Chimera Investment (CIM) 10-Q 4 Aug 16 2016 Q2 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2016	Jul. 29, 2016
Document And Entity Information [Abstract]
Entity Registrant Name	CHIMERA INVESTMENT CORP
Trading Symbol	CIM
Entity Central Index Key	1,409,493
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Document Type	10-Q
Document Period End Date	Jun. 30, 2016
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus	Q2
Amendment Flag	false
Entity Common Stock, Shares Outstanding (shares)		187,729,765

Consolidated Statements of Fina

Consolidated Statements of Financial Condition - USD ($) $ in Thousands		Jun. 30, 2016	Dec. 31, 2015
Assets:
Cash and cash equivalents		$ 67,421	$ 114,062
Non-Agency RMBS, at fair value		3,491,480	3,675,841
Agency MBS, at fair value		4,481,503	6,514,824
Securitized loans held for investment, at fair value		9,212,204	4,768,416
Accrued interest receivable		109,644	66,247
Other assets		225,155	189,796
Derivatives, at fair value, net		2,832	15,460
Total assets		17,590,239	15,344,646
Liabilities:
Repurchase agreements, MBS ($7.3 billion and $8.8 billion pledged as collateral, respectively)		5,856,263	7,439,339
Securitized debt, collateralized by Non-Agency RMBS ($2.0 billion and $2.1 billion pledged as collateral, respectively)		424,596	529,415
Securitized debt at fair value, collateralized by loans held for investment ($9.2 billion and $4.8 billion pledged as collateral, respectively)		7,534,277	3,720,496
Payable for investments purchased		642,169	560,641
Accrued interest payable		60,171	37,432
Dividends payable		90,504	90,097
Accounts payable and other liabilities		10,257	11,404
Derivatives, at fair value		8,922	9,634
Total liabilities	[1]	14,627,159	12,398,458
Commitments and Contingencies (See Note 15)
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, 187,729,765 and 187,711,868 shares issued and outstanding, respectively		1,877	1,877
Additional paid-in-capital		3,367,322	3,366,568
Accumulated other comprehensive income		907,173	773,791
Accumulated deficit		(1,313,292)	(1,196,048)
Total stockholders' equity		2,963,080	2,946,188
Total liabilities and stockholders' equity		$ 17,590,239	$ 15,344,646
[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 Corporation). As of June 30, 2016 and December 31, 2015, total assets of consolidated VIEs were $11,401,484 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $7,997,605 and $4,262,017, respectively. See Note 8 for further discussion.

Consolidated Statements of Fin3

Consolidated Statements of Financial Condition (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Preferred Stock, par value (usd per share)	$ 0.01	$ 0.01
Preferred Stock, shares authorized (shares)	100,000,000	100,000,000
Preferred Stock, shares issued (shares)	0	0
Preferred Stock, shares outstanding (shares)	0	0
Common stock, par value (usd per share)	$ 0.01	$ 0.01
Common stock, shares authorized (shares)	300,000,000	300,000,000
Common stock, shares issued (shares)	187,729,765	187,711,868
Common stock, shares outstanding (shares)	187,729,765	187,711,868
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral	$ 7,315,756	$ 8,773,285
Repurchase Agreements | Non-agency MBS
Securities pledged as collateral	3,677,909	3,117,875
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Assets	11,401,484	7,031,278
Liabilities	7,997,605	4,262,017
Securitized Loans | Non-agency MBS
Securities pledged as collateral	2,000,000	2,100,000
Securitized Loans | Securitized Loans Held for Investment at Fair Value
Securities pledged as collateral	$ 9,200,000	$ 4,800,000

Consolidated Statements of Oper

Consolidated Statements of Operations and Comprehensive Income - USD ($) $ in Thousands		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Net Interest Income:
Interest income	[1]	$ 221,096	$ 215,804	$ 422,293	$ 458,949
Interest expense	[2]	83,227	66,044	146,208	126,500
Net interest income		137,869	149,760	276,085	332,449
Other-than-temporary impairments:
Total other-than-temporary impairment losses			(2,208)		(3,260)
Portion of loss recognized in other comprehensive income			(24,893)		(31,656)
Net other-than-temporary credit impairment losses			(27,101)	(31,633)	(34,916)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		22,100	88,028	(79,010)	92,083
Realized gains (losses) on terminations of interest rate swaps		(60,158)	(31,124)	(60,616)	(99,703)
Net realized gains (losses) on derivatives		(9,697)	(16,777)	(44,666)	(58,863)
Net gains (losses) on derivatives		(47,755)	40,127	(184,292)	(66,483)
Net unrealized gains (losses) on financial instruments at fair value		30,347	(37,260)	47,218	(47,685)
Net realized gains (losses) on sales of investments		6,631	9,685	3,956	39,250
Gains (losses) on Extinguishment of Debt		0	5,079	(1,766)	5,079
Total other gains (losses)		(10,777)	17,631	(134,884)	(69,839)
Other income:
Other income		0	0	95,000	0
Total other income		0	0	95,000	0
Other expenses:
Management fees		0	10,196	0	20,522
Expense recoveries from Manager		0	(4,652)	0	(5,765)
Net management fees		0	5,544	0	14,757
Compensation and benefits		6,954	36	12,176	508
General and administrative expenses		4,238	9,224	8,741	13,513
Servicing Fees of consolidated VIEs		7,773	6,388	13,351	12,776
Deal Expenses		13,022	2,911	13,022	2,911
Total other expenses		31,987	24,103	47,290	44,465
Income (loss) before income taxes		74,150	116,187	157,278	183,229
Income taxes		23	0	52	1
Net income (loss)		$ 74,127	$ 116,187	$ 157,226	$ 183,228
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 0.39	$ 0.57	$ 0.84	$ 0.89
Diluted (usd per share)		$ 0.39	$ 0.57	$ 0.84	$ 0.89
Weighted average number of common shares outstanding:
Basic (shares)		187,729,765	205,492,089	187,726,618	205,509,782
Diluted (shares)		187,925,046	205,579,639	187,882,614	205,573,297
Dividends declared per share of common stock (usd per share)		$ 0.48	$ 0.48	$ 1.46	$ 0.96
Comprehensive income (loss):
Net income (loss)		$ 74,127	$ 116,187	$ 157,226	$ 183,228
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net		53,015	(117,742)	112,423	(137,654)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses		20,955	27,101	31,633	34,916
Reclassification adjustment for net realized losses (gains) included in net income		(9,062)	(10,059)	(10,674)	(39,135)
Other comprehensive income (loss)		64,908	(100,700)	133,382	(141,873)
Comprehensive income (loss)		$ 139,035	$ 15,487	$ 290,608	$ 41,355
[1]	Includes interest income of consolidated VIEs of $160,885 and $146,900 for the quarters ended June 30, 2016 and 2015, respectively and interest income of consolidated VIEs of $292,865 and $297,518 for the six months ended June 30, 2016 and 2015, respectively. See Note 8 for further discussion.
[2]	Includes interest expense of consolidated VIEs of $58,772 and $50,426 for the quarters ended June 30, 2016 and 2015, respectively and interest expense of consolidated VIEs of $98,022 and $97,179 for the six months ended June 30, 2016 and 2015, respectively. See Note 8 for further discussion.

Consolidated Statements of Ope5

Consolidated Statements of Operations and Comprehensive Income (Parenthetical) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Interest income, Assets of consolidated VIEs	$ 160,885	$ 146,900	$ 292,865	$ 297,518
Interest expense, Non-recourse liabilities of VIEs	$ 58,772	$ 50,426	$ 98,022	$ 97,179

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	Accumulated Deficit
Beginning Balance at Dec. 31, 2014		$ 3,607,690	$ 2,054	$ 3,614,412	$ 1,046,680	$ (1,055,456)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)		183,228				183,228
Cumulative effect of accounting change	[1]	(12,137)				(12,137)
Other comprehensive income (loss)		(141,873)			(141,873)
Stock based compensation		496	2	494
Common dividends declared		(197,339)				(197,339)
Ending Balance at Jun. 30, 2015		3,440,065	2,056	3,614,906	904,807	(1,081,704)
Beginning Balance at Dec. 31, 2015		2,946,188	1,877	3,366,568	773,791	(1,196,048)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)		157,226
Other comprehensive income (loss)		133,382			133,382
Stock based compensation		754	0	754
Common dividends declared		(274,470)				(274,470)
Ending Balance at Jun. 30, 2016		$ 2,963,080	$ 1,877	$ 3,367,322	$ 907,173	$ (1,313,292)
[1]	Adoption of ASU No. 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity.

Consolidated Statements of Cash

Consolidated Statements of Cash Flows - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015
Cash Flows From Operating Activities:
Net income	$ 157,226	$ 183,228
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	4,349	(10,026)
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	5,019	2,689
Amortization of swaption premium	3,280	0
Net unrealized losses (gains) on derivatives	79,010	(92,083)
Proceeds (payments) for derivative sales and settlements	0	(11,831)
Margin (paid) received on derivatives	(72,901)	107,462
Net unrealized losses (gains) on financial instruments at fair value	(47,218)	47,685
Net realized losses (gains) on sales of investments	(3,956)	(39,250)
Net other-than-temporary credit impairment losses	31,633	34,916
(Gain) loss on extinguishment of debt	1,766	(5,079)
Equity-based compensation expense	754	496
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	(43,397)	(485)
Decrease (increase) in other assets	(35,360)	(19,691)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	11,195	(1,596)
Increase (decrease) in investment management fees and expenses payable to affiliate	0	(75)
Increase (decrease) in accrued interest payable, net	22,837	(4,030)
Net cash provided by (used in) operating activities	114,237	192,330
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	(1,986,238)	1,747,780
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	19,984,492	24,571,022
Payments on repurchase agreements	(21,567,569)	(26,212,572)
Proceeds from securitized debt borrowings, collateralized by loans held for investment	4,180,227	485,112
Payments on securitized debt borrowings, collateralized by loans held for investment	(395,027)	(626,016)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(102,701)	(81,583)
Common dividends paid	(274,062)	(191,145)
Net cash provided by (used in) financing activities	1,825,360	(2,055,182)
Net increase (decrease) in cash and cash equivalents	(46,641)	(115,072)
Cash and cash equivalents at beginning of period	114,062	164,620
Cash and cash equivalents at end of period	67,421	49,548
Supplemental disclosure of cash flow information:
Interest received	383,245	448,438
Interest paid	118,450	133,219
Management fees and expenses paid	0	20,597
Non-cash investing activities:
Payable for investments purchased	642,169	457,484
Net change in unrealized gain (loss) on available-for sale securities	133,382	(141,873)
Non-cash financing activities:
Common dividends declared, not yet paid	90,504	98,677
Agency MBS - Residential
Cash Flows From Investing Activities:
Purchases	(669,335)	(3,197,685)
Sales	2,555,162	4,653,668
Principal payments	308,791	681,784
Non-agency MBS
Cash Flows From Investing Activities:
Purchases	(114,227)	(745,330)
Sales	67,256	109,999
Principal payments	279,560	169,027
Securitized Loans
Cash Flows From Investing Activities:
Purchases	(4,745,083)	(281,811)
Principal payments	$ 331,638	$ 358,128

Organization

Organization	6 Months Ended
	Jun. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	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 seven wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC (“CIM Trading”), a TRS formed in July 2010; Chimera Funding TRS LLC (“CIM Funding TRS”), a TRS formed in October 2013, Chimera CMBS Whole Pool LLC formed in March 2015; and Chimera Insurance Company, LLC formed in July 2015 and Chimera RR Holdings LLC formed in April 2016. Until August 5, 2015, the Company was externally managed by Fixed Income Discount Advisory Company (“FIDAC” or “Manager”), 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 terminated the Management Agreement.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	6 Months Ended
	Jun. 30, 2016
Accounting Policies [Abstract]
Summary of the Significant Accounting Policies	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 period amounts have been reclassified to conform to the current period's presentation. 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 security 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 holder of the security 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 June 30, 2016 and December 31, 2015 . (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: (1) 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; and (2) 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 Interest Only 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 (“ASC 325-40”). The Company accounts for IO MBS strips at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations and Comprehensive Income. 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 MBS 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 (“ASC 310-20”) is applied to the recognition of interest income for the following securities: • 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; and 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 (“ASC 310-30”) or ASC 325-40 (referred to hereafter as “Non-Agency RMBS Not of High 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; and 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 rate 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 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. 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. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned subprime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned subprime 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 subprime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. 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. 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 June 30, 2016 and December 31, 2015 was $16 million and $18 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. The Securitized debt, collateralized by loans held for investment, is carried at fair value. 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. 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 $293 million and $245 million as of June 30, 2016 and December 31, 2015 . 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 $142 million and $273 million as of June 30, 2016 and December 31, 2015 . Interest income reported on all IO MBS securities was $11 million and $12 million for the quarters ended June 30, 2016 and 2015 , respectively. Interest income reported on all IO MBS securities was $23 million and $25 million for the six months ended June 30, 2016 and 2015 , respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in Non-Agency RMBS which we refer to as the overcollateralization classes. 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 Non-Agency RMBS investments is highly subjective 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 $17 million and $20 million as of June 30, 2016 and December 31, 2015 , respectively. Securitized Loans Held for Investment: The Company’s securitized loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries securitized loans held for investment at fair value as it may resecuritize these loans 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. 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. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the 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. Changes in fair value of securitized debt, collateralized by 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, whereby 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. (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 generally 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 June 30, 2016 or 2015 . (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

