,860	1,892,455
Less than one year, at fair value		1,656
Greater than one year and less than five years, at fair value	374,462	306,309
Greater than five years and less than ten years, at fair value	1,629,564	1,678,226
Greater than ten years, at fair value	822,095	749,589
Total maturities, at fair value	2,826,121	2,735,780
Non-Agency RMBS - Senior interest-only [Member]
Schedule of Available-for-sale Securities [Line Items]
Less than one year, at amortized cost	2,440	1,294
Greater than one year and less than five years, at amortized cost	59,823	65,291
Greater than five years and less than ten years, at amortized cost	135,359	124,996
Greater than ten years, at amortized cost	70,893	35,724
Amortized Cost	268,515	227,305
Less than one year, at fair value	1,458	515
Greater than one year and less than five years, at fair value	41,862	60,403
Greater than five years and less than ten years, at fair value	123,538	110,800
Greater than ten years, at fair value	67,313	35,498
Total maturities, at fair value	234,171	207,216
Non-Agency RMBS - Subordinated [Member]
Schedule of Available-for-sale Securities [Line Items]
Less than one year, at amortized cost	2,208
Greater than one year and less than five years, at amortized cost	86,728	58,448
Greater than five years and less than ten years, at amortized cost	168,403	188,502
Greater than ten years, at amortized cost	270,636	99,616
Amortized Cost	527,975	346,566
Less than one year, at fair value	2,229
Greater than one year and less than five years, at fair value	108,728	80,414
Greater than five years and less than ten years, at fair value	212,003	245,438
Greater than ten years, at fair value	281,335	128,496
Total maturities, at fair value	604,295	454,348
Non-Agency RMBS - Subordinated interest-only [Member]
Schedule of Available-for-sale Securities [Line Items]
Greater than five years and less than ten years, at amortized cost	15,226	8,413
Greater than ten years, at amortized cost		1,164
Amortized Cost	15,226	9,577
Greater than five years and less than ten years, at fair value	11,254	5,447
Greater than ten years, at fair value		1,358
Total maturities, at fair value	11,254	6,805
Agency MBS - Residential [Member]
Schedule of Available-for-sale Securities [Line Items]
Greater than one year and less than five years, at amortized cost	149,111	4,173,986
Greater than five years and less than ten years, at amortized cost	5,152,144	3,750,831
Greater than ten years, at amortized cost		234,999
Amortized Cost	5,301,255	8,159,816
Greater than one year and less than five years, at fair value	150,357	4,237,658
Greater than five years and less than ten years, at fair value	5,117,491	3,781,890
Greater than ten years, at fair value		235,871
Total maturities, at fair value	5,267,848	8,255,419
Agency MBS - Commercial [Member]
Schedule of Available-for-sale Securities [Line Items]
Greater than five years and less than ten years, at amortized cost	29,156
Greater than ten years, at amortized cost	944,580
Amortized Cost	973,736
Greater than five years and less than ten years, at fair value	29,176
Greater than ten years, at fair value	944,611
Total maturities, at fair value	973,787
Agency MBS - Interest-only [Member]
Schedule of Available-for-sale Securities [Line Items]
Greater than one year and less than five years, at amortized cost	106,708	83,659
Greater than five years and less than ten years, at amortized cost	167,646	106,138
Greater than ten years, at amortized cost	5,719
Amortized Cost	280,073	189,797
Greater than one year and less than five years, at fair value	106,069	82,994
Greater than five years and less than ten years, at fair value	161,413	103,109
Greater than ten years, at fair value	5,707
Total maturities, at fair value	$ 273,189	$ 186,103

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-Agency RMBS [Member] $ in Thousands		Dec. 31, 2015USD ($)Point	Dec. 31, 2014USD ($)Point
Investment Holdings [Line Items]
Weighted average maturity		22 years	22 years 6 months
Weighted average amortized loan to value	[1]	67.90%	67.50%
Weighted average FICO | Point	[2]	671	679
Weighted average loan balance | $		$ 330	$ 332
Weighted average percentage owner occupied		82.70%	83.00%
Weighted average percentage single family residence		65.90%	65.50%
Weighted average current credit enhancement		2.40%	1.70%
California [Member]
Investment Holdings [Line Items]
Weighted average geographic concentration		30.40%	31.70%
Florida [Member]
Investment Holdings [Line Items]
Weighted average geographic concentration		8.00%	8.40%
New York [Member]
Investment Holdings [Line Items]
Weighted average geographic concentration		8.00%	7.80%
New Jersey [Member]
Investment Holdings [Line Items]
Weighted average geographic concentration		2.50%	2.90%
[1]	Value represents appraised value of the collateral at the time of loan origination.
[2]	FICO as determined at the time of loan origination.

Mortgage-Backed Securities - Ye

Mortgage-Backed Securities - Year Originated (Detail) - Non-Agency RMBS [Member]	Dec. 31, 2015	Dec. 31, 2014
Origination Year as a Percentage of Outstanding Principal Balance:
1,998	0.00%	0.00%
1,999	0.10%	0.20%
2,000	0.60%	0.60%
2,001	1.60%	2.10%
2,002	0.50%	0.40%
2,003	2.20%	2.50%
2,004	3.70%	3.90%
2,005	21.70%	20.40%
2,006	32.90%	28.50%
2,007	34.20%	37.60%
2,008	1.90%	2.10%
2,013	0.50%	0.90%
2,014	0.10%	0.80%
2,015	0.00%	0.00%
Total	100.00%	100.00%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Investment Holdings [Line Items]
Net realized gain	$ 34,285	$ 3,539	$ 9,685	$ 29,565	$ 23,564	$ 64,107	$ (4,339)	$ 8,377	$ 77,074	$ 91,709	$ 68,107
Mortgage-Backed Securities [Member]
Investment Holdings [Line Items]
Proceeds from sales									6,244,613	4,036,033	1,079,649
Gross realized gains									94,618	98,656	72,946
Gross realized losses									(17,544)	(6,947)	(4,839)
Net realized gain									$ 77,074	$ 91,709	$ 68,107

Securitized Loans Held for In58

Securitized Loans Held for Investment - Narrative (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized loans held for investment		$ 626,112
Securitized Loans Held for Investment at Cost [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Allowance for loan losses	$ 0	7,274	$ 9,063
Jumbo Prime Residential Mortgage Loans [Member] | Securitized Loans Held for Investment at Cost [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized loans held for investment		626,112
Allowance for loan losses		7,274
Fair Value [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90+ Days Delinquent	341,000
Fair Value [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90+ Days Delinquent	$ 2,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment at Cost [Member] | Allowance for Loan Losses General Reserve [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Allowance for loan losses		3,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment at Cost [Member] | Allowance for Loan Losses Specific Loan Reserve [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Allowance for loan losses		$ 4,000

Securitized Loans Held for In59

Securitized Loans Held for Investment - Roll-Forward (Detail) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014
Securitized Loans Held for Investment at Fair Value [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Sales and Settlements		$ (9,638)
Transfer due to deconsolidation		(287,806)
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment at Cost [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Balance, beginning of period		626,112	$ 783,484
Principal paydowns			(153,063)
Net periodic (amortization) accretion			(4,541)
Change to loan loss provision			232
Balance, end of period			626,112
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment at Fair Value [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Balance, beginning of period	[1]	5,306,501
Purchases		577,036	4,722,824
Principal paydowns		(707,996)	(173,597)
Sales and Settlements		(9,638)
Net periodic (amortization) accretion		(19,100)	5,028
Change in fair value		(90,581)	144,960
Transfer due to deconsolidation		(287,806)
Balance, end of period		4,768,416	5,306,501	[1]
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Previously Reported [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Balance, beginning of period		$ 4,699,215
Balance, end of period			$ 4,699,215
[1]	Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015.

Securitized Loans Held for In60

Securitized Loans Held for Investment - Roll-Forward (Parenthetical) (Detail) $ in Millions	Jan. 01, 2015USD ($)
Securitized Loans Held for Investment, Fair Value Option [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized loans held for investment, at fair value	$ 607

Securitized Loans Held for In61

Securitized Loans Held for Investment - Year Originated (Detail) - Securitized Loans Held for Investment at Fair Value [Member]	Dec. 31, 2015	Dec. 31, 2014
Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	11.20%	6.00%
2,003	4.00%	4.40%
2,004	11.10%	12.30%
2,005	19.30%	20.60%
2,006	17.40%	18.20%
2,007	25.40%	26.30%
2,008	9.50%	9.90%
2,009	1.10%	1.20%
2010 and later	1.00%	1.10%
Total	100.00%	100.00%
Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2,004	0.10%	0.90%
2,007	8.50%	8.10%
2,008	7.40%	7.00%
2,009	0.30%	0.20%
2,010	5.10%	6.30%
2,011	33.10%	35.40%
2,012	45.50%	42.10%
Total	100.00%	100.00%

Securitized Loans Held for In62

Securitized Loans Held for Investment - Collateral Characteristics (Detail) - Securitized Loans Held for Investment at Fair Value [Member] $ in Thousands		Dec. 31, 2015USD ($)PointLoan	Dec. 31, 2014USD ($)PointLoan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans			869
Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans		657	869
Weighted average maturity		25 years 6 months	26 years 4 months 24 days
Weighted average loan to value	[1]	70.70%	71.60%
Weighted average FICO | Point	[2]	765	766
Weighted average loan balance | $		$ 682	$ 716
Weighted average percentage owner occupied		94.30%	95.00%
Weighted average percentage single family residence		70.10%	71.00%
Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans		56,870	58,170
Weighted average maturity		21 years 6 months	22 years 2 months 12 days
Weighted average loan to value	[3]	80.70%	80.30%
Weighted average FICO | Point	[3]	625	629
Weighted average loan balance | $		$ 76	$ 79
Weighted average percentage owner occupied		96.00%	95.80%
Weighted average percentage single family residence		72.50%	73.60%
California [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		32.40%	34.80%
California [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		8.80%	9.30%
New Jersey [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		6.30%	5.60%
Virginia [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		6.40%	5.50%
Virginia [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		6.30%	6.40%
Maryland [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		6.20%	5.10%
New York [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration			5.10%
Florida [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		7.20%	7.00%
North Carolina [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		7.10%	7.00%
Ohio [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		6.10%	6.00%
Texas [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration		5.10%
[1]	Value represents appraised value of the collateral at the time of loan origination.
[2]	FICO as determined at the time of loan origination.
[3]	As provided by the Trustee

Securitized Loans Held for In63

Securitized Loans Held for Investment - Aging (Detail) - Securitized Loans Held for Investment at Fair Value [Member] - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90+ Days Delinquent		$ 8,140
Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
30 Days Delinquent	$ 3,079	2,621
60 Days Delinquent		565
90+ Days Delinquent	2,915	988
Foreclosure	2,875	7,152
REO	2,312
Total	11,181	11,326
Seasoned Subprime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
30 Days Delinquent	189,816	226,154
60 Days Delinquent	66,429	92,363
90+ Days Delinquent	125,897	192,245
Bankruptcy	117,308	154,279
Foreclosure	218,493	80,148
REO	36,124	16,556
Total	$ 754,067	$ 761,745

Securitized Loans Held for In64

Securitized Loans Held for Investment - Summary (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized loans held for investment		$ 626,112
Securitized Loans Held for Investment at Cost [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Less: allowance for loan losses	$ 0	7,274	$ 9,063
Securitized Loans Held for Investment at Cost [Member] | Jumbo Prime Residential Mortgage Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized loans, at amortized cost		633,386
Less: allowance for loan losses		7,274
Securitized loans held for investment		$ 626,112

Securitized Loans Held for In65

Securitized Loans Held for Investment - Allowance for Loan Losses (Detail) - Securitized Loans Held for Investment at Cost [Member] $ in Thousands	12 Months Ended
	Dec. 31, 2014USD ($)
Allowance for Loan and Lease Losses [Roll Forward]
Balance, beginning of period	$ 9,063
Provision for loan losses	(232)
Charge-offs	(1,557)
Balance, end of period	$ 7,274