Mortgage-Backed Securities

Mortgage-Backed Securities	6 Months Ended
	Jun. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	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. June 30, 2016 (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 $ 3,398,933 $ 251 $ (1,503,999 ) $ 1,895,185 $ 2,620,907 $ 728,950 $ (3,228 ) $ 725,722 Senior, interest-only 5,693,428 295,094 — 295,094 280,868 28,130 (42,356 ) $ (14,226 ) Subordinated 718,917 21,200 (235,506 ) 504,613 577,152 79,999 (7,460 ) $ 72,539 Subordinated, interest-only 274,357 14,527 — 14,527 12,553 83 (2,057 ) $ (1,974 ) Agency MBS Residential 2,833,811 142,459 — 2,976,270 3,029,836 53,860 (294 ) $ 53,566 Commercial 1,226,725 34,279 (2,720 ) 1,258,284 1,309,644 51,716 (356 ) $ 51,360 Interest-only 3,077,732 148,132 — 148,132 142,023 2,320 (8,429 ) $ (6,109 ) Total $ 17,223,903 $ 655,942 $ (1,742,225 ) $ 7,092,105 $ 7,972,983 $ 945,058 $ (64,180 ) $ 880,878 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 ) Total $ 22,845,276 $ 868,410 $ (1,814,615 ) $ 9,465,640 $ 10,190,665 $ 867,512 $ (142,490 ) $ 725,022 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 Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) (dollars in thousands) Balance at beginning of period $ 1,726,541 $ 1,536,862 $ 1,742,744 $ 1,534,497 Purchases 22,417 23,872 42,600 108,625 Accretion (35,054 ) (71,005 ) (71,407 ) (140,710 ) Reclassification (to) from non-accretable difference 27,492 211,625 27,459 218,807 Sales and deconsolidation (26,804 ) (3,031 ) (26,804 ) (22,896 ) Balance at end of period $ 1,714,592 $ 1,698,323 $ 1,714,592 $ 1,698,323 The table below presents the outstanding principal balance and related amortized cost at June 30, 2016 and December 31, 2015 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Quarter Ended For the Year Ended June 30, 2016 December 31, 2015 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,490,858 $ 3,325,335 End of period $ 3,343,812 $ 3,550,698 Amortized cost: Beginning of period $ 1,937,419 $ 1,741,780 End of period $ 1,806,344 $ 1,958,726 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 June 30, 2016 and December 31, 2015 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d). June 30, 2016 (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 $ 79,539 $ (2,398 ) 7 $ 34,101 $ (830 ) 4 $ 113,640 $ (3,228 ) 11 Senior, interest-only 41,280 (5,185 ) 43 87,910 (37,171 ) 73 129,190 (42,356 ) 116 Subordinated 32,097 (3,463 ) 10 2,423 (3,997 ) 7 34,520 (7,460 ) 17 Subordinated, interest-only — — — 11,442 (2,057 ) 3 11,442 (2,057 ) 3 Agency MBS Residential 2,329 (23 ) 6 58,506 (271 ) 1 60,835 (294 ) 7 Commercial 45,955 (20 ) 3 55,431 (336 ) 35 101,386 (356 ) 38 Interest-only 33,846 (1,408 ) 17 29,826 (7,021 ) 8 63,672 (8,429 ) 25 Total $ 235,046 $ (12,497 ) 86 $ 279,639 $ (51,683 ) 131 $ 514,685 $ (64,180 ) 217 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 At June 30, 2016 , 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 June 30, 2016 . Gross unrealized losses on the Company’s Agency residential and commercial MBS were $1 million and $60 million as of June 30, 2016 and December 31, 2015 , respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency 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 June 30, 2016 and December 31, 2015 , unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency IO MBS strips which are reported at fair value with changes in fair value recorded in earnings) were $11 million and $16 million at June 30, 2016 and December 31, 2015 , 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 quarters and six months ended June 30, 2016 and 2015 is presented below. For the Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) Total other-than-temporary impairment losses $ (3,139 ) $ (2,208 ) $ (7,562 ) $ (3,260 ) Portion of loss recognized in other comprehensive income (loss) (17,816 ) (24,893 ) (24,071 ) (31,656 ) Net other-than-temporary credit impairment losses $ (20,955 ) $ (27,101 ) $ (31,633 ) $ (34,916 ) 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 Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) Cumulative credit loss beginning balance $ 539,376 $ 513,886 $ 529,112 $ 507,548 Additions: Other-than-temporary impairments not previously recognized 627 18,455 10,953 26,270 Reductions for securities sold or deconsolidated during the period (4,018 ) (415 ) (4,260 ) (1,734 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 20,327 8,646 20,679 8,646 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (10,125 ) (12,024 ) (10,297 ) (12,182 ) Cumulative credit impairment loss ending balance $ 546,187 $ 528,548 $ 546,187 $ 528,548 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 Six Months Ended June 30, 2016 June 30, 2015 Loss Severity Weighted Average 64% 66% Range 44% - 85% 17% - 96% 60+ days delinquent Weighted Average 21% 23% Range 0% - 40% 2% - 41% Credit Enhancement (1) Weighted Average 23% 8% Range 0% - 100% 0% - 27% 3 Month CPR Weighted Average 5% 9% Range 0% - 19% 3% - 27% 12 Month CPR Weighted Average 4% 9% Range 4% - 21% 3% - 20% (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 June 30, 2016 and December 31, 2015 . 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 June 30, 2016 , IO MBS had a net unrealized loss of $22 million and had an amortized cost of $458 million . At December 31, 2015 , IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million . The fair value of IOs at June 30, 2016 and December 31, 2015 was $435 million , and $519 million , respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations and Comprehensive Income. June 30, 2016 (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 $ 728,950 $ — $ 728,950 $ (3,228 ) $ — $ (3,228 ) Senior, interest-only — 28,130 28,130 — (42,356 ) (42,356 ) Subordinated 76,632 3,367 79,999 (90 ) (7,370 ) (7,460 ) Subordinated, interest-only — 83 83 — (2,057 ) (2,057 ) Agency MBS Residential 53,860 — 53,860 (294 ) — (294 ) Commercial 51,716 — 51,716 (356 ) — (356 ) Interest-only — 2,320 2,320 — (8,429 ) (8,429 ) Total $ 911,158 $ 33,900 $ 945,058 $ (3,968 ) $ (60,212 ) $ (64,180 ) 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 ) 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 June 30, 2016 and December 31, 2015 . June 30, 2016 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 $ 3,398,933 $ 55.76 $ 77.11 4.0 % 15.6 % Senior, interest-only 5,693,428 5.18 4.93 1.6 % 13.3 % Subordinated 718,917 70.19 80.28 3.2 % 10.2 % Subordinated, interest-only 274,357 5.30 4.58 1.1 % 11.3 % Agency MBS Residential pass-through 2,833,811 105.03 106.92 3.9 % 2.6 % Commercial pass-through 1,226,725 102.57 106.76 3.5 % 3.0 % Interest-only 3,077,732 4.81 4.61 0.9 % 4.1 % (1)Bond Equivalent Yield at period end. 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. The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 AAA 0.4 % 0.5 % AA 0.3 % 0.4 % A 0.7 % 0.8 % BBB 0.3 % 0.4 % BB 5.0 % 5.2 % B 3.0 % 3.0 % Below B or not rated 90.3 % 89.7 % 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 June 30, 2016 and December 31, 2015 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. June 30, 2016 (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 $ 14,324 $ 445,999 $ 1,446,340 $ 714,244 $ 2,620,907 Senior interest-only 910 42,991 127,901 109,066 280,868 Subordinated 2,337 114,158 216,059 244,598 577,152 Subordinated interest-only — — 12,553 — 12,553 Agency MBS Residential — 2,654,390 375,446 — 3,029,836 Commercial — 16,662 30,378 1,262,604 1,309,644 Interest-only — 83,403 52,900 5,720 142,023 Total fair value $ 17,571 $ 3,357,603 $ 2,261,577 $ 2,336,232 $ 7,972,983 Amortized cost Non-Agency RMBS Senior $ 10,595 $ 351,042 $ 1,052,222 $ 481,326 $ 1,895,185 Senior interest-only 1,990 57,640 129,958 105,506 295,094 Subordinated 2,319 87,641 173,964 240,689 504,613 Subordinated interest-only — — 14,527 — 14,527 Agency MBS Residential — 2,619,298 356,972 — 2,976,270 Commercial — 16,678 28,835 1,212,771 1,258,284 Interest-only — 84,137 58,511 5,484 148,132 Total amortized cost $ 14,904 $ 3,216,436 $ 1,814,989 $ 2,045,776 $ 7,092,105 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 $ 2,121,061 $ 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 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) the FICO scores are greater than 720 and RMBS have 30% or less of the underlying collateral composed of full documentation loans. At June 30, 2016 and December 31, 2015 , 68% and 64% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At June 30, 2016 and December 31, 2015 , 16% and 17% of the Non-Agency RMBS collateral was classified as prime, respectively. The remaining Non-Agency RMBS collateral is classified as subprime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 Weighted average maturity (years) 21.7 22.0 Weighted average amortized loan to value (1) 67.2 % 67.9 % Weighted average FICO (2) 674 671 Weighted average loan balance (in thousands) $ 320 $ 330 Weighted average percentage owner occupied 82.8 % 82.7 % Weighted average percentage single family residence 65.5 % 65.9 % Weighted average current credit enhancement 2.3 % 2.4 % Weighted average geographic concentration of top four states CA 31.0 % CA 30.4 % FL 7.9 % FL 8.0 % NY 7.9 % NY 8.0 % NJ 2.6 % NJ 2.5 % (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 June 30, 2016 and December 31, 2015 . Origination Year June 30, 2016 December 31, 2015 1999 0.1 % 0.1 % 2000 0.5 % 0.6 % 2001 1.5 % 1.6 % 2002 0.5 % 0.5 % 2003 1.8 % 2.2 % 2004 4.3 % 3.7 % 2005 20.9 % 21.7 % 2006 35.7 % 32.9 % 2007 32.3 % 34.2 % 2008 1.9 % 1.9 % 2013 0.4 % 0.5 % 2014 0.1 % 0.1 % 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 quarters ended June 30, 2016 and 2015 are as follows: For the Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) Proceeds from sales $ 2,368,724 $ 995,718 $ 2,639,203 $ 3,237,335 Gross realized gains 11,482 11,099 13,176 41,395 Gross realized losses (4,851 ) (1,414 ) (9,220 ) (2,145 ) Net realized gain (loss) $ 6,631 $ 9,685 $ 3,956 $ 39,250 Included in the gross realized gains for the quarter and six months ended June 30, 2016 in the table above are exchanges of securities with a fair value of $17 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 loss of $259 thousand reflected in earnings for the quarter and six months ended June 30, 2016 . For the quarter and six months ended June 30, 2015 , the fair value of these exchanges of securities was $8 million and $ 15 million , respectively and resulted in a realized gain of $1 million and $4 million , respectively.

Securitized Loans Held for Inve

Securitized Loans Held for Investment	6 Months Ended
	Jun. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Securitized Loans Held for Investment	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 subprime residential mortgages. At June 30, 2016 , all securitized loans held for investment are carried at fair value. See Note 5 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. The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at June 30, 2016 and December 31, 2015 : For the Six Months Ended For the Year Ended June 30, 2016 December 31, 2015 (dollars in thousands) Balance, beginning of period $ 4,768,416 $ 5,306,501 Purchases 4,745,083 577,036 Principal paydowns (331,638 ) (707,996 ) Sales and settlements 2,100 (9,638 ) Net periodic accretion (amortization) (16,895 ) (19,100 ) Change in fair value 45,138 (90,581 ) Transfer due to deconsolidation — (287,806 ) Balance, end of period $ 9,212,204 $ 4,768,416 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 June 30, 2016 December 31, 2015 2004 0.2 % 0.1 % 2007 8.2 % 8.5 % 2008 8.1 % 7.4 % 2009 0.3 % 0.3 % 2010 5.3 % 5.1 % 2011 31.4 % 33.1 % 2012 46.5 % 45.5 % 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: June 30, 2016 December 31, 2015 Number of loans 577 657 Weighted average maturity (years) 25.1 25.5 Weighted average loan to value (1) 70.6 % 70.7 % Weighted average FICO (2) 764 765 Weighted average loan balance (in thousands) $ 671 $ 682 Weighted average percentage owner occupied 95.1 % 94.3 % Weighted average percentage single family residence 71.1 % 70.1 % Weighted average geographic concentration of top five states CA 32.1 % CA 32.4 % NJ 7.1 % VA 6.4 % MD 6.6 % NJ 6.3 % VA 6.6 % MD 6.2 % NY 4.6 % TX 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 June 30, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) June 30, 2016 $ 1,393 $ — $ 3,805 $ — $ 2,321 $ 549 $ 8,068 December 31, 2015 $ 3,079 $ — $ 2,915 $ — $ 2,875 $ 2,312 $ 11,181 The fair value of the jumbo prime residential mortgage loans 90 days or more past due is $3 million as of June 30, 2016 . Seasoned subprime residential mortgage loans The securitized loan portfolio collateralized by seasoned subprime residential mortgages originated during the following years: Origination Year June 30, 2016 December 31, 2015 2002 and prior 9.5 % 11.2 % 2003 5.6 % 4.0 % 2004 12.6 % 11.1 % 2005 20.4 % 19.3 % 2006 22.8 % 17.4 % 2007 21.6 % 25.4 % 2008 6.4 % 9.5 % 2009 0.6 % 1.1 % 2010 and later 0.5 % 1.0 % Total 100.0 % 100.0 % A summary of key characteristics of the loan portfolio collateralized by seasoned subprime residential mortgages follows: June 30, 2016 December 31, 2015 Number of loans 100,043 56,870 Weighted average maturity (years) 19.9 21.5 Weighted average loan to value (1) 87.2 % 80.7 % Weighted average FICO (1) 635 625 Weighted average loan balance (in thousands) $ 90 $ 76 Weighted average percentage owner occupied 97.0 % 96.0 % Weighted average percentage single family residence 85.0 % 72.5 % Weighted average geographic concentration of top five states CA 8.5 % CA 8.8 % OH 6.8 % FL 7.2 % FL 6.6 % NC 7.1 % VA 5.8 % VA 6.3 % NC 5.4 % OH 6.1 % (1) As provided by the Trustee The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned subprime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at June 30, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) June 30, 2016 $ 199,737 $ 61,346 $ 108,551 $ 141,085 $ 203,897 $ 42,117 $ 756,733 December 31, 2015 $ 189,816 $ 66,429 $ 125,897 $ 117,308 $ 218,493 $ 36,124 $ 754,067 The fair value of seasoned subprime residential mortgage loans 90 days or more past due is $333 million as of June 30, 2016 .

Fair Value Measurements

Fair Value Measurements	6 Months Ended
	Jun. 30, 2016
Fair Value Disclosures [Abstract]
Fair Value Measurements	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. At June 30, 2016, ten investment holdings with an internally developed fair value of $114 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $20 million lower than the third party prices provided of $134 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at June 30, 2016 in excess of the derived predetermined threshold for the period. At December 31, 2015, two investment holdings with an internally developed fair value of $10 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $1 million lower than the third party prices provided of $11 million . 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 subprime residential mortgage loans: The Company estimates the fair value of its securitized loans held for investment consisting of seasoned subprime 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 subprime 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. The securitized loans are held as part of a consolidated Collateralized Financing Entity (“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. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. 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. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. 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 cash flows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party 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. 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 June 30, 2016 and December 31, 2015 is presented below. June 30, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 3,491,480 $ — $ 3,491,480 Agency RMBS, at fair value — 4,481,503 — — 4,481,503 Securitized loans held for investment, at fair value — — 9,212,204 — 9,212,204 Derivatives — 2,978 — (146 ) 2,832 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (7,534,277 ) — (7,534,277 ) Derivatives (15,001 ) (106,914 ) — 112,993 (8,922 ) Total (15,001 ) 4,377,567 5,169,407 112,847 $ 9,644,820 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 The table below provides a summary of the changes in the fair value of securities classified as Level 3 at June 30, 2016 and December 31, 2015 . Fair Value Reconciliation, Level 3 For the Six Months Ended, June 30, 2016 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,675,841 $ — $ 4,768,416 $ (3,720,496 ) $ 4,723,761 Transfers in to Level 3 assets — — — — — Transfers out of Level 3 assets — — — — — Purchases 131,441 — 4,745,083 (4,180,227 ) 696,297 Principal payments (279,562 ) — (331,638 ) 349,098 (262,102 ) Sales and Settlements (84,488 ) — 2,100 45,929 (36,459 ) Accretion (amortization) of purchase discounts 63,735 — (16,895 ) (6,710 ) 40,130 Gains (losses) included in net income Other than temporary credit impairment losses (31,633 ) — — — (31,633 ) Realized gains (losses) on sales and settlements (633 ) — — (1,766 ) (2,399 ) Net unrealized gains (losses) included in income 21,411 — 45,138 (20,105 ) 46,444 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (4,632 ) — — — (4,632 ) Ending balance Level 3 assets $ 3,491,480 $ — $ 9,212,204 $ (7,534,277 ) $ 5,169,407 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 (103,720 ) 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 ) 92,392 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) includes securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. There were no transfers to or from Level 3 for the six months ended June 30, 2016 and the year ended December 31, 2015 . The primary cause of the changes in fair value of the securitized loans and the securitized debt 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 June 30, 2016 and December 31, 2015 follows: June 30, 2016 December 31, 2015 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 5.4% 1% -30% 0% -21% 35% -95% 5.5% 1% - 17% 0% - 22% 35% - 95% Senior interest-only 12.1% 3% -30% 0% -22% 35% -95% 13.1% 3% - 25% 0% - 23% 1% - 95% Subordinated 6.9% 1% -20% 0% -20% 0% -80% 6.6% 1% - 22% 0% - 20% 5% - 91% Subordinated interest-only 13.1% 6% -16% 0% -10% 35% -73% 17.4% 6% - 13% 0% - 10% 1% - 64% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of June 30, 2016 and December 31, 2015 follows: June 30, 2016 Significant Inputs CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4% - 35% 0% - 3% 35% - 65% December 31, 2015 Significant Inputs CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4% - 32% 0% - 6% 35% - 65% 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 subprime residential mortgage loans, as of June 30, 2016 and December 31, 2015 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 June 30, 2016 and December 31, 2015 follows: June 30, 2016 December 31, 2015 Significant Inputs Significant Inputs Base Rate Weighted Average/Percent of loan pool Base Rate Weighted Average/Percent of loan pool Factor: Coupon 5.5% 6.9% 4.8% 6.8% FICO 631 635 620 625 Loan-to-value (LTV) 87% 87% 90% 81% Occupancy Owner Occupied N/A 97% N/A 96% Investor N/A 2% N/A 4% Secondary N/A 1% N/A —% Property Type Single family N/A 85% N/A 77% Manufactured housing N/A 7% N/A 11% Multi-family/mixed use/other N/A 8% N/A 12% 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 June 30, 2016 and December 31, 2015 . June 30, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 5,856,263 5,871,664 Securitized debt, collateralized by Non-Agency RMBS 3 424,596 417,224 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

Repurchase Agreements

Repurchase Agreements	6 Months Ended
	Jun. 30, 2016
Banking and Thrift [Abstract]
Repurchase Agreements	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 June 30, 2016 and December 31, 2015 is: June 30, 2016 December 31, 2015 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,393,252 $ 5,324,729 Non-agency MBS (in thousands) 2,463,011 2,114,610 Total: $ 5,856,263 $ 7,439,339 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 5,015,804 $ 5,776,980 Non-agency MBS (in thousands) 2,164,639 1,627,909 Total: $ 7,180,443 $ 7,404,889 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.80 % 0.64 % Non-agency MBS 2.70 % 2.44 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 41 Days 53 Days Non-agency MBS 117 Days 137 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,637,847 $ 5,655,410 Non-agency MBS (in thousands) 3,677,909 3,117,875 Total: $ 7,315,756 $ 8,773,285 At June 30, 2016 and December 31, 2015 , the repurchase agreements collateralized by RMBS had the following remaining maturities. June 30, 2016 December 31, 2015 (dollars in thousands) Overnight $ 331,855 $ — 1 to 29 days 2,491,293 3,312,902 30 to 59 days 804,971 2,501,513 60 to 89 days 1,086,872 246,970 90 to 119 days 432,569 430,026 Greater than or equal to 120 days 708,703 947,928 Total $ 5,856,263 $ 7,439,339 At June 30, 2016 and December 31, 2015 , the Company had an amount at risk with Credit Suisse First Boston of 16% and 10% of its equity related to the collateral posted on repurchase agreements. As of June 30, 2016 the weighted average maturity of the repurchase agreements with Credit Suisse First Boston was 18 days and the amount at risk was $460 million . 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 . There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of June 30, 2016 and December 31, 2015 .

Securitized Debt

Securitized Debt	6 Months Ended
	Jun. 30, 2016
Debt Disclosure [Abstract]
Securitized Debt	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 June 30, 2016 and December 31, 2015 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $442 million and $545 million , respectively. At June 30, 2016 and December 31, 2015 , the debt carried a weighted average cost of financing equal to 4.79% and 4.49% , respectively. The debt matures between the years 2035 and 2047 . None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at June 30, 2016 and December 31, 2015 , 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. June 30, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 124,436 $ 137,642 One to Three Years 128,006 178,191 Three to Five Years 32,018 60,872 Greater Than Five Years 38,408 52,280 Total $ 322,868 $ 428,985 Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS 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 June 30, 2016 and December 31, 2015 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $7.7 billion and $3.8 billion , respectively. During the quarter and six months ended June 30, 2016 , the company recognized a loss of $30 million and a loss of $20 million , respectively, on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair value. During the quarter and six months ended June 30, 2015, the company recognized a loss of $23 million and $29 million on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair valu e. At June 30, 2016 and December 31, 2015 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 4.01% and 3.24% respectively. The debt matures between the years 2023 and 2065 . During the first quarter of 2016, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $44 million for $46 million . This transaction resulted in a net loss on the extinguishment of debt of $2 million . This loss is reflected in earnings for the six months ended June 30, 2016 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at June 30, 2016 and December 31, 2015 , 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. June 30, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 1,139,365 $ 591,171 One to Three Years 1,840,792 941,704 Three to Five Years 1,481,979 734,291 Greater Than Five Years 3,143,297 1,502,663 Total $ 7,605,433 $ 3,769,829 Maturities of the Company’s securitized debt collateralized by loans held for investment 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 June 30, 2016 . June 30, 2016 (dollars in thousands) Year Principal 2016 1,695,226 2017 193,544 2018 1,316,919 2019 — 2020 4,209,200 Total $ 7,414,889