Securitized Loans Held for In66

Securitized Loans Held for Investment - Loan Product Types and Characteristics (Detail)	Dec. 31, 2015USD ($)Loan	Dec. 31, 2014USD ($)Loan
Securitized Loans Held for Investment [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	57,527	58,170
Total Principal	$ 4,787,918,000	$ 4,619,193,000
30-89 Days Delinquent	296,912,000	318,518,000
90+ Days Delinquent	$ 436,521,000	$ 443,228,000
Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	2,227	635
Total Principal	$ 192,797,000	$ 79,759,000
30-89 Days Delinquent	12,341,000	1,846,000
90+ Days Delinquent	$ 10,986,000	$ 7,348,000
Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	2,119	570
Maturity Date, Minimum	Feb. 1, 2003	May 1, 2017
Maturity Date, Maximum	Oct. 1, 2055	Nov. 1, 2054
Total Principal	$ 138,321,000	$ 57,908,000
30-89 Days Delinquent	11,140,000	1,451,000
90+ Days Delinquent	$ 5,292,000	$ 3,663,000
Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	66	61
Maturity Date, Minimum	Jan. 1, 2030	Mar. 1, 2034
Maturity Date, Maximum	Sep. 1, 2055	May 1, 2054
Total Principal	$ 23,021,000	$ 19,641,000
30-89 Days Delinquent	1,201,000	395,000
90+ Days Delinquent	$ 2,277,000	$ 3,138,000
Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	29	4
Maturity Date, Minimum	Feb. 1, 2032	Feb. 1, 2032
Maturity Date, Maximum	Apr. 1, 2038	Jun. 1, 2035
Total Principal	$ 17,186,000	$ 2,210,000
90+ Days Delinquent	$ 1,688,000	$ 547,000
Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	7
Maturity Date, Minimum	Jan. 1, 2038
Maturity Date, Maximum	Apr. 1, 2038
Total Principal	$ 5,867,000
Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	6
Maturity Date, Minimum	Dec. 1, 2037
Maturity Date, Maximum	Apr. 1, 2038
Total Principal	$ 8,402,000
90+ Days Delinquent	$ 1,730,000
Securitized Loans Held for Investment [Member] | Hybrid Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	14
Total Principal	$ 7,582,000
30-89 Days Delinquent	1,081,000
90+ Days Delinquent	$ 1,744,000
Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	2
Maturity Date, Minimum	Aug. 1, 2037
Maturity Date, Maximum	Sep. 1, 2037
Total Principal	$ 193,000
Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	2
Maturity Date, Minimum	Jul. 1, 2037
Maturity Date, Maximum	Apr. 1, 2038
Total Principal	$ 908,000
Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	8
Maturity Date, Minimum	Jul. 1, 2037
Maturity Date, Maximum	Mar. 1, 2038
Total Principal	$ 4,751,000
30-89 Days Delinquent	1,081,000
90+ Days Delinquent	$ 1,744,000
Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	2
Maturity Date, Minimum	Apr. 1, 2037
Maturity Date, Maximum	Apr. 1, 2038
Total Principal	$ 1,730,000
Securitized Loans Held for Investment [Member] | Fixed Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	55,286	57,535
Total Principal	$ 4,587,538,000	$ 4,539,434,000
30-89 Days Delinquent	283,490,000	316,672,000
90+ Days Delinquent	$ 423,792,000	$ 435,880,000
Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	52,774	55,300
Maturity Date, Minimum	Jan. 1, 1999	Jul. 1, 2012
Maturity Date, Maximum	Jan. 5, 2062	May 1, 2062
Total Principal	$ 3,540,447,000	$ 3,789,721,000
30-89 Days Delinquent	245,151,000	275,076,000
90+ Days Delinquent	$ 359,559,000	$ 356,916,000
Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	1,957	2,128
Maturity Date, Minimum	Dec. 1, 2019	Jun. 1, 2014
Maturity Date, Maximum	Oct. 1, 2065	Nov. 1, 2065
Total Principal	$ 645,347,000	$ 688,464,000
30-89 Days Delinquent	33,405,000	37,387,000
90+ Days Delinquent	$ 58,336,000	$ 75,661,000
Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	374	106
Maturity Date, Minimum	Jun. 1, 2022	Jun. 1, 2022
Maturity Date, Maximum	Sep. 1, 2057	Sep. 1, 2057
Total Principal	$ 226,481,000	$ 60,445,000
30-89 Days Delinquent	3,205,000	3,405,000
90+ Days Delinquent	$ 4,005,000	$ 3,303,000
Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	130	1
Maturity Date, Minimum	Jul. 1, 2017	Jul. 1, 2037
Maturity Date, Maximum	Oct. 1, 2042	Jul. 1, 2037
Total Principal	$ 112,490,000	$ 804,000
30-89 Days Delinquent	1,729,000	$ 804,000
90+ Days Delinquent	$ 1,892,000
Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan	51
Maturity Date, Minimum	Mar. 1, 2013
Maturity Date, Maximum	Oct. 1, 2042
Total Principal	$ 62,773,000
Securitized Loans Held for Investment at Fair Value [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		869
Total Principal		$ 621,907,000
30-89 Days Delinquent		3,186,000
90+ Days Delinquent		$ 8,140,000
Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		28
Total Principal		$ 20,835,000
30-89 Days Delinquent		565,000
90+ Days Delinquent		$ 1,730,000
Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		7
Maturity Date, Minimum		Aug. 1, 2037
Maturity Date, Maximum		Feb. 1, 2042
Total Principal		$ 3,131,000
Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		12
Maturity Date, Minimum		Jan. 1, 2038
Maturity Date, Maximum		Apr. 1, 2038
Total Principal		$ 7,497,000
30-89 Days Delinquent		$ 565,000
Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		5
Maturity Date, Minimum		Jan. 1, 2038
Maturity Date, Maximum		Apr. 1, 2038
Total Principal		$ 4,328,000
Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		4
Maturity Date, Minimum		Dec. 1, 2037
Maturity Date, Maximum		Mar. 1, 2038
Total Principal		$ 5,879,000
90+ Days Delinquent		$ 1,730,000
Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		53
Total Principal		$ 32,720,000
30-89 Days Delinquent		1,154,000
90+ Days Delinquent		$ 3,836,000
Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		3
Maturity Date, Minimum		Aug. 1, 2037
Maturity Date, Maximum		Jan. 1, 2038
Total Principal		$ 283,000
Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		11
Maturity Date, Minimum		Jun. 1, 2037
Maturity Date, Maximum		Apr. 1, 2038
Total Principal		$ 5,123,000
90+ Days Delinquent		$ 498,000
Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		31
Maturity Date, Minimum		May 1, 2037
Maturity Date, Maximum		Apr. 1, 2038
Total Principal		$ 18,817,000
30-89 Days Delinquent		1,154,000
90+ Days Delinquent		$ 1,709,000
Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		5
Maturity Date, Minimum		Apr. 1, 2037
Maturity Date, Maximum		Apr. 1, 2038
Total Principal		$ 4,327,000
Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		3
Maturity Date, Minimum		Feb. 1, 2038
Maturity Date, Maximum		Apr. 1, 2038
Total Principal		$ 4,170,000
90+ Days Delinquent		$ 1,629,000
Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		788
Total Principal		$ 568,352,000
30-89 Days Delinquent		1,467,000
90+ Days Delinquent		$ 2,574,000
Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		2
Maturity Date, Minimum		Jun. 1, 2037
Maturity Date, Maximum		Aug. 1, 2042
Total Principal		$ 85,000
Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		137
Maturity Date, Minimum		Jul. 1, 2022
Maturity Date, Maximum		Oct. 1, 2042
Total Principal		$ 61,868,000
90+ Days Delinquent		$ 958,000
Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		371
Maturity Date, Minimum		Sep. 1, 2022
Maturity Date, Maximum		Oct. 1, 2042
Total Principal		$ 230,894,000
30-89 Days Delinquent		506,000
90+ Days Delinquent		$ 1,616,000
Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		190
Maturity Date, Minimum		Sep. 1, 2037
Maturity Date, Maximum		Oct. 1, 2042
Total Principal		$ 165,065,000
30-89 Days Delinquent		$ 961,000
Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | Loan		88
Maturity Date, Minimum		Jan. 1, 2038
Maturity Date, Maximum		Oct. 1, 2042
Total Principal		$ 110,440,000
Minimum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 0
Interest Rate	1.70%	1.625%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	2.00%	1.875%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	2.00%	4.29%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000
Interest Rate	2.875%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000
Interest Rate	2.875%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000
Interest Rate	6.67%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000
Interest Rate	5.762%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000
Interest Rate	4.00%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000
Interest Rate	5.625%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 0
Interest Rate	0.00%	0.00%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	2.00%	0.00%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	2.00%	2.00%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	3.75%	5.50%
Minimum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000
Interest Rate	2.25%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 250,000
Interest Rate		2.00%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 500,000
Interest Rate		2.00%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 750,000
Interest Rate		2.75%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 1,000,000
Interest Rate		2.875%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 0
Interest Rate		6.50%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 250,000
Interest Rate		2.125%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 500,000
Interest Rate		2.75%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 750,000
Interest Rate		5.625%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 1,000,000
Interest Rate		3.00%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 0
Interest Rate		4.375%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 250,000
Interest Rate		2.00%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 500,000
Interest Rate		2.00%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 750,000
Interest Rate		3.50%
Minimum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 1,000,000
Interest Rate		2.25%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	15.20%	13.99%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	10.375%	9.375%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	5.75%	5.75%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000
Interest Rate	2.875%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Adjustable Rate Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate	4.00%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000
Interest Rate	6.83%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000
Interest Rate	5.875%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000
Interest Rate	7.188%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Hybrid Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000
Interest Rate	5.75%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	24.00%	24.00%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	11.93%	11.93%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	9.75%	9.75%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000	$ 1,000,000
Interest Rate	7.00%	5.50%
Maximum [Member] | Securitized Loans Held for Investment [Member] | Fixed Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate	7.125%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 500,000
Interest Rate		3.00%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 750,000
Interest Rate		4.00%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 1,000,000
Interest Rate		2.875%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Adjustable Rate Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate		4.00%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 250,000
Interest Rate		6.83%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 500,000
Interest Rate		6.875%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 750,000
Interest Rate		7.188%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 1,000,000
Interest Rate		6.35%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Hybrid Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate		5.75%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $1 to $250 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 250,000
Interest Rate		6.75%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $250 to $500 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 500,000
Interest Rate		7.875%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $500 to $750 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 750,000
Interest Rate		7.875%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | $750 to $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance		$ 1,000,000
Interest Rate		7.00%
Maximum [Member] | Securitized Loans Held for Investment at Fair Value [Member] | Fixed Loans [Member] | Over $1,000 [Member]
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate		7.125%