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	6 Months Ended
	Jun. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Consolidated Securitization Vehicles and Other Variable Interest Entities	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 June 30, 2016 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $11.4 billion and liabilities with a carrying value of $8.0 billion . 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 of and liabilities with a carrying value of $4.3 billion . During the second quarter of 2016, the Company acquired approximately $5.0 billion unpaid principal balance of seasoned residential subprime mortgage loans. We sold these loans to multiple real estate mortgage investment conduit trusts (the “Trusts”). The Company purchased certain subordinate notes and trust certificates of the Trusts. The Company evaluated the Trusts and determined that the total equity investment at risk is not sufficient to permit these trusts to finance its activities without additional subordinated financial support provided by another party. Therefore, the Company concluded that the Trusts were VIEs. The Company further determined that their interests in the Trusts gave the Company the power to direct the activity of these VIEs that most significantly impacted the Company's economic performance of the VIEs. As the Company concluded that it was the primary beneficiary of the Trusts, the Company consolidated the assets and liabilities of the Trusts. All intercompany balances and transactions are eliminated in consolidation. The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of acquisition. Consolidated Trusts (dollars in thousands) Assets : Securitized loans held for investment, at fair value $ 4,789,782 Other Assets 39,318 Liabilities : Securitized debt at fair value (1) $ 4,097,712 (1) After the elimination of intercompany balances. As sponsor of the Trusts, the Company has retained an eligible horizontal retained interest consisting of the Class B and Class C notes in the Trusts in order to satisfy the U.S. risk retention rules (the “Required Credit Risk”). The U.S. risk retention rules impose limitations on the ability of the Company to dispose of or hedge the Required Credit Risk until the later of (i) the fifth anniversary of the closing date of the securitization transactions (the “Closing Date”) and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the Closing Date, but in any event no longer than the seventh anniversary of the Closing Date. These investments have been eliminated in consolidation of the Trusts as of June 30, 2016. 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 June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,973,294 $ 2,140,494 Securitized loans held for investment, at fair value 9,212,204 4,768,416 Accrued interest receivable 86,368 35,916 Other Assets 129,618 86,452 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 424,596 $ 529,415 Securitized debt at fair value, collateralized by loans held for investment 7,534,277 3,720,496 Accrued interest payable 38,732 12,106 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. For the Quarter Ended June 30, 2016 June 30, 2015 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 160,885 $ 146,900 Interest expense, Non-recourse liabilities of VIEs 58,772 50,426 Net interest income $ 102,113 $ 96,474 Total other-than-temporary impairment losses $ (612 ) $ (1,040 ) Portion of loss recognized in other comprehensive income (loss) (19,462 ) (20,491 ) Net other-than-temporary credit impairment losses $ (20,074 ) $ (21,531 ) For the Six Months Ended June 30, 2016 June 30, 2015 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 292,865 $ 297,518 Interest expense, Non-recourse liabilities of VIEs 98,022 97,179 Net interest income $ 194,843 $ 200,339 Total other-than-temporary impairment losses $ (845 ) $ (1,437 ) Portion of loss recognized in other comprehensive income (loss) (27,326 ) (27,379 ) Net other-than-temporary credit impairment losses $ (28,171 ) $ (28,816 ) 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 June 30, 2016 , ranged from less than $1 million to $51 million , with an aggregate amount of $1.5 billion . 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 Company’s maximum exposure to loss from these unconsolidated VIEs was $1.4 billion and $1.5 billion at June 30, 2016 and December 31, 2015 , respectively. 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	6 Months Ended
	Jun. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative Instruments	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 June 30, 2016 and December 31, 2015 . June 30, 2016 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 $ 1,430,900 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 749,000 Derivatives, at fair value, net 2,832 Derivatives, at fair value, net (8,922 ) Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 2,799,600 $ 2,832 $ (8,922 ) 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 ) 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 ) 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 Quarter Ended Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income June 30, 2016 June 30, 2015 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 38,903 $ 70,269 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (68,299 ) (40,154 ) Mortgage Options Net unrealized gains (losses) on derivatives — 1 Mortgage Options Net realized gains (losses) on derivatives — 31 Treasury Futures Net unrealized gains (losses) on derivatives (13,424 ) 13,704 Treasury Futures Net realized gains (losses) on derivatives 635 (7,778 ) Swaptions Net unrealized gains (losses) on derivatives (3,379 ) 4,054 Swaptions Net realized gains (losses) on derivatives (1,624 ) — Other Derivative Assets Net unrealized gains (losses) on derivatives — — Other Derivative Assets Net realized gains (losses) on derivatives (567 ) — Total $ (47,755 ) $ 40,127 (1) Includes loss on termination of interest rate swap of $60 million and $31 million for the quarters ended June 30, 2016 and 2015 , respectively. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of June 30, 2016 June 30, 2015 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (50,236 ) $ 80,230 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (79,976 ) (123,901 ) Mortgage Options Net unrealized gains (losses) on derivatives — 225 Mortgage Options Net realized gains (losses) on derivatives — 443 Treasury Futures Net unrealized gains (losses) on derivatives (16,408 ) 8,795 Treasury Futures Net realized gains (losses) on derivatives (20,975 ) (35,232 ) Swaptions Net unrealized gains (losses) on derivatives (12,366 ) 2,833 Swaptions Net realized gains (losses) on derivatives (3,765 ) 144 Other Derivative Assets Net unrealized gains (losses) on derivatives — — Other Derivative Assets Net realized gains (losses) on derivatives (566 ) (21 ) Total $ (184,292 ) $ (66,483 ) (1) Includes loss on termination of interest rate swap of $61 million and $100 million for the six months ended June 30, 2016 and 2015 , respectively. The Company paid $60 million to terminate interest rate swaps with a notional value of $2.3 billion during the quarter ended June 30, 2016 . The Company paid $61 million to terminate interest rate swaps with a notional value of $3.3 billion during the six months ended June 30, 2016 . The terminated swaps had original maturities ranging from 2017 to 2034 . The Company paid $31 million to terminate interest rate swaps with a notional value of $600 million during the quarter ended June 30, 2015. The Company paid $100 million to terminate interest rate swaps with a notional value of $1.2 billion during the six month ended June 30, 2015. The terminated swaps had original maturities ranging from 2019 to 2044. These amounts 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 June 30, 2016 was 2.07% and the weighted average receive rate was 0.62% . 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 maturity on the Company’s interest rate swaps at June 30, 2016 and December 31, 2015 is 8 years and 4 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 June 30, 2016 is approximately $108 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	6 Months Ended
	Jun. 30, 2016
Equity [Abstract]
Common Stock	Common Stock On August 5, 2015, our Board of Directors adopted a program that authorizes repurchases of our common stock up to $250 million . During the first quarter of 2016 , our Board of Directors authorized and increased the share repurchase program by $100 million from $250 million to $350 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 quarters 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 approximately $250 million . The Company did not repurchase any shares during the first or second quarters of 2016 and has $100 million in its share repurchase program that may yet be used to repurchase shares. During the quarters ended June 30, 2016 , and 2015 the Company declared dividends to common shareholders of $0.48 per share to common shareholders totaling $90 million , and $99 million , respectively. During the six months ended June 30, 2016 , the Company declared regular dividends to common shareholders totaling $180 million , or $0.96 per share, and a special dividend of $94 million , or $0.50 per share. For the six months ended June 30, 2015, the Company declared dividends to common shareholders totaling $197 million , or $0.96 per share. Earnings per share for the quarters and six months ended June 30, 2016 , and 2015 , respectively, are computed as follows: For the Quarter Ended June 30, 2016 June 30, 2015 (dollars in thousands) Numerator: Net income $ 74,127 $ 116,187 Effect of dilutive securities: — — Dilutive net income available to stockholders $ 74,127 $ 116,187 Denominator: Weighted average basic shares 187,729,765 205,492,089 Effect of dilutive securities 195,281 87,550 Weighted average dilutive shares 187,925,046 205,579,639 Net income per average share attributable to common stockholders - Basic $ 0.39 $ 0.57 Net income per average share attributable to common stockholders - Diluted $ 0.39 $ 0.57 For the Six Months Ended June 30, 2016 June 30, 2015 (dollars in thousands) Numerator: Net income $ 157,226 $ 183,228 Effect of dilutive securities: — — Dilutive net income available to stockholders $ 157,226 $ 183,228 Denominator: Weighted average basic shares 187,726,618 205,509,782 Effect of dilutive securities 155,996 63,515 Weighted average dilutive shares 187,882,614 205,573,297 Net income per average share attributable to common stockholders - Basic $ 0.84 $ 0.89 Net income per average share attributable to common stockholders - Diluted $ 0.84 $ 0.89

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	6 Months Ended
	Jun. 30, 2016
Equity [Abstract]
Accumulated Other Comprehensive Income	Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the six months ended June 30, 2016 and 2015 : June 30, 2016 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2015 $ 773,791 $ 773,791 OCI before reclassifications 112,423 112,423 Amounts reclassified from AOCI 20,959 20,959 Net current period OCI 133,382 133,382 Balance as of June 30, 2016 $ 907,173 $ 907,173 June 30, 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 (137,654 ) (137,654 ) Amounts reclassified from AOCI (4,219 ) (4,219 ) Net current period OCI (141,873 ) (141,873 ) Balance as of June 30, 2015 $ 904,807 $ 904,807 The following table presents the details of the reclassifications from AOCI for the six months ended June 30, 2016 and 2015 : June 30, 2016 June 30, 2015 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 $ 10,674 $ 39,135 Net realized gains (losses) on sales of investments (31,633 ) (34,916 ) Net other-than-temporary credit impairment losses $ (20,959 ) $ 4,219 Income before income taxes — — Income taxes $ (20,959 ) $ 4,219 Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	6 Months Ended
	Jun. 30, 2016
Compensation Related Costs [Abstract]
Equity Compensation, Employment Agreements and other Benefit Plans	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) (the “Equity Plan”), directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a restriction period lasting between two and ten years depending on the award, after which time the awards fully vest. During the vesting period, these shares may not be sold. There were 7.2 million shares available for future grants under the 2007 Equity Incentive Plan as of June 30, 2016 . During the first quarter of 2016 , the Compensation Committee of the Board of Directors of the Company approved a Stock Award Deferral Program (the “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 Equity Plan. Deferred awards are treated as deferred stock units and 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 in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Equity 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. During the first quarter of 2016 , the Company granted certain of its employees Restricted Stock Units (“RSU”) awards. RSU awards are designed to reward certain employees of the Company for services provided over the previous year. The RSU awards vest equally over a three year period beginning one year from the grant date and will fully vest in 2019. The RSU awards are valued at the market price of the Company’s common stock on the grant date and the employees must be employed by the Company on the vesting dates to receive the RSU awards. The Company granted 266,200 RSU awards during the first quarter of 2016 with a grant date fair value of $3 million , which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the first quarter of 2016 , the Company granted certain of its employees 179,600 Performance Share Units (“PSU”) awards. PSU awards are designed to align compensation with the Company’s future performance. The PSU awards include a three year performance period ending on December 31, 2018 . The final number of shares that will vest will be between 0% to 150% of the 179,600 granted based on the stock performance of the Company as compared to an index of comparable financial institutions and will cliff vest at the end of the performance period. The PSU awards are measured at fair value on the grant date which will be recognized as compensation expense ratably over the three year vesting period. Fair value is determined using a Monte Carlo valuation model developed to value the specific features of the PSU awards, including market based conditions. Inputs into the model include the Company’s historical volatility, the peer average historical volatility, and the correlation coefficient of the volatility. In addition, inputs also included the share price at the beginning of the measurement period and an estimated total shareholder return for both the Company and the peer group of comparable financial institutions. Based on the model results, the 179,600 PSU awards granted during the first quarter of 2016 had a grant date value of $3 million that will cliff vest on December 31, 2018. The Company recognized stock based compensation expenses of $652 thousand and $36 thousand for the quarters ended June 30, 2016 and 2015 , respectively. For the six months ended June 30, 2016 and 2015 , the stock based compensation expenses were $754 thousand and $468 thousand , respectively. There were no forfeitures during the quarters and six months ended June 30, 2016 . 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 6% 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 quarter and six months ended June 30, 2016 was $122 thousand and $214 thousand , respectively. As we were externally managed prior to third quarter of 2015, there was no 401(k) expense for the quarter and six months ended June 30, 2015 .

Income Taxes

Income Taxes	6 Months Ended
	Jun. 30, 2016
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the quarter ended June 30, 2016 and the year ended December 31, 2015 , 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 to 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 quarters ended June 30, 2016 and December 31, 2015 . 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	6 Months Ended
	Jun. 30, 2016
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	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 subprime 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 June 30, 2016 and December 31, 2015 . June 30, 2016 (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 $ (5,856,263 ) $ — $ (5,856,263 ) $ 7,315,756 $ 12,156 $ 1,471,649 Interest Rate Swaps - Gross Assets 146 (146 ) — — — — Interest Rate Swaps - Gross Liabilities (97,992 ) 97,992 — — 54,180 54,180 Treasury Futures - Gross Liabilities (15,001 ) 15,001 — — 6,190 6,190 Swaptions - Gross Assets 2,832 — 2,832 — — 2,832 Swaptions - Gross Liabilities (8,922 ) — (8,922 ) 10,688 — 1,766 Other Derivative Assets — — — — — — Total Liabilities $ (5,975,200 ) $ 112,847 $ (5,862,353 ) $ 7,326,444 $ 72,526 $ 1,536,617 (1) Included in other assets 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

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2016
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	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 June 30, 2016 and December 31, 2015 . 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 recovered $95 million which was characterized as taxable income in 2016.

Subsequent Events

Subsequent Events	6 Months Ended
	Jun. 30, 2016
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events None.

Summary of the Significant Ac24

Summary of the Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2016
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	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 period amounts have been reclassified to conform to the current period's presentation. 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 security 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 holder of the security 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	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	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.
Agency and Non-Agency Mortgage-Backed Securities	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: (1) 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; and (2) 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 Interest Only 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 (“ASC 325-40”). The Company accounts for IO MBS strips at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations and Comprehensive Income. 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 MBS 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 (“ASC 310-20”) is applied to the recognition of interest income for the following securities: • 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; and 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 (“ASC 310-30”) or ASC 325-40 (referred to hereafter as “Non-Agency RMBS Not of High 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; and 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 rate 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 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	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. 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. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned subprime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned subprime 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 subprime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. 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. 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.
Repurchase Agreements	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	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. The Securitized debt, collateralized by loans held for investment, is carried at fair value. 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. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements.
Fair Value	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 $293 million and $245 million as of June 30, 2016 and December 31, 2015 . 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 $142 million and $273 million as of June 30, 2016 and December 31, 2015 . Interest income reported on all IO MBS securities was $11 million and $12 million for the quarters ended June 30, 2016 and 2015 , respectively. Interest income reported on all IO MBS securities was $23 million and $25 million for the six months ended June 30, 2016 and 2015 , respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in Non-Agency RMBS which we refer to as the overcollateralization classes. 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 Non-Agency RMBS investments is highly subjective 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 $17 million and $20 million as of June 30, 2016 and December 31, 2015 , respectively. Securitized Loans Held for Investment: The Company’s securitized loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries securitized loans held for investment at fair value as it may resecuritize these loans 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. 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. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the 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. Changes in fair value of securitized debt, collateralized by 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	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	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	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, whereby 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	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 generally 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.
Net Income per Share	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.
Stock-Based Compensation	Stock-Based Compensation The Company measures the fair value of the equity instrument granted to non-employees 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 is 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 subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date adjusted, as applicable, for estimated forfeitures. For awards subject to graded vesting, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For awards based on the performance of the Company’s stock price, the Company generally engages an independent appraisal company to determine the value of the shares at the date of grant, taking into account the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures.
Use of Estimates	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	Recent Accounting Pronouncements Financial Instruments - Credit Losses – (Topic 326) In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities when the fair value of an AFS debt security is below the amortized cost of the asset rather than reduce the carrying amount, as we do under the current OTTI model. This update also simplifies the accounting model for purchased credit-impaired debt securities and loans. The changes in the allowances created in accordance with this update will be recorded in earnings. The update also expands the disclosure requirements regarding the Company's assumptions, models, and methods for estimating the expected credit losses. In addition, the Company will disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination. The guidance in the ASU is effective for the Company as of January 1, 2020. Early adoption is allowed, beginning January 1, 2019. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Share Based Payments – (Topic 718) In March 2016, the FASB issued ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting . Under this update companies will no longer record excess tax benefits and certain tax deficiencies associated with an award of equity instruments in additional paid-in capital. Instead, they will record all excess tax benefits and tax deficiencies as income tax expense or benefit in the income statement when the awards vest or are settled, and additional paid-in capital pools will be eliminated. The updated guidance will also allow the Company to repurchase more shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The guidance is to be applied using a modified retrospective transition method with a cumulative-effect adjustment recorded in retained retained earnings. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Contingent Put and Call Options in Debt Instruments – (Topic 815) In March 2016, the FASB issued ASU No. 2016-06, Contingent Put and Call Options in Debt Instruments Accounting . This update clarifies that when a call or put option in a debt instrument can accelerate the repayment of principal on the debt instrument, a reporting entity does not need to assess whether the contingent event that triggers the ability to exercise the call or put option is related to interest rates or credit risk in determining whether the option should be accounted for separately as a derivative. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is permitted. The new guidance applies to existing debt instruments (or hybrid financial instruments that are determined to have a debt host) using a modified retrospective method as of the beginning of the period of adoption. The adoption of this guidance is not expected to have a material effect on the Company’s financial statements as all of its debt instruments with contingent Put and Call options are eliminated on consolidation. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships – (Topic 815) In March 2016, the FASB issued ASU No. 2016-05, Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The amendments in this update clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under Topic 815 does not, in and of itself, require de-designation of that hedging relationship provided that all other hedge accounting criteria continue to be met. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The new guidance may be applied prospectively or on a modified retrospective basis. The Company currently does not use hedge accounting for GAAP reporting purposes, therefore this guidance is not expected to have a material effect on the Company’s financial statements. 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 . This update changes how the Company will present changes in the fair value of financial liabilities measured under the fair value option that are attributable to our own credit. Under the updated guidance, the Company will record changes in instrument-specific credit risk for financial liabilities measured under the fair value option in other comprehensive income. The update also requires fair value measurement for equity investments that do not result in consolidation and are not accounted for under the equity method 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. 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 . This update provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires the Company to perform interim and annual assessments of its ability to continue as a going concern within one year of the date the financial statements are issued. The Company must provide certain disclosures if conditions or events raise substantial doubt about its ability to continue as a going concern. The ASU applies to all entities and is effective for the Company for the year ended December 31, 2016. Early adoption is permitted. The Company does not expect this update to have any impact as we do not expect to have the conditions or events which would raise substantial doubt about the Company’s ability to continue as a going concern.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	6 Months Ended
	Jun. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Schedule of Available-for-sale Securities Reconciliation	June 30, 2016 (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 $ 3,398,933 $ 251 $ (1,503,999 ) $ 1,895,185 $ 2,620,907 $ 728,950 $ (3,228 ) $ 725,722 Senior, interest-only 5,693,428 295,094 — 295,094 280,868 28,130 (42,356 ) $ (14,226 ) Subordinated 718,917 21,200 (235,506 ) 504,613 577,152 79,999 (7,460 ) $ 72,539 Subordinated, interest-only 274,357 14,527 — 14,527 12,553 83 (2,057 ) $ (1,974 ) Agency MBS Residential 2,833,811 142,459 — 2,976,270 3,029,836 53,860 (294 ) $ 53,566 Commercial 1,226,725 34,279 (2,720 ) 1,258,284 1,309,644 51,716 (356 ) $ 51,360 Interest-only 3,077,732 148,132 — 148,132 142,023 2,320 (8,429 ) $ (6,109 ) Total $ 17,223,903 $ 655,942 $ (1,742,225 ) $ 7,092,105 $ 7,972,983 $ 945,058 $ (64,180 ) $ 880,878 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 ) Total $ 22,845,276 $ 868,410 $ (1,814,615 ) $ 9,465,640 $ 10,190,665 $ 867,512 $ (142,490 ) $ 725,022
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 Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) (dollars in thousands) Balance at beginning of period $ 1,726,541 $ 1,536,862 $ 1,742,744 $ 1,534,497 Purchases 22,417 23,872 42,600 108,625 Accretion (35,054 ) (71,005 ) (71,407 ) (140,710 ) Reclassification (to) from non-accretable difference 27,492 211,625 27,459 218,807 Sales and deconsolidation (26,804 ) (3,031 ) (26,804 ) (22,896 ) Balance at end of period $ 1,714,592 $ 1,698,323 $ 1,714,592 $ 1,698,323
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired	The table below presents the outstanding principal balance and related amortized cost at June 30, 2016 and December 31, 2015 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Quarter Ended For the Year Ended June 30, 2016 December 31, 2015 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,490,858 $ 3,325,335 End of period $ 3,343,812 $ 3,550,698 Amortized cost: Beginning of period $ 1,937,419 $ 1,741,780 End of period $ 1,806,344 $ 1,958,726
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 June 30, 2016 and December 31, 2015 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d). June 30, 2016 (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 $ 79,539 $ (2,398 ) 7 $ 34,101 $ (830 ) 4 $ 113,640 $ (3,228 ) 11 Senior, interest-only 41,280 (5,185 ) 43 87,910 (37,171 ) 73 129,190 (42,356 ) 116 Subordinated 32,097 (3,463 ) 10 2,423 (3,997 ) 7 34,520 (7,460 ) 17 Subordinated, interest-only — — — 11,442 (2,057 ) 3 11,442 (2,057 ) 3 Agency MBS Residential 2,329 (23 ) 6 58,506 (271 ) 1 60,835 (294 ) 7 Commercial 45,955 (20 ) 3 55,431 (336 ) 35 101,386 (356 ) 38 Interest-only 33,846 (1,408 ) 17 29,826 (7,021 ) 8 63,672 (8,429 ) 25 Total $ 235,046 $ (12,497 ) 86 $ 279,639 $ (51,683 ) 131 $ 514,685 $ (64,180 ) 217 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
Other than Temporary Impairment, Credit Losses Recognized in Earnings	A summary of the OTTI included in earnings for the quarters and six months ended June 30, 2016 and 2015 is presented below. For the Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) Total other-than-temporary impairment losses $ (3,139 ) $ (2,208 ) $ (7,562 ) $ (3,260 ) Portion of loss recognized in other comprehensive income (loss) (17,816 ) (24,893 ) (24,071 ) (31,656 ) Net other-than-temporary credit impairment losses $ (20,955 ) $ (27,101 ) $ (31,633 ) $ (34,916 ) 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 Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) Cumulative credit loss beginning balance $ 539,376 $ 513,886 $ 529,112 $ 507,548 Additions: Other-than-temporary impairments not previously recognized 627 18,455 10,953 26,270 Reductions for securities sold or deconsolidated during the period (4,018 ) (415 ) (4,260 ) (1,734 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 20,327 8,646 20,679 8,646 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (10,125 ) (12,024 ) (10,297 ) (12,182 ) Cumulative credit impairment loss ending balance $ 546,187 $ 528,548 $ 546,187 $ 528,548
Other than Temporary Impairment of Investments Recorded in Earnings, Significant Inputs and Assumptions	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 Six Months Ended June 30, 2016 June 30, 2015 Loss Severity Weighted Average 64% 66% Range 44% - 85% 17% - 96% 60+ days delinquent Weighted Average 21% 23% Range 0% - 40% 2% - 41% Credit Enhancement (1) Weighted Average 23% 8% Range 0% - 100% 0% - 27% 3 Month CPR Weighted Average 5% 9% Range 0% - 19% 3% - 27% 12 Month CPR Weighted Average 4% 9% Range 4% - 21% 3% - 20% (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 June 30, 2016 and December 31, 2015 . 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 June 30, 2016 , IO MBS had a net unrealized loss of $22 million and had an amortized cost of $458 million . At December 31, 2015 , IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million . The fair value of IOs at June 30, 2016 and December 31, 2015 was $435 million , and $519 million , respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations and Comprehensive Income. June 30, 2016 (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 $ 728,950 $ — $ 728,950 $ (3,228 ) $ — $ (3,228 ) Senior, interest-only — 28,130 28,130 — (42,356 ) (42,356 ) Subordinated 76,632 3,367 79,999 (90 ) (7,370 ) (7,460 ) Subordinated, interest-only — 83 83 — (2,057 ) (2,057 ) Agency MBS Residential 53,860 — 53,860 (294 ) — (294 ) Commercial 51,716 — 51,716 (356 ) — (356 ) Interest-only — 2,320 2,320 — (8,429 ) (8,429 ) Total $ 911,158 $ 33,900 $ 945,058 $ (3,968 ) $ (60,212 ) $ (64,180 ) 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 )
Residential Mortgage Backed Securities Collateral Characteristics	The following tables provide a summary of the Company’s RMBS portfolio at June 30, 2016 and December 31, 2015 . June 30, 2016 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 $ 3,398,933 $ 55.76 $ 77.11 4.0 % 15.6 % Senior, interest-only 5,693,428 5.18 4.93 1.6 % 13.3 % Subordinated 718,917 70.19 80.28 3.2 % 10.2 % Subordinated, interest-only 274,357 5.30 4.58 1.1 % 11.3 % Agency MBS Residential pass-through 2,833,811 105.03 106.92 3.9 % 2.6 % Commercial pass-through 1,226,725 102.57 106.76 3.5 % 3.0 % Interest-only 3,077,732 4.81 4.61 0.9 % 4.1 % (1)Bond Equivalent Yield at period end. 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.
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 June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 AAA 0.4 % 0.5 % AA 0.3 % 0.4 % A 0.7 % 0.8 % BBB 0.3 % 0.4 % BB 5.0 % 5.2 % B 3.0 % 3.0 % Below B or not rated 90.3 % 89.7 % 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 June 30, 2016 and December 31, 2015 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. June 30, 2016 (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 $ 14,324 $ 445,999 $ 1,446,340 $ 714,244 $ 2,620,907 Senior interest-only 910 42,991 127,901 109,066 280,868 Subordinated 2,337 114,158 216,059 244,598 577,152 Subordinated interest-only — — 12,553 — 12,553 Agency MBS Residential — 2,654,390 375,446 — 3,029,836 Commercial — 16,662 30,378 1,262,604 1,309,644 Interest-only — 83,403 52,900 5,720 142,023 Total fair value $ 17,571 $ 3,357,603 $ 2,261,577 $ 2,336,232 $ 7,972,983 Amortized cost Non-Agency RMBS Senior $ 10,595 $ 351,042 $ 1,052,222 $ 481,326 $ 1,895,185 Senior interest-only 1,990 57,640 129,958 105,506 295,094 Subordinated 2,319 87,641 173,964 240,689 504,613 Subordinated interest-only — — 14,527 — 14,527 Agency MBS Residential — 2,619,298 356,972 — 2,976,270 Commercial — 16,678 28,835 1,212,771 1,258,284 Interest-only — 84,137 58,511 5,484 148,132 Total amortized cost $ 14,904 $ 3,216,436 $ 1,814,989 $ 2,045,776 $ 7,092,105 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 $ 2,121,061 $ 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
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 June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 Weighted average maturity (years) 21.7 22.0 Weighted average amortized loan to value (1) 67.2 % 67.9 % Weighted average FICO (2) 674 671 Weighted average loan balance (in thousands) $ 320 $ 330 Weighted average percentage owner occupied 82.8 % 82.7 % Weighted average percentage single family residence 65.5 % 65.9 % Weighted average current credit enhancement 2.3 % 2.4 % Weighted average geographic concentration of top four states CA 31.0 % CA 30.4 % FL 7.9 % FL 8.0 % NY 7.9 % NY 8.0 % NJ 2.6 % NJ 2.5 % (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 June 30, 2016 and December 31, 2015 . Origination Year June 30, 2016 December 31, 2015 1999 0.1 % 0.1 % 2000 0.5 % 0.6 % 2001 1.5 % 1.6 % 2002 0.5 % 0.5 % 2003 1.8 % 2.2 % 2004 4.3 % 3.7 % 2005 20.9 % 21.7 % 2006 35.7 % 32.9 % 2007 32.3 % 34.2 % 2008 1.9 % 1.9 % 2013 0.4 % 0.5 % 2014 0.1 % 0.1 % 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 quarters ended June 30, 2016 and 2015 are as follows: For the Quarter Ended For the Six Months Ended June 30, 2016 June 30, 2015 June 30, 2016 June 30, 2015 (dollars in thousands) Proceeds from sales $ 2,368,724 $ 995,718 $ 2,639,203 $ 3,237,335 Gross realized gains 11,482 11,099 13,176 41,395 Gross realized losses (4,851 ) (1,414 ) (9,220 ) (2,145 ) Net realized gain (loss) $ 6,631 $ 9,685 $ 3,956 $ 39,250