Fair Value Measurements - Fair

Fair Value Measurements - Fair Value Measurement Levels (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Jan. 01, 2015	Dec. 31, 2014
Assets:
Non-Agency RMBS, at fair value	$ 3,675,841		$ 3,404,149
Agency RMBS, at fair value	6,514,824		8,441,522
Securitized loans held for investment, at fair value	4,768,416	$ 5,306,501	4,699,215
Derivative assets, at fair value, net	15,460		3,631
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(3,720,496)	$ (4,383,217)	(3,868,366)
Derivative liabilities, at fair value, net	(9,634)		(14,177)
Fair Value, Measurements, Recurring [Member]
Assets:
Non-Agency RMBS, at fair value	3,675,841		3,404,149
Agency RMBS, at fair value	6,514,824		8,441,522
Securitized loans held for investment, at fair value	4,768,416		4,699,215
Derivative assets, counterparty and cash collateral, netting	(5,126)		(1,167)
Derivative assets, at fair value, net	15,460		3,631
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(3,720,496)		(3,868,366)
Derivative liabilities, counterparty and cash collateral, netting	47,600		106,800
Derivative liabilities, at fair value, net	(9,634)		(14,177)
Total	11,244,411		12,665,974
Derivatives, counterparty and cash collateral, netting	42,474		105,633
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member]
Assets:
Derivative assets	1,599
Liabilities:
Derivative liabilities	(192)		(7,227)
Total	1,407		(7,227)
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member]
Assets:
Agency RMBS, at fair value	6,514,824		8,441,522
Derivative assets	18,987		4,798
Liabilities:
Derivative liabilities	(57,042)		(113,679)
Total	6,476,769		8,332,641
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member]
Assets:
Non-Agency RMBS, at fair value	3,675,841		3,404,149
Securitized loans held for investment, at fair value	4,768,416		4,699,215
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(3,720,496)		(3,868,366)
Derivative liabilities			(71)
Total	$ 4,723,761		$ 4,234,927

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2015	Dec. 31, 2014
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Total, Beginning balance, Level 3		$ 4,327,362	$ 3,774,463
Total, Transfer due to consolidation/deconsolidation		(105,870)
Total, Purchases		(46,084)	868,275
Total, Principal payments		(350,489)	(85,713)
Total, Sales and Settlements		1,132,526	(611,052)
Total, Accretion (amortization) of purchase discounts		94,542	106,566
Other than temporary credit impairment losses		(67,444)	(63,992)
Total, Realized gains (losses) on sales and settlements		23,236	71,383
Realized gain on deconsolidation			47,846
Total, Net unrealized gains (losses) included in income		(147,934)	195,901
Total unrealized gains (losses) for the period		(136,084)	(68,750)
Total, Ending balance, Level 3		4,723,761	4,327,362
Derivatives, Beginning balance, Level 3		(71)
Derivatives, Sales and Settlements		(597)	(8,479)
Derivatives, Realized gains (losses) on sales and settlements included in net income		443	8,749
Derivatives, Net unrealized gains (losses) included in income		225	(341)
Derivatives, Ending balance, Level 3			(71)
Non-Agency RMBS [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance Level 3 assets		3,404,149	3,774,463
Transfer due to consolidation/deconsolidation		(59,646)
Purchases		1,045,534	454,506
Principal payments		(385,822)	(324,768)
Sales and Settlements		(252,532)	(602,573)
Accretion (amortization) of purchase discounts		117,836	99,512
Other than temporary credit impairment losses		(67,444)	(63,992)
Realized gains (losses) on sales and settlements included in net income		28,724	62,634
Realized gain on deconsolidation			47,846
Net unrealized gains (losses) included in income		(18,874)	25,271
Total unrealized gains (losses) for the period		(136,084)	(68,750)
Ending balance Level 3 assets		3,675,841	3,404,149
Securitized Loans Held for Investment at Fair Value [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance Level 3 assets		5,306,501
Transfer due to consolidation/deconsolidation		(287,806)
Purchases		577,036	4,722,824
Principal payments		(707,996)	(173,597)
Sales and Settlements		(9,638)
Accretion (amortization) of purchase discounts		(19,100)	5,028
Net unrealized gains (losses) included in income		(90,581)	144,960
Ending balance Level 3 assets		4,768,416	5,306,501
Previously Reported [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Total, Beginning balance, Level 3		4,234,927
Total, Ending balance, Level 3			4,234,927
Previously Reported [Member] | Securitized Loans Held for Investment at Fair Value [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Beginning balance Level 3 assets		4,699,215
Ending balance Level 3 assets			4,699,215
Securitized Debt at Fair Value, Collateralized by Loans Held for Investment [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Securitized Debt, Beginning balance, Level 3	[1]	(4,383,217)
Securitized Debt, Transfer due to consolidation/deconsolidation		243,732
Securitized Debt, Purchases		(1,668,654)	(4,309,055)
Securitized Debt, Principal payments		743,329	412,652
Securitized Debt, Sales and Settlements		1,395,292
Securitized Debt, Accretion (amortization) of purchase discounts		(6,344)	2,026
Securitized Debt, Realized gains (losses) on sales and settlements		(5,930)
Securitized Debt, Net unrealized gains (losses) included in income		(38,704)	26,011
Securitized Debt, Ending balance, Level 3		(3,720,496)	(4,383,217)	[1]
Securitized Debt at Fair Value, Collateralized by Loans Held for Investment [Member] | Previously Reported [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Securitized Debt, Beginning balance, Level 3		$ (3,868,366)
Securitized Debt, Ending balance, Level 3			$ (3,868,366)
[1]	Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015.

Fair Value Measurements - Uno69

Fair Value Measurements - Unobservable Input Reconciliation (Parenthetical) (Detail) $ in Millions	Jan. 01, 2015USD ($)
Securitized Loans Held for Investment, Fair Value Option [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Securitized loans held for investment, at fair value	$ 607

Fair Value Measurements - Uno70

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Fair Value, Inputs, Level 3 [Member]	Dec. 31, 2015	Dec. 31, 2014
Non-Agency RMBS - Senior [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	5.50%	4.70%
Non-Agency RMBS - Senior interest-only [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	13.10%	14.40%
Non-Agency RMBS - Subordinated [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	6.60%	5.80%
Non-Agency RMBS - Subordinated interest-only [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	17.40%	22.00%
Minimum [Member] | Non-Agency RMBS - Senior [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	1.00%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	35.00%	50.00%
Minimum [Member] | Non-Agency RMBS - Senior interest-only [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	3.00%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	1.00%	50.00%
Minimum [Member] | Non-Agency RMBS - Subordinated [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	1.00%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	5.00%	10.00%
Minimum [Member] | Non-Agency RMBS - Subordinated interest-only [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	6.00%	1.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	1.00%	50.00%
Maximum [Member] | Non-Agency RMBS - Senior [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	17.00%	12.00%
Significant unobservable input, default rate	22.00%	29.00%
Significant unobservable input, loss severity rate	95.00%	85.00%
Maximum [Member] | Non-Agency RMBS - Senior interest-only [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	25.00%	25.00%
Significant unobservable input, default rate	23.00%	32.00%
Significant unobservable input, loss severity rate	95.00%	85.00%
Maximum [Member] | Non-Agency RMBS - Subordinated [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	22.00%	16.00%
Significant unobservable input, default rate	20.00%	19.00%
Significant unobservable input, loss severity rate	91.00%	78.00%
Maximum [Member] | Non-Agency RMBS - Subordinated interest-only [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	13.00%	10.00%
Significant unobservable input, default rate	10.00%	14.00%
Significant unobservable input, loss severity rate	64.00%	65.00%

Fair Value Measurements - Uno71

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Fair Value, Inputs, Level 3 [Member] - Securitized Debt at Fair Value, Collateralized by Loans Held for Investment [Member]	Dec. 31, 2015	Dec. 31, 2014
Minimum [Member]
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	4.00%	3.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	35.00%	50.00%
Maximum [Member]
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	32.00%	8.00%
Significant unobservable input, default rate	6.00%	9.00%
Significant unobservable input, loss severity rate	65.00%	73.00%