Securitized Loans Held for In26

Securitized Loans Held for Investment (Tables)	6 Months Ended
	Jun. 30, 2016
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
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 June 30, 2016 and December 31, 2015 : For the Six Months Ended For the Year Ended June 30, 2016 December 31, 2015 (dollars in thousands) Balance, beginning of period $ 4,768,416 $ 5,306,501 Purchases 4,745,083 577,036 Principal paydowns (331,638 ) (707,996 ) Sales and settlements 2,100 (9,638 ) Net periodic accretion (amortization) (16,895 ) (19,100 ) Change in fair value 45,138 (90,581 ) Transfer due to deconsolidation — (287,806 ) Balance, end of period $ 9,212,204 $ 4,768,416
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
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 June 30, 2016 December 31, 2015 2004 0.2 % 0.1 % 2007 8.2 % 8.5 % 2008 8.1 % 7.4 % 2009 0.3 % 0.3 % 2010 5.3 % 5.1 % 2011 31.4 % 33.1 % 2012 46.5 % 45.5 % 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: June 30, 2016 December 31, 2015 Number of loans 577 657 Weighted average maturity (years) 25.1 25.5 Weighted average loan to value (1) 70.6 % 70.7 % Weighted average FICO (2) 764 765 Weighted average loan balance (in thousands) $ 671 $ 682 Weighted average percentage owner occupied 95.1 % 94.3 % Weighted average percentage single family residence 71.1 % 70.1 % Weighted average geographic concentration of top five states CA 32.1 % CA 32.4 % NJ 7.1 % VA 6.4 % MD 6.6 % NJ 6.3 % VA 6.6 % MD 6.2 % NY 4.6 % TX 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 June 30, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) June 30, 2016 $ 1,393 $ — $ 3,805 $ — $ 2,321 $ 549 $ 8,068 December 31, 2015 $ 3,079 $ — $ 2,915 $ — $ 2,875 $ 2,312 $ 11,181
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated	The securitized loan portfolio collateralized by seasoned subprime residential mortgages originated during the following years: Origination Year June 30, 2016 December 31, 2015 2002 and prior 9.5 % 11.2 % 2003 5.6 % 4.0 % 2004 12.6 % 11.1 % 2005 20.4 % 19.3 % 2006 22.8 % 17.4 % 2007 21.6 % 25.4 % 2008 6.4 % 9.5 % 2009 0.6 % 1.1 % 2010 and later 0.5 % 1.0 % 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 subprime residential mortgages follows: June 30, 2016 December 31, 2015 Number of loans 100,043 56,870 Weighted average maturity (years) 19.9 21.5 Weighted average loan to value (1) 87.2 % 80.7 % Weighted average FICO (1) 635 625 Weighted average loan balance (in thousands) $ 90 $ 76 Weighted average percentage owner occupied 97.0 % 96.0 % Weighted average percentage single family residence 85.0 % 72.5 % Weighted average geographic concentration of top five states CA 8.5 % CA 8.8 % OH 6.8 % FL 7.2 % FL 6.6 % NC 7.1 % VA 5.8 % VA 6.3 % NC 5.4 % OH 6.1 % (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 subprime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at June 30, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) June 30, 2016 $ 199,737 $ 61,346 $ 108,551 $ 141,085 $ 203,897 $ 42,117 $ 756,733 December 31, 2015 $ 189,816 $ 66,429 $ 125,897 $ 117,308 $ 218,493 $ 36,124 $ 754,067

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	6 Months Ended
	Jun. 30, 2016
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair Value, Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at June 30, 2016 and December 31, 2015 is presented below. June 30, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 3,491,480 $ — $ 3,491,480 Agency RMBS, at fair value — 4,481,503 — — 4,481,503 Securitized loans held for investment, at fair value — — 9,212,204 — 9,212,204 Derivatives — 2,978 — (146 ) 2,832 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (7,534,277 ) — (7,534,277 ) Derivatives (15,001 ) (106,914 ) — 112,993 (8,922 ) Total (15,001 ) 4,377,567 5,169,407 112,847 $ 9,644,820 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
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 June 30, 2016 and December 31, 2015 . Fair Value Reconciliation, Level 3 For the Six Months Ended, June 30, 2016 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,675,841 $ — $ 4,768,416 $ (3,720,496 ) $ 4,723,761 Transfers in to Level 3 assets — — — — — Transfers out of Level 3 assets — — — — — Purchases 131,441 — 4,745,083 (4,180,227 ) 696,297 Principal payments (279,562 ) — (331,638 ) 349,098 (262,102 ) Sales and Settlements (84,488 ) — 2,100 45,929 (36,459 ) Accretion (amortization) of purchase discounts 63,735 — (16,895 ) (6,710 ) 40,130 Gains (losses) included in net income Other than temporary credit impairment losses (31,633 ) — — — (31,633 ) Realized gains (losses) on sales and settlements (633 ) — — (1,766 ) (2,399 ) Net unrealized gains (losses) included in income 21,411 — 45,138 (20,105 ) 46,444 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (4,632 ) — — — (4,632 ) Ending balance Level 3 assets $ 3,491,480 $ — $ 9,212,204 $ (7,534,277 ) $ 5,169,407 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 (103,720 ) 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 ) 92,392 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) 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, Significant Unobservable Inputs, Liabilities	A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of June 30, 2016 and December 31, 2015 follows: June 30, 2016 Significant Inputs CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4% - 35% 0% - 3% 35% - 65% December 31, 2015 Significant Inputs CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4% - 32% 0% - 6% 35% - 65%
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 June 30, 2016 and December 31, 2015 . June 30, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 5,856,263 5,871,664 Securitized debt, collateralized by Non-Agency RMBS 3 424,596 417,224 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
Securitized Loans Held for Investment at Fair Value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
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 June 30, 2016 and December 31, 2015 follows: June 30, 2016 December 31, 2015 Significant Inputs Significant Inputs Base Rate Weighted Average/Percent of loan pool Base Rate Weighted Average/Percent of loan pool Factor: Coupon 5.5% 6.9% 4.8% 6.8% FICO 631 635 620 625 Loan-to-value (LTV) 87% 87% 90% 81% Occupancy Owner Occupied N/A 97% N/A 96% Investor N/A 2% N/A 4% Secondary N/A 1% N/A —% Property Type Single family N/A 85% N/A 77% Manufactured housing N/A 7% N/A 11% Multi-family/mixed use/other N/A 8% N/A 12%
Non-agency MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
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 June 30, 2016 and December 31, 2015 follows: June 30, 2016 December 31, 2015 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 5.4% 1% -30% 0% -21% 35% -95% 5.5% 1% - 17% 0% - 22% 35% - 95% Senior interest-only 12.1% 3% -30% 0% -22% 35% -95% 13.1% 3% - 25% 0% - 23% 1% - 95% Subordinated 6.9% 1% -20% 0% -20% 0% -80% 6.6% 1% - 22% 0% - 20% 5% - 91% Subordinated interest-only 13.1% 6% -16% 0% -10% 35% -73% 17.4% 6% - 13% 0% - 10% 1% - 64%

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	6 Months Ended
	Jun. 30, 2016
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 June 30, 2016 and December 31, 2015 is: June 30, 2016 December 31, 2015 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,393,252 $ 5,324,729 Non-agency MBS (in thousands) 2,463,011 2,114,610 Total: $ 5,856,263 $ 7,439,339 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 5,015,804 $ 5,776,980 Non-agency MBS (in thousands) 2,164,639 1,627,909 Total: $ 7,180,443 $ 7,404,889 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.80 % 0.64 % Non-agency MBS 2.70 % 2.44 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 41 Days 53 Days Non-agency MBS 117 Days 137 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,637,847 $ 5,655,410 Non-agency MBS (in thousands) 3,677,909 3,117,875 Total: $ 7,315,756 $ 8,773,285 At June 30, 2016 and December 31, 2015 , the repurchase agreements collateralized by RMBS had the following remaining maturities. June 30, 2016 December 31, 2015 (dollars in thousands) Overnight $ 331,855 $ — 1 to 29 days 2,491,293 3,312,902 30 to 59 days 804,971 2,501,513 60 to 89 days 1,086,872 246,970 90 to 119 days 432,569 430,026 Greater than or equal to 120 days 708,703 947,928 Total $ 5,856,263 $ 7,439,339

Securitized Debt (Tables)

Securitized Debt (Tables)	6 Months Ended
	Jun. 30, 2016
Debt Instrument [Line Items]
Schedule of Callable Debt	The following table presents the par value of the callable debt by year at June 30, 2016 . June 30, 2016 (dollars in thousands) Year Principal 2016 1,695,226 2017 193,544 2018 1,316,919 2019 — 2020 4,209,200 Total $ 7,414,889
Non-agency MBS
Debt Instrument [Line Items]
Schedule of Maturities of Long-term Debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at June 30, 2016 and December 31, 2015 , 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. June 30, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 124,436 $ 137,642 One to Three Years 128,006 178,191 Three to Five Years 32,018 60,872 Greater Than Five Years 38,408 52,280 Total $ 322,868 $ 428,985
Loans Held for Investment
Debt Instrument [Line Items]
Schedule of Maturities of Long-term Debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at June 30, 2016 and December 31, 2015 , 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. June 30, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 1,139,365 $ 591,171 One to Three Years 1,840,792 941,704 Three to Five Years 1,481,979 734,291 Greater Than Five Years 3,143,297 1,502,663 Total $ 7,605,433 $ 3,769,829

Consolidated Securitization V30

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	6 Months Ended
	Jun. 30, 2016
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 June 30, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,973,294 $ 2,140,494 Securitized loans held for investment, at fair value 9,212,204 4,768,416 Accrued interest receivable 86,368 35,916 Other Assets 129,618 86,452 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 424,596 $ 529,415 Securitized debt at fair value, collateralized by loans held for investment 7,534,277 3,720,496 Accrued interest payable 38,732 12,106 The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of acquisition. Consolidated Trusts (dollars in thousands) Assets : Securitized loans held for investment, at fair value $ 4,789,782 Other Assets 39,318 Liabilities : Securitized debt at fair value (1) $ 4,097,712 (1) After the elimination of intercompany balances.
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. For the Quarter Ended June 30, 2016 June 30, 2015 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 160,885 $ 146,900 Interest expense, Non-recourse liabilities of VIEs 58,772 50,426 Net interest income $ 102,113 $ 96,474 Total other-than-temporary impairment losses $ (612 ) $ (1,040 ) Portion of loss recognized in other comprehensive income (loss) (19,462 ) (20,491 ) Net other-than-temporary credit impairment losses $ (20,074 ) $ (21,531 ) For the Six Months Ended June 30, 2016 June 30, 2015 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 292,865 $ 297,518 Interest expense, Non-recourse liabilities of VIEs 98,022 97,179 Net interest income $ 194,843 $ 200,339 Total other-than-temporary impairment losses $ (845 ) $ (1,437 ) Portion of loss recognized in other comprehensive income (loss) (27,326 ) (27,379 ) Net other-than-temporary credit impairment losses $ (28,171 ) $ (28,816 )

Derivative Instruments (Tables)

Derivative Instruments (Tables)	6 Months Ended
	Jun. 30, 2016
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 June 30, 2016 and December 31, 2015 . June 30, 2016 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 $ 1,430,900 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 749,000 Derivatives, at fair value, net 2,832 Derivatives, at fair value, net (8,922 ) Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 2,799,600 $ 2,832 $ (8,922 ) 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 ) 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 )
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 Quarter Ended Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income June 30, 2016 June 30, 2015 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 38,903 $ 70,269 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (68,299 ) (40,154 ) Mortgage Options Net unrealized gains (losses) on derivatives — 1 Mortgage Options Net realized gains (losses) on derivatives — 31 Treasury Futures Net unrealized gains (losses) on derivatives (13,424 ) 13,704 Treasury Futures Net realized gains (losses) on derivatives 635 (7,778 ) Swaptions Net unrealized gains (losses) on derivatives (3,379 ) 4,054 Swaptions Net realized gains (losses) on derivatives (1,624 ) — Other Derivative Assets Net unrealized gains (losses) on derivatives — — Other Derivative Assets Net realized gains (losses) on derivatives (567 ) — Total $ (47,755 ) $ 40,127 (1) Includes loss on termination of interest rate swap of $60 million and $31 million for the quarters ended June 30, 2016 and 2015 , respectively. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of June 30, 2016 June 30, 2015 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (50,236 ) $ 80,230 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (79,976 ) (123,901 ) Mortgage Options Net unrealized gains (losses) on derivatives — 225 Mortgage Options Net realized gains (losses) on derivatives — 443 Treasury Futures Net unrealized gains (losses) on derivatives (16,408 ) 8,795 Treasury Futures Net realized gains (losses) on derivatives (20,975 ) (35,232 ) Swaptions Net unrealized gains (losses) on derivatives (12,366 ) 2,833 Swaptions Net realized gains (losses) on derivatives (3,765 ) 144 Other Derivative Assets Net unrealized gains (losses) on derivatives — — Other Derivative Assets Net realized gains (losses) on derivatives (566 ) (21 ) Total $ (184,292 ) $ (66,483 ) (1) Includes loss on termination of interest rate swap of $61 million and $100 million for the six months ended June 30, 2016 and 2015 , respectively.

Common Stock (Tables)

Common Stock (Tables)	6 Months Ended
	Jun. 30, 2016
Equity [Abstract]
Schedule of Earnings Per Share	Earnings per share for the quarters and six months ended June 30, 2016 , and 2015 , respectively, are computed as follows: For the Quarter Ended June 30, 2016 June 30, 2015 (dollars in thousands) Numerator: Net income $ 74,127 $ 116,187 Effect of dilutive securities: — — Dilutive net income available to stockholders $ 74,127 $ 116,187 Denominator: Weighted average basic shares 187,729,765 205,492,089 Effect of dilutive securities 195,281 87,550 Weighted average dilutive shares 187,925,046 205,579,639 Net income per average share attributable to common stockholders - Basic $ 0.39 $ 0.57 Net income per average share attributable to common stockholders - Diluted $ 0.39 $ 0.57 For the Six Months Ended June 30, 2016 June 30, 2015 (dollars in thousands) Numerator: Net income $ 157,226 $ 183,228 Effect of dilutive securities: — — Dilutive net income available to stockholders $ 157,226 $ 183,228 Denominator: Weighted average basic shares 187,726,618 205,509,782 Effect of dilutive securities 155,996 63,515 Weighted average dilutive shares 187,882,614 205,573,297 Net income per average share attributable to common stockholders - Basic $ 0.84 $ 0.89 Net income per average share attributable to common stockholders - Diluted $ 0.84 $ 0.89

Accumulated Other Comprehensi33

Accumulated Other Comprehensive Income (Tables)	6 Months Ended
	Jun. 30, 2016
Equity [Abstract]
Schedule of Components of AOCI	The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the six months ended June 30, 2016 and 2015 : June 30, 2016 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2015 $ 773,791 $ 773,791 OCI before reclassifications 112,423 112,423 Amounts reclassified from AOCI 20,959 20,959 Net current period OCI 133,382 133,382 Balance as of June 30, 2016 $ 907,173 $ 907,173 June 30, 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 (137,654 ) (137,654 ) Amounts reclassified from AOCI (4,219 ) (4,219 ) Net current period OCI (141,873 ) (141,873 ) Balance as of June 30, 2015 $ 904,807 $ 904,807
Schedule of Reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the six months ended June 30, 2016 and 2015 : June 30, 2016 June 30, 2015 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 $ 10,674 $ 39,135 Net realized gains (losses) on sales of investments (31,633 ) (34,916 ) Net other-than-temporary credit impairment losses $ (20,959 ) $ 4,219 Income before income taxes — — Income taxes $ (20,959 ) $ 4,219 Net of tax

Credit Risk and Interest Rate34

Credit Risk and Interest Rate Risk (Tables)	6 Months Ended
	Jun. 30, 2016
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 June 30, 2016 and December 31, 2015 . June 30, 2016 (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 $ (5,856,263 ) $ — $ (5,856,263 ) $ 7,315,756 $ 12,156 $ 1,471,649 Interest Rate Swaps - Gross Assets 146 (146 ) — — — — Interest Rate Swaps - Gross Liabilities (97,992 ) 97,992 — — 54,180 54,180 Treasury Futures - Gross Liabilities (15,001 ) 15,001 — — 6,190 6,190 Swaptions - Gross Assets 2,832 — 2,832 — — 2,832 Swaptions - Gross Liabilities (8,922 ) — (8,922 ) 10,688 — 1,766 Other Derivative Assets — — — — — — Total Liabilities $ (5,975,200 ) $ 112,847 $ (5,862,353 ) $ 7,326,444 $ 72,526 $ 1,536,617 (1) Included in other assets 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

Organization - Narrative (Detai

Organization - Narrative (Detail)	6 Months Ended
	Jun. 30, 2016subsidiary
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of wholly owned direct subsidiaries	7

Summary of the Significant Ac36

Summary of the Significant Accounting Policies - Narrative (Detail) - USD ($)		3 Months Ended		6 Months Ended
		Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value		$ 3,491,480,000		$ 3,491,480,000		$ 3,675,841,000
Agency RMBS, at fair value		4,481,503,000		4,481,503,000		6,514,824,000
Interest income	[1]	221,096,000	$ 215,804,000	422,293,000	$ 458,949,000
Accrual for income tax penalties and interest		0	0	0	0
Interest-Only RMBS
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value		293,000,000		293,000,000		245,000,000
Agency RMBS, at fair value		142,000,000		142,000,000		273,000,000
Non-Agency RMBS, Fair Value Option
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value		17,000,000		17,000,000		20,000,000
Other Assets
Summary Of Significant Accounting Policies [Line Items]
Total REO assets		16,000,000		16,000,000		$ 18,000,000
Residential Mortgage-Backed Securities | Interest-Only RMBS
Summary Of Significant Accounting Policies [Line Items]
Interest income		$ 11,000,000	$ 12,000,000	$ 23,000,000	$ 25,000,000
[1]	Includes interest income of consolidated VIEs of $160,885 and $146,900 for the quarters ended June 30, 2016 and 2015, respectively and interest income of consolidated VIEs of $292,865 and $297,518 for the six months ended June 30, 2016 and 2015, respectively. See Note 8 for further discussion.

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Investment Holdings [Line Items]
Principal or Notional Value	$ 17,223,903	$ 22,845,276
Total Premium	655,942	868,410
Total Discount	(1,742,225)	(1,814,615)
Amortized Cost	7,092,105	9,465,640
Fair Value	7,972,983	10,190,665
Gross Unrealized Gains	945,058	867,512
Gross Unrealized Losses	(64,180)	(142,490)
Net Unrealized Gain/(Loss)	880,878	725,022
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	5,693,428	5,426,029
Total Premium	295,094	268,515
Amortized Cost	295,094	268,515
Fair Value	280,868	234,171
Gross Unrealized Gains	28,130	18,113
Gross Unrealized Losses	(42,356)	(52,457)
Net Unrealized Gain/(Loss)	(14,226)	(34,344)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	718,917	762,466
Total Premium	21,200	23,635
Total Discount	(235,506)	(258,128)
Amortized Cost	504,613	527,975
Fair Value	577,152	604,295
Gross Unrealized Gains	79,999	83,896
Gross Unrealized Losses	(7,460)	(7,577)
Net Unrealized Gain/(Loss)	72,539	76,319
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value	274,357	284,931
Total Premium	14,527	15,226
Amortized Cost	14,527	15,226
Fair Value	12,553	11,254
Gross Unrealized Gains	83	62
Gross Unrealized Losses	(2,057)	(4,035)
Net Unrealized Gain/(Loss)	(1,974)	(3,973)
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	2,833,811	5,045,418
Total Premium	142,459	255,837
Amortized Cost	2,976,270	5,301,255
Fair Value	3,029,836	5,267,848
Gross Unrealized Gains	53,860	18,593
Gross Unrealized Losses	(294)	(52,001)
Net Unrealized Gain/(Loss)	53,566	(33,408)
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	1,226,725	952,091
Total Premium	34,279	24,815
Total Discount	(2,720)	(3,170)
Amortized Cost	1,258,284	973,736
Fair Value	1,309,644	973,787
Gross Unrealized Gains	51,716	8,052
Gross Unrealized Losses	(356)	(8,001)
Net Unrealized Gain/(Loss)	51,360	51
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,077,732	6,722,472
Total Premium	148,132	280,073
Amortized Cost	148,132	280,073
Fair Value	142,023	273,189
Gross Unrealized Gains	2,320	2,756
Gross Unrealized Losses	(8,429)	(9,640)
Net Unrealized Gain/(Loss)	(6,109)	(6,884)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	3,398,933	3,651,869
Total Premium	251	309
Total Discount	(1,503,999)	(1,553,317)
Amortized Cost	1,895,185	2,098,860
Fair Value	2,620,907	2,826,121
Gross Unrealized Gains	728,950	736,040
Gross Unrealized Losses	(3,228)	(8,779)
Net Unrealized Gain/(Loss)	$ 725,722	$ 727,261

Mortgage-Backed Securities - Ac

Mortgage-Backed Securities - Accretable Yield (Detail) - Available-for-sale Securities - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Accretable Yield Movement Schedule [Roll Forward]
Balance at beginning of period	$ 1,726,541	$ 1,536,862	$ 1,742,744	$ 1,534,497
Purchases	22,417	23,872	42,600	108,625
Accretion	(35,054)	(71,005)	(71,407)	(140,710)
Reclassification (to) from non-accretable difference	27,492	211,625	27,459	218,807
Sales and deconsolidation	(26,804)	(3,031)	(26,804)	(22,896)
Balance at end of period	$ 1,714,592	$ 1,698,323	$ 1,714,592	$ 1,698,323