Fair Value Measurements - Uno72

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Loans Held for Investment (Detail) - Fair Value, Inputs, Level 3 [Member] - Securitized Loans Held for Investment at Fair Value [Member] - Point	Dec. 31, 2015	Dec. 31, 2014
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Owner Occupied	96.00%	96.00%
Investor	4.00%	4.00%
Secondary	0.00%	0.00%
Single family	77.00%	79.00%
Manufactured housing	11.00%	15.00%
Multi-family/mixed use/other	12.00%	6.00%
Weighted Average [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
FICO	625	637
Loan-to-value (LTV)	81.00%	81.00%
Weighted Average [Member] | Clean [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.90%	6.60%
Weighted Average [Member] | Reperforming [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.70%	6.60%
Base Rate [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
FICO	620	620
Loan-to-value (LTV)	90.00%	90.00%
Base Rate [Member] | Clean [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	4.40%	4.40%
Base Rate [Member] | Reperforming [Member]
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.30%	5.30%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying And Fair Values (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized loans held for investment		$ 626,112
Securitized debt, collateralized by Non-Agency RMBS	$ (529,415)	(704,915)
Securitized debt, collateralized by loans held for investment		(521,997)
Fair Value [Member] | Fair Value, Inputs, Level 2 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	(7,466,409)	(8,473,836)
Fair Value [Member] | Fair Value, Inputs, Level 3 [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized loans held for investment		626,100
Securitized debt, collateralized by Non-Agency RMBS	(518,941)	(708,623)
Securitized debt, collateralized by loans held for investment		(514,851)
Carrying Amount [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized loans held for investment		626,112
Repurchase agreements	(7,439,339)	(8,455,381)
Securitized debt, collateralized by Non-Agency RMBS	$ (529,415)	(704,915)
Securitized debt, collateralized by loans held for investment		$ (521,997)

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Detail) - Repurchase Agreements [Member] - USD ($) $ in Millions	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2015
Short-term Debt [Line Items]
Description of variable interest rate			The interest rates of the Company's repurchase agreements are generally indexed to the one-month, three-month and twelve-month LIBOR rates and re-price accordingly.
Securities Pledged as Collateral [Member] | Credit Suisse First Boston [Member]
Short-term Debt [Line Items]
Weighted average maturity	25 days	156 days
Amount at risk	$ 303	$ 367	$ 303
Credit Concentration Risk [Member] | Stockholders' Equity, Total [Member] | Securities Pledged as Collateral [Member] | Credit Suisse First Boston [Member]
Short-term Debt [Line Items]
Collateral posted on repurchase agreements, percentage of equity	10.00%	10.00%

Repurchase Agreements Outstandi

Repurchase Agreements Outstanding, Weighted Average Borrowing Rates, Weighted Average Remaining Maturities, Average Daily Balances and the Fair Value of Collateral Pledged (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 7,439,339	$ 8,455,381
Repurchase Agreements [Member] | Agency MBS - Residential [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	5,324,729	7,422,040
Average daily balance	$ 5,776,980	$ 4,862,939
Weighted average borrowing rate	0.64%	0.44%
Weighted average maturity	53 days	94 days
Securities pledged as collateral	$ 5,655,410	$ 7,822,554
Repurchase Agreements [Member] | Non-Agency RMBS [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	2,114,610	1,033,341
Average daily balance	$ 1,627,909	$ 329,716
Weighted average borrowing rate	2.44%	1.98%
Weighted average maturity	137 days	146 days
Securities pledged as collateral	$ 3,117,875	$ 1,487,184
Repurchase Agreements [Member] | Mortgage-Backed Securities [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	7,439,339	8,455,381
Average daily balance	7,404,889	5,192,655
Securities pledged as collateral	$ 8,773,285	$ 9,309,738

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 7,439,339	$ 8,455,381
1 to 29 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	3,312,902	2,652,717
30 to 59 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	2,501,513	1,371,856
60 to 89 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	246,970	656,915
90 to 119 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	430,026	2,068,740
Greater than or equal to 120 days [Member]
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 947,928	$ 1,705,153

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Debt Instrument [Line Items]
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS										$ 56,072
Loss on extinguishment of debt	$ (8,906)	$ 19,915	$ (5,079)					$ 2,184	$ 5,930	2,184
Net unrealized gains (losses) on financial instruments at fair value	(69,793)	$ (40,955)	$ (37,260)	$ (10,425)	$ 9,812	$ 162,921	$ 5,791	$ 15,010	(158,433)	193,534	$ (44,277)
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member]
Debt Instrument [Line Items]
Principal balance of debt	$ 545,000				$ 727,000				$ 545,000	$ 727,000
Weighted average cost of financing	4.49%				4.28%				4.49%	4.28%
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member] | Minimum [Member]
Debt Instrument [Line Items]
Year the debt matures									2,035
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member] | Maximum [Member]
Debt Instrument [Line Items]
Year the debt matures									2,047
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Loans Held for Investment [Member]
Debt Instrument [Line Items]
Principal balance of debt	$ 3,800,000				$ 4,500,000				$ 3,800,000	$ 4,500,000
Weighted average cost of financing	3.24%				3.47%				3.24%	3.47%
Net unrealized gains (losses) on financial instruments at fair value									$ (39,000)	$ 26,000
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Loans Held for Investment [Member] | Minimum [Member]
Debt Instrument [Line Items]
Year the debt matures									2,023
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Loans Held for Investment [Member] | Maximum [Member]
Debt Instrument [Line Items]
Year the debt matures									2,065
Securitized Loans [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Non-Agency RMBS [Member]
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance										54,000
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS										56,000
Loss on extinguishment of debt										$ 2,000
Securitized Loans [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Loans Held for Investment [Member]
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance									$ 1,400,000
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS									1,400,000
Loss on extinguishment of debt									$ 6,000

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] - Securitized Loans [Member] - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014
Non-Agency RMBS [Member]
Debt Instrument [Line Items]
Within One Year	$ 137,642	$ 175,713
One to Three Years	178,191	220,995
Three to Five Years	60,872	112,779
Greater Than Five Years	52,280	96,266
Total	428,985	605,753
Loans Held for Investment [Member]
Debt Instrument [Line Items]
Within One Year	591,171	704,654
One to Three Years	941,704	1,206,241
Three to Five Years	734,291	828,196
Greater Than Five Years	1,502,663	1,577,368
Total	$ 3,769,829	$ 4,316,459

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans [Member] $ in Thousands	Dec. 31, 2015USD ($)
Debt Instrument, Redemption [Line Items]
2,016	$ 1,861,864
2,017	217,308
2,018	1,334,964
Total	$ 3,414,136

Variable Interest Entities - Na

Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member]
Variable Interest Entity [Line Items]
Assets	$ 7,031,278	$ 7,924,232
Liabilities	4,262,017	5,111,348
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 1,500,000	822,000
Variable interest entity, reporting entity involvement, maximum loss exposure determination methodology	The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date.
CSMC 2015-RPL4 Trust [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Seasoned Subprime Residential Mortgage Loans [Member]
Variable Interest Entity [Line Items]
Securities pledged as collateral	$ 295,000
Non-Agency RMBS [Member]
Variable Interest Entity [Line Items]
Unconsolidated VIEs, aggregate investment	1,500,000	931,000
Non-Agency RMBS [Member] | Minimum [Member]
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	1,000	1,000
Non-Agency RMBS [Member] | Maximum [Member]
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments	$ 54,000	$ 46,000

Variable Interest Entities - Ef

Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Jan. 01, 2015	Dec. 31, 2014
Assets
Non-Agency RMBS, at fair value	$ 3,675,841		$ 3,404,149
Securitized loans held for investment, net of allowance for loan losses			626,112
Securitized loans held for investment, at fair value	4,768,416	$ 5,306,501	4,699,215
Accrued interest receivable	66,247		71,099
Other assets	189,796		172,601
Liabilities
Securitized debt, collateralized by Non-Agency RMBS	529,415		704,915
Securitized debt, collateralized by loans held for investment			521,997
Securitized debt at fair value, collateralized by loans held for investment	3,720,496	$ 4,383,217	3,868,366
Accrued interest payable	37,432		31,888
Variable Interest Entity, Primary Beneficiary [Member]
Assets
Non-Agency RMBS, at fair value	2,140,494		2,473,467
Securitized loans held for investment, net of allowance for loan losses			626,112
Securitized loans held for investment, at fair value	4,768,416		4,699,215
Accrued interest receivable	35,916		39,558
Other assets	86,452		85,880
Liabilities
Securitized debt, collateralized by Non-Agency RMBS	529,415		704,915
Securitized debt, collateralized by loans held for investment			521,997
Securitized debt at fair value, collateralized by loans held for investment	3,720,496		3,868,366
Accrued interest payable	$ 12,106		$ 16,070

Variable Interest Entities - 82

Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Variable Interest Entity [Line Items]
Net interest income	$ 136,957	$ 143,966	$ 149,760	$ 182,689	$ 176,661	$ 151,469	$ 113,638	$ 98,242	$ 613,372	$ 540,010	$ 409,784
Total other-than-temporary impairment losses	(2,311)	(3,129)	(2,208)	(1,052)	(3,774)	(726)	(3,813)	(400)	(8,700)	(8,713)	(4,356)
Portion of loss recognized in other comprehensive income	(12,385)	(14,703)	(24,893)	(6,763)	(51,347)	(1,264)	(1,534)	(1,134)	(58,744)	(55,279)	(40,811)
Net other-than-temporary credit impairment losses	$ (14,696)	$ (17,832)	$ (27,101)	$ (7,815)	$ (55,121)	$ (1,990)	$ (5,347)	$ (1,534)	(67,444)	(63,992)	(45,167)
Variable Interest Entity, Primary Beneficiary [Member]
Variable Interest Entity [Line Items]
Total other-than-temporary impairment losses									(2,066)	(3,374)	(4,170)
Portion of loss recognized in other comprehensive income									(55,552)	(55,392)	(33,749)
Net other-than-temporary credit impairment losses									(57,618)	(58,766)	(37,919)
Variable Interest Entity, Primary Beneficiary [Member] | Non-Agency Residential Mortgage-Backed Securities and Securitized Loans [Member]
Variable Interest Entity [Line Items]
Interest income									575,715	428,992	371,559
Interest expense									(191,922)	(119,103)	(95,229)
Net interest income									$ 383,793	$ 309,889	$ 276,330

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($)	Dec. 31, 2015	Dec. 31, 2014
Derivatives, Fair Value [Line Items]
Derivative instruments - Notional amount outstanding	$ 6,086,600,000	$ 5,255,000,000
Derivative assets - Net estimated fair value/carrying value	15,460,000	3,631,000
Derivative liabilities - Net estimated fair value/carrying value	(9,634,000)	(14,177,000)
Interest Rate Swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments - Notional amount outstanding	4,555,400,000	3,573,000,000
Derivative assets - Net estimated fair value/carrying value	1,232,000
Derivative liabilities - Net estimated fair value/carrying value	(6,369,000)	(14,061,000)
Mortgage Options [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments - Notional amount outstanding		200,000,000
Derivative liabilities - Net estimated fair value/carrying value		(71,000)
Swaptions [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments - Notional amount outstanding	779,000,000	242,000,000
Derivative assets - Net estimated fair value/carrying value	12,821,000	2,889,000
Derivative liabilities - Net estimated fair value/carrying value	(3,265,000)	(45,000)
Treasury Futures [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments - Notional amount outstanding	752,200,000	1,240,000,000
Derivative assets - Net estimated fair value/carrying value	$ 1,407,000
Derivatives Excluding TBA Positions [Member]
Derivatives, Fair Value [Line Items]
Derivative assets - Net estimated fair value/carrying value		$ 2,889,000

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Derivative assets	$ 15,460	$ 3,631		$ 15,460
Realized gains (losses) on terminations of interest rate swaps				$ (98,949)
The weighted average pay rate on the Company's interest rate swaps	1.51%	2.26%	1.81%	1.51%
The weighted average receive rate on the Company's interest rate swaps	0.36%	0.24%	0.17%	0.36%
The weighted average maturity on the Company's interest rate swaps	4 years	6 years	2 years
Fair value of credit risk derivative instruments in a net liability position	$ 57,000			$ 57,000
Early Terminated Interest Rate Swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments terminated				$ 1,500,000
Early Terminated Interest Rate Swaps [Member] | Minimum [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments, maturity year				2,019
Early Terminated Interest Rate Swaps [Member] | Maximum [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments, maturity year				2,044
TBA Positions [Member]
Derivatives, Fair Value [Line Items]
Derivative assets		$ 742

Derivative Instruments - Effe85

Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands		3 Months Ended								12 Months Ended
		Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives										$ 67,385	$ (103,496)	$ 34,369
Net realized gains (losses) on derivatives										(83,073)	(82,852)	(7,713)
Net gains (losses) on derivatives		$ 44,546	$ (92,700)	$ 40,127	$ (106,610)	$ (125,936)	$ (10,177)	$ (42,289)	$ (7,946)	(114,637)	(186,348)	26,656
Other Derivative Assets [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net realized gains (losses) on derivatives										(415)	742
Interest Rate Swaps [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives										64,819	(84,913)	23,740
Net realized gains (losses) on derivatives	[1]									(146,173)	(52,523)	(21,857)
Mortgage Options [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives										225	340
Net realized gains (losses) on derivatives										443	7,505	12,115
Treasury Futures [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives										8,634	(17,856)	10,629
Net realized gains (losses) on derivatives										(35,523)	(38,552)	$ 2,029
Swaptions [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives										(6,294)	(1,067)
Net realized gains (losses) on derivatives										$ (353)	$ (24)
[1]	Includes loss on termination of interest rate swap of $99 million for the year ended December 31, 2015

Derivative Instruments - Effe86

Derivative Instruments - Effect on Consolidated Results (Parenthetical) (Detail) $ in Thousands	12 Months Ended
	Dec. 31, 2015USD ($)
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Realized gains (losses) on terminations of interest rate swaps	$ (98,949)

Common Stock - Narrative (Detai

Common Stock - Narrative (Detail)	Apr. 06, 2015shares	Dec. 31, 2015USD ($)$ / sharesshares	Sep. 30, 2015USD ($)$ / sharesshares	Dec. 31, 2015USD ($)$ / sharesshares	Dec. 31, 2014USD ($)$ / sharesshares	Dec. 31, 2013USD ($)$ / shares	Aug. 05, 2015USD ($)
Class of Stock [Line Items]
Reverse stock split ratio	0.2
Reverse stock split description				On March 12, 2015, The Company's board of directors approved a 1-for-5 reverse stock split of its common stock. The reverse stock split was effective after the close of trading on April 6, 2015, and the shares of the Company's common stock began trading on a reverse split-adjusted basis on the New York Stock Exchange beginning at the opening of trading on April 7, 2015.
Common stock, shares outstanding	206,000,000	187,711,868		187,711,868	205,546,144
Common stock, shares authorized	300,000,000	300,000,000		300,000,000	300,000,000
Stock repurchase program, authorized amount | $		$ 250,000,000		$ 250,000,000			$ 250,000,000
Number of shares repurchased		18,000,000	18,000,000
Repurchase price per share | $ / shares		$ 13.94	$ 13.94
Value of shares repurchased | $		$ 250,000,000	$ 250,000,000	250,000,000
Common dividends declared | $				$ 378,804,000	$ 369,855,000	$ 575,213,000
Common dividends declared, per share | $ / shares				$ 1.92	$ 1.80	$ 2.80
Previously Reported [Member]
Class of Stock [Line Items]
Common stock, shares outstanding	1,000,000,000
Common stock, shares authorized	1,500,000,000

Common Stock - Earnings Per Sha

Common Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Earnings Per Share [Abstract]
Net income	$ 115,380	$ (48,259)	$ 116,187	$ 67,042	$ 6,486	$ 377,580	$ 104,769	$ 100,368	$ 250,349	$ 589,205	$ 362,686
Effect of dilutive securities:									0	0	0
Dilutive net income available to stockholders									$ 250,349	$ 589,205	$ 362,686
Weighted average basic shares									199,563,196	205,450,095	205,418,876
Effect of dilutive securities									86,981	58,674	95,193
Weighted average dilutive shares									199,650,177	205,508,769	205,514,069
Net income per average share attributable to common stockholders - Basic	$ 0.61	$ (0.24)	$ 0.57	$ 0.33	$ 0.03	$ 1.85	$ 0.50	$ 0.49	$ 1.25	$ 2.87	$ 1.77
Net income per average share attributable to common stockholders - Diluted									$ 1.25	$ 2.87	$ 1.76

Accumulated Other Comprehensi89

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income, beginning balance	$ 1,046,680	$ 990,803
OCI before reclassifications	(263,049)	134,113	$ 23,807
Amounts reclassified from AOCI	(9,840)	(78,236)
Other comprehensive income (loss)	(272,889)	55,877	867
Accumulated other comprehensive income, ending balance	773,791	1,046,680	990,803
Unrealized gains (losses) on available-for-sale securities, net [Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income, beginning balance	1,046,680	990,803
OCI before reclassifications	(263,049)	134,113
Amounts reclassified from AOCI	(9,840)	(78,236)
Other comprehensive income (loss)	(272,889)	55,877
Accumulated other comprehensive income, ending balance	$ 773,791	$ 1,046,680	$ 990,803

Accumulated Other Comprehensi90

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 34,285	$ 3,539	$ 9,685	$ 29,565	$ 23,564	$ 64,107	$ (4,339)	$ 8,377	$ 77,074	$ 91,709	$ 68,107
Realized gain on deconsolidation	(256)						47,846		(256)	47,846
Net other-than-temporary credit impairment losses	(14,696)	(17,832)	(27,101)	(7,815)	(55,121)	(1,990)	(5,347)	(1,534)	(67,444)	(63,992)	(45,167)
Income (loss) before income taxes									250,350	589,207	362,688
Income taxes									(1)	(2)	(2)
Net of tax	$ 115,380	$ (48,259)	$ 116,187	$ 67,042	$ 6,486	$ 377,580	$ 104,769	$ 100,368	250,349	589,205	$ 362,686
Amounts Reclassified from Accumulated OCI [Member] | Unrealized gains (losses) on available-for-sale securities, net [Member]
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments									77,284	94,382
Realized gain on deconsolidation										47,846
Net other-than-temporary credit impairment losses									(67,444)	(63,992)
Income (loss) before income taxes									9,840	78,236
Income taxes									0	0
Net of tax									$ 9,840	$ 78,236

Equity Compensation, Employme91

Equity Compensation, Employment Agreements and other Benefit Plans - Additional Information (Detail)	Aug. 05, 2015shares	Feb. 02, 2015shares	Jan. 02, 2008shares	Feb. 25, 2016USD ($)shares	Dec. 31, 2015USD ($)AgreementInstallmentshares	Dec. 31, 2014USD ($)shares	Dec. 31, 2013USD ($)shares
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Number of employment agreements | Agreement					5
Equity-based compensation expense					$ 1,979,000	$ 956,000	$ 691,000
Grant date market value					$ 1,979,000	$ 953,000	$ 691,000
Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Granted shares | shares					84,692	44,579
Vested shares | shares					50,988	58,217
Unvested shares outstanding | shares	70,000				71,000	39,480	76,800
Share-based compensation expense					$ 1,000,000	$ 166,000	$ 324,000
Total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan					$ 1,000,000
Period over which unrecognized compensation costs related to non-vested share-based compensation is expected to be recognized					2 years
401(k) Plan [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Maximum annual contributions per employee, percent					25.00%
Expense related to qualified plan					$ 82,000	0	0
Subsequent Event [Member] | Executive Officers [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Grant date market value				$ 3,000,000
Subsequent Event [Member] | Restricted Stock [Member] | Executive Officers [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Granted shares | shares				266,000
Independent Directors [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Equity-based compensation expense					$ 975,000	740,000	$ 300,000
Independent Directors [Member] | Cash Retainer Received as Common Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Equity-based compensation expense						$ 320,000
Minimum [Member] | 401(k) Plan [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Employer matching contribution, percent of match					50.00%
Employer matching contribution, percent of employees' gross pay					2.00%
Maximum [Member] | 401(k) Plan [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Employer matching contribution, percent of match					100.00%
Employer matching contribution, percent of employees' gross pay					3.00%
FIDAC [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Granted shares | shares		84,700	260,200
Vested shares | shares	15,000
2007 Equity Incentive Plan [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Shares available for future grants | shares					7,600,000
2007 Equity Incentive Plan [Member] | Deferred Stock Units [Member] | Non-Employee Directors and Executive Officers [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Annual installments | Installment					5
2007 Equity Incentive Plan [Member] | Minimum [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period of restricted stock					2 years
2007 Equity Incentive Plan [Member] | Maximum [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period of restricted stock					10 years
Quarterly Vesting [Member] | FIDAC [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period of restricted stock			10 years
Vesting on Grant Date [Member] | FIDAC [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Percentage of stock awards vested		33.33%
Pro-rata Vesting [Member] | FIDAC [Member] | Restricted Stock [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period of restricted stock		2 years
Vesting Equally Beginning One Year from Grant Date [Member] | Subsequent Event [Member] | Restricted Stock [Member] | Executive Officers [Member]
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period of restricted stock				3 years

Equity Compensation, Employme92

Equity Compensation, Employment Agreements and Other Benefit Plans - Schedule of Restricted Stock Awards Activity (Detail) - Restricted Stock [Member] - $ / shares	Aug. 05, 2015	Dec. 31, 2015	Dec. 31, 2014
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Unvested shares outstanding - beginning of period, weighted average grant date fair value		$ 88.60	$ 88.60
Granted shares, weighted average grant date fair value		15.35	16.60
Vested shares, weighted average grant date fair value		88.60	88.60
Forfeited shares, weighted average grant date fair value		88.60	88.60
Unvested shares outstanding - end of period, weighted average grant date fair value		$ 28.39	$ 88.60
Unvested shares outstanding - beginning of period		39,480	76,800
Granted shares		84,692	44,579
Vested shares		(50,988)	(58,217)
Forfeited shares		(2,184)	(23,682)
Unvested shares outstanding - end of period	70,000	71,000	39,480

Income Taxes - Narrative (Detai

Income Taxes - Narrative (Detail) - USD ($)	12 Months Ended
	Dec. 31, 2015	Dec. 31, 2014
Income Taxes [Line Items]
Minimum percentage of taxable income that must be distributed to maintain REIT status	90.00%
Deferred tax asset recorded	$ 4,000,000	$ 0
Deferred tax asset related to cumulative net operating losses	3,000,000
Deferred tax asset related to other losses	1,000,000
Valuation allowance	$ 4,000,000	$ 0
U.S. federal, state and local tax authorities [Member] | Earliest Tax Year [Member]
Income Taxes [Line Items]
Years open to tax examination	2,012
U.S. federal, state and local tax authorities [Member] | Latest Tax Year [Member]
Income Taxes [Line Items]
Years open to tax examination	2,014

Credit Risk and Interest Rate94

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands		Dec. 31, 2015	Dec. 31, 2014
Offsetting Assets and Liabilities [Line Items]
Repurchase Agreements, Gross Amounts of Recognized Assets (Liabilities)		$ (7,439,339)	$ (8,455,381)
Repurchase Agreements, Gross Amounts Offset in the Consolidated Statements of Financial Position		0	0
Repurchase Agreements, Net Amounts Offset in the Consolidated Statements of Financial Position		(7,439,339)	(8,455,381)
Repurchase Agreements, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		8,773,285	9,309,738
Repurchase Agreements, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	[1]	37,296
Repurchase Agreements, Net Amount		1,371,242	854,357
Total, Gross Amounts of Recognized Assets (Liabilities)		(7,475,795)	(8,573,432)
Total, Gross Amounts Offset in the Consolidated Statements of Financial Position		42,282	106,763
Total, Net Amounts Offset in the Consolidated Statements of Financial Position		(7,433,513)	(8,466,669)
Total, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		8,781,874	9,329,078
Total, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	[1]	95,140	77,391
Total, Net Amount		1,443,501	939,800
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position		15,460	3,631
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position		(9,634)	(14,177)
Interest Rate Swaps [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Assets, Gross Amounts of Recognized Assets		6,166
Derivative Assets, Gross Amounts Offset in the Consolidated Statements of Financial Position		(4,934)
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position		1,232
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Derivative Assets, Net Amount		1,232
Derivative Liabilities, Gross Amounts of Recognized Liabilities		(53,777)	(113,597)
Derivative Liabilities, Gross Amounts Offset in the Consolidated Statements of Financial Position		47,408	99,536
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position		(6,369)	(14,061)
Derivative Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		8,589	19,340
Derivative Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	[1]	51,424	64,796
Derivative Liabilities, Net Amount		53,644	70,075
Swaptions [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Assets, Gross Amounts of Recognized Assets		12,821	2,889
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position		12,821	2,889
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0	0
Derivative Assets, Net Amount		12,821	2,889
Derivative Liabilities, Gross Amounts of Recognized Liabilities		(3,265)	(45)
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position		(3,265)	(45)
Derivative Liabilities, Net Amount		(3,265)	(45)
Treasury Futures [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Assets, Gross Amounts of Recognized Assets		1,599
Derivative Assets, Gross Amounts Offset in the Consolidated Statements of Financial Position		(192)
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position		1,407
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	[1]	6,420
Derivative Assets, Net Amount		$ 7,827
Derivative Liabilities, Gross Amounts of Recognized Liabilities			(7,227)
Derivative Liabilities, Gross Amounts Offset in the Consolidated Statements of Financial Position			7,227
Derivative Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	[1]		12,595
Derivative Liabilities, Net Amount			12,595
Mortgage Options [Member]
Offsetting Assets and Liabilities [Line Items]
Derivative Liabilities, Gross Amounts of Recognized Liabilities			(71)
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position			(71)
Derivative Liabilities, Net Amount			$ (71)
[1]	Included in other assets

Management Agreement - Narrativ

Management Agreement - Narrative (Detail) - USD ($)	Aug. 05, 2015	Aug. 08, 2014	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2015
Related Party Transaction [Line Items]
Management fees			$ 24,609,000	$ 32,514,000	$ 25,952,000
FIDAC [Member]
Related Party Transaction [Line Items]
Management agreement termination fee	$ 0
Rate per annum used for calculating the quarterly management fee due FIDAC		0.75%				1.20%
Management fees			24,609,000	32,514,000	25,952,000
Reimbursements received from Manager			7,000,000	32,000,000	$ 7,000,000
FIDAC [Member] | Total Other Expenses [Member]
Related Party Transaction [Line Items]
One time payment from FIDAC				$ 24,000,000
FIDAC [Member] | Contract Termination [Member] | General and Administrative Expenses [Member]
Related Party Transaction [Line Items]
Transition services expenses			$ 7,000,000

Subsequent Events - Additional

Subsequent Events - Additional Information (Detail) - USD ($)	2 Months Ended
	Feb. 25, 2016	Dec. 31, 2015	Aug. 05, 2015
Subsequent Event [Line Items]
Stock repurchase program, authorized amount		$ 250,000,000	$ 250,000,000
Expected Recovery [Member]
Subsequent Event [Line Items]
Expected recovery related to accounting for Non-Agency RMBS and restatements to be characterized as taxable income in 2016		$ 95,000,000
Subsequent Event [Member]
Subsequent Event [Line Items]
Stock repurchase program, authorized amount	$ 350,000,000
Increase in authorized Amount	$ 100,000,000

Summarized Quarterly Results 97

Summarized Quarterly Results (Unaudited) (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2014	Sep. 30, 2014	Jun. 30, 2014	Mar. 31, 2014	Dec. 31, 2015		Dec. 31, 2014		Dec. 31, 2013
Net Interest Income:
Interest income	$ 201,912	$ 211,876	$ 215,804	$ 243,145	$ 242,455	$ 190,355	$ 134,318	$ 120,667	$ 872,737	[1]	$ 687,795	[1]	$ 511,783	[1]
Interest expense	64,955	67,910	66,044	60,456	65,794	38,886	20,680	22,425	259,365	[2]	147,785	[2]	101,999	[2]
Net interest income	136,957	143,966	149,760	182,689	176,661	151,469	113,638	98,242	613,372		540,010		409,784
Other-than-temporary impairments:
Total other-than-temporary impairment losses	(2,311)	(3,129)	(2,208)	(1,052)	(3,774)	(726)	(3,813)	(400)	(8,700)		(8,713)		(4,356)
Portion of loss recognized in other comprehensive income	(12,385)	(14,703)	(24,893)	(6,763)	(51,347)	(1,264)	(1,534)	(1,134)	(58,744)		(55,279)		(40,811)
Net other-than-temporary credit impairment losses	(14,696)	(17,832)	(27,101)	(7,815)	(55,121)	(1,990)	(5,347)	(1,534)	(67,444)		(63,992)		(45,167)
Net gains (losses) on derivatives	44,546	(92,700)	40,127	(106,610)	(125,936)	(10,177)	(42,289)	(7,946)	(114,637)		(186,348)		26,656
Net unrealized gains (losses) on financial instruments at fair value	(69,793)	(40,955)	(37,260)	(10,425)	9,812	162,921	5,791	15,010	(158,433)		193,534		(44,277)
Gain (loss) on deconsolidation	(256)						47,846		(256)		47,846
Gain (loss) on Extinguishment of Debt	8,906	(19,915)	5,079					(2,184)	(5,930)		(2,184)
Net realized gains (losses) on sales of investments	34,285	3,539	9,685	29,565	23,564	64,107	(4,339)	8,377	77,074		91,709		68,107
Total other expenses	24,569	24,362	24,103	20,362	22,494	(11,250)	10,531	9,597	93,396		31,368		34,099
Net income	$ 115,380	$ (48,259)	$ 116,187	$ 67,042	$ 6,486	$ 377,580	$ 104,769	$ 100,368	$ 250,349		$ 589,205		$ 362,686
Net income per share-basic	$ 0.61	$ (0.24)	$ 0.57	$ 0.33	$ 0.03	$ 1.85	$ 0.50	$ 0.49	$ 1.25		$ 2.87		$ 1.77
[1]	Includes interest income of consolidated VIEs of $575,715, $428,992 and $371,559 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.
[2]	Includes interest expense of consolidated VIEs of $191,922, $119,103 and $95,229 for the years ended December 31, 2015, 2014, and 2013 respectively. See Note 8 for further discussion.