Mortgage-Backed Securities - No

Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Investment Holdings [Line Items]
Loans acquired having deteriorated credit, outstanding principal	$ 3,343,812	$ 3,490,858	$ 3,550,698	$ 3,325,335
Loans acquired having deteriorated credit, amortized cost	$ 1,806,344	$ 1,937,419	$ 1,958,726	$ 1,741,780

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Jun. 30, 2016USD ($)security	Dec. 31, 2015USD ($)security
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 235,046	$ 5,477,895
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (12,497)	$ (92,223)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	86	406
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 279,639	$ 403,312
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (51,683)	$ (50,267)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	131	64
Estimated fair value of RMBS in continuous loss position	$ 514,685	$ 5,881,207
Unrealized losses on RMBS in continuous loss position	$ (64,180)	$ (142,490)
Number of Securities in continuous loss position | security	217	470
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 79,539	$ 294,520
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (2,398)	$ (8,779)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	7	20
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 34,101	$ 0
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (830)	$ 0
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	4	0
Estimated fair value of RMBS in continuous loss position	$ 113,640	$ 294,520
Unrealized losses on RMBS in continuous loss position	$ (3,228)	$ (8,779)
Number of Securities in continuous loss position | security	11	20
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 41,280	$ 81,919
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (5,185)	$ (18,715)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	43	83
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 87,910	$ 64,058
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (37,171)	$ (33,742)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	73	47
Estimated fair value of RMBS in continuous loss position	$ 129,190	$ 145,977
Unrealized losses on RMBS in continuous loss position	$ (42,356)	$ (52,457)
Number of Securities in continuous loss position | security	116	130
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 32,097	$ 138,257
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (3,463)	$ (7,577)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	10	22
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 2,423	$ 0
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (3,997)	$ 0
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	7	0
Estimated fair value of RMBS in continuous loss position	$ 34,520	$ 138,257
Unrealized losses on RMBS in continuous loss position	$ (7,460)	$ (7,577)
Number of Securities in continuous loss position | security	17	22
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 0	$ 6,455
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ 0	$ (1,039)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	0	1
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 11,442	$ 3,635
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (2,057)	$ (2,996)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	3	2
Estimated fair value of RMBS in continuous loss position	$ 11,442	$ 10,090
Unrealized losses on RMBS in continuous loss position	$ (2,057)	$ (4,035)
Number of Securities in continuous loss position | security	3	3
Agency MBS - Residential
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 2,329	$ 4,468,717
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (23)	$ (44,687)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	6	116
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 58,506	$ 290,926
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (271)	$ (7,314)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	1	4
Estimated fair value of RMBS in continuous loss position	$ 60,835	$ 4,759,643
Unrealized losses on RMBS in continuous loss position	$ (294)	$ (52,001)
Number of Securities in continuous loss position | security	7	120
Agency MBS - Commercial
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 45,955	$ 393,058
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (20)	$ (7,969)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	3	140
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 55,431	$ 4,986
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (336)	$ (32)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	35	4
Estimated fair value of RMBS in continuous loss position	$ 101,386	$ 398,044
Unrealized losses on RMBS in continuous loss position	$ (356)	$ (8,001)
Number of Securities in continuous loss position | security	38	144
Agency MBS - Interest-only
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 33,846	$ 94,969
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (1,408)	$ (3,457)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	17	24
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 29,826	$ 39,707
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (7,021)	$ (6,183)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	8	7
Estimated fair value of RMBS in continuous loss position	$ 63,672	$ 134,676
Unrealized losses on RMBS in continuous loss position	$ (8,429)	$ (9,640)
Number of Securities in continuous loss position | security	25	31

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Millions	3 Months Ended		6 Months Ended
	Jun. 30, 2016USD ($)	Jun. 30, 2015USD ($)	Jun. 30, 2016USD ($)point	Jun. 30, 2015USD ($)	Dec. 31, 2015USD ($)
Interest-Only RMBS
Investment Holdings [Line Items]
Interest-only RMBS, net unrealized gain (loss)	$ (22)		$ (22)		$ (45)
Interest-only RMBS, amortized cost	458		458		564
Interest-only RMBS, fair value	435		435		519
Agency RMBS - Pass-through
Investment Holdings [Line Items]
Gross unrealized loss	1		1		60
Non-agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 11		$ 11		$ 16
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality
Investment Holdings [Line Items]
Percentage in Alt-A collateral	68.00%		68.00%		64.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality
Investment Holdings [Line Items]
Percentage in prime collateral	16.00%		16.00%		17.00%
Re-REMIC Security
Investment Holdings [Line Items]
Fair value of securities exchanged	$ 17	$ 8	$ 17	$ 15
Minimum | Alt-A
Investment Holdings [Line Items]
FICO Score | point			680
Maximum | Alt-A
Investment Holdings [Line Items]
FICO Score | point			720
Alt-A securities underlying collateral of full documented loans			30.00%

Mortgage-Backed Securities - Ag

Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Total other-than-temporary impairment losses	$ (3,139)	$ (2,208)	$ (7,562)	$ (3,260)
Portion of loss recognized in other comprehensive income (loss)	(17,816)	(24,893)	(24,071)	(31,656)
Net other-than-temporary credit impairment losses	$ (20,955)	$ (27,101)	$ (31,633)	$ (34,916)

Mortgage-Backed Securities - 43

Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss beginning balance	$ 539,376	$ 513,886	$ 529,112	$ 507,548
Other-than-temporary impairments not previously recognized	627	18,455	10,953	26,270
Reductions for securities sold or deconsolidated during the period	(4,018)	(415)	(4,260)	(1,734)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	20,327	8,646	20,679	8,646
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(10,125)	(12,024)	(10,297)	(12,182)
Cumulative credit impairment loss ending balance	$ 546,187	$ 528,548	$ 546,187	$ 528,548

Mortgage-Backed Securities - OT

Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS	6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015
Weighted Average
Investment Holdings [Line Items]
Loss Severity	64.00%	66.00%
60+ days delinquent	21.00%	23.00%
Credit Enhancement	23.00%	8.00%
3 Month CPR	5.00%	9.00%
12 Month CPR	4.00%	9.00%
Minimum
Investment Holdings [Line Items]
Loss Severity	44.00%	17.00%
60+ days delinquent	0.00%	2.00%
Credit Enhancement	0.00%	0.00%
3 Month CPR	0.00%	3.00%
12 Month CPR	4.00%	3.00%
Maximum
Investment Holdings [Line Items]
Loss Severity	85.00%	96.00%
60+ days delinquent	40.00%	41.00%
Credit Enhancement	100.00%	27.00%
3 Month CPR	19.00%	27.00%
12 Month CPR	21.00%	20.00%

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 911,158	$ 844,273
Gross Unrealized Gain Included in Accumulated Deficit	33,900	23,240
Total Gross Unrealized Gain	945,058	867,512
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(3,968)	(70,752)
Gross Unrealized Loss Included in Accumulated Deficit	(60,212)	(71,738)
Total Gross Unrealized Loss	(64,180)	(142,490)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	728,950	736,040
Total Gross Unrealized Gain	728,950	736,040
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(3,228)	(8,779)
Total Gross Unrealized Loss	(3,228)	(8,779)
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Deficit	28,130	18,113
Total Gross Unrealized Gain	28,130	18,113
Gross Unrealized Loss Included in Accumulated Deficit	(42,356)	(52,457)
Total Gross Unrealized Loss	(42,356)	(52,457)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	76,632	81,588
Gross Unrealized Gain Included in Accumulated Deficit	3,367	2,309
Total Gross Unrealized Gain	79,999	83,896
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(90)	(1,971)
Gross Unrealized Loss Included in Accumulated Deficit	(7,370)	(5,606)
Total Gross Unrealized Loss	(7,460)	(7,577)
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Deficit	83	62
Total Gross Unrealized Gain	83	62
Gross Unrealized Loss Included in Accumulated Deficit	(2,057)	(4,035)
Total Gross Unrealized Loss	(2,057)	(4,035)
Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	53,860	18,593
Total Gross Unrealized Gain	53,860	18,593
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(294)	(52,001)
Total Gross Unrealized Loss	(294)	(52,001)
Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	51,716	8,052
Total Gross Unrealized Gain	51,716	8,052
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(356)	(8,001)
Total Gross Unrealized Loss	(356)	(8,001)
Agency MBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Deficit	2,320	2,756
Total Gross Unrealized Gain	2,320	2,756
Gross Unrealized Loss Included in Accumulated Deficit	(8,429)	(9,640)
Total Gross Unrealized Loss	$ (8,429)	$ (9,640)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Jun. 30, 2016USD ($)$ / security	Dec. 31, 2015USD ($)$ / security
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 17,223,903	$ 22,845,276
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 3,398,933	$ 3,651,869
Weighted Average Amortized Cost Basis	55.76	57.47
Weighted Average Fair Value	77.11	77.39
Weighted Average Coupon	4.00%	3.80%
Weighted Average Yield at Period-End	15.60%	13.70%
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 5,693,428	$ 5,426,029
Weighted Average Amortized Cost Basis	5.18	4.95
Weighted Average Fair Value	4.93	4.32
Weighted Average Coupon	1.60%	1.70%
Weighted Average Yield at Period-End	13.30%	12.90%
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 718,917	$ 762,466
Weighted Average Amortized Cost Basis	70.19	69.25
Weighted Average Fair Value	80.28	79.26
Weighted Average Coupon	3.20%	3.20%
Weighted Average Yield at Period-End	10.20%	8.80%
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 274,357	$ 284,931
Weighted Average Amortized Cost Basis	5.30	5.34
Weighted Average Fair Value	4.58	3.95
Weighted Average Coupon	1.10%	1.20%
Weighted Average Yield at Period-End	11.30%	10.90%
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 2,833,811	$ 5,045,418
Weighted Average Amortized Cost Basis	105.03	105.07
Weighted Average Fair Value	106.92	104.41
Weighted Average Coupon	3.90%	3.70%
Weighted Average Yield at Period-End	2.60%	2.80%
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 1,226,725	$ 952,091
Weighted Average Amortized Cost Basis	102.57	102.27
Weighted Average Fair Value	106.76	102.28
Weighted Average Coupon	3.50%	3.40%
Weighted Average Yield at Period-End	3.00%	2.90%
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 3,077,732	$ 6,722,472
Weighted Average Amortized Cost Basis	4.81	4.17
Weighted Average Fair Value	4.61	4.06
Weighted Average Coupon	0.90%	0.80%
Weighted Average Yield at Period-End	4.10%	3.40%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS	Jun. 30, 2016	Dec. 31, 2015
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	100.00%	100.00%
AAA Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.40%	0.50%
AA Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.30%	0.40%
A Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.70%	0.80%
BBB Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.30%	0.40%
BB Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	5.00%	5.20%
B Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	3.00%	3.00%
Below B or Not Rated Credit Rating
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	90.30%	89.70%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Re-REMIC Security
Schedule of Available-for-sale Securities [Line Items]
Fair value of securities exchanged	$ 17,000	$ 8,000	$ 17,000	$ 15,000
Amortized cost
Gain (Loss) on exchange of securities	259	$ (1,000)	(259)	$ (4,000)
Residential Mortgage-Backed Securities
Fair value
Less than one year, at fair value	17,571		17,571		$ 3,687
Greater than one year and less than five years, at fair value	3,357,603		3,357,603		781,478
Greater than five years and less than ten years, at fair value	2,261,577		2,261,577		7,284,439
Greater than ten years, at fair value	2,336,232		2,336,232		2,121,061
Total maturities, at fair value	7,972,983		7,972,983		10,190,665
Amortized cost
Less than one year, at amortized cost	14,904		14,904		4,648
Greater than one year and less than five years, at amortized cost	3,216,436		3,216,436		683,625
Greater than five years and less than ten years, at amortized cost	1,814,989		1,814,989		6,903,462
Greater than ten years, at amortized cost	2,045,776		2,045,776		1,873,905
Amortized Cost	7,092,105		7,092,105		9,465,640
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	14,324		14,324
Greater than one year and less than five years, at fair value	445,999		445,999		374,462
Greater than five years and less than ten years, at fair value	1,446,340		1,446,340		1,629,564
Greater than ten years, at fair value	714,244		714,244		822,095
Total maturities, at fair value	2,620,907		2,620,907		2,826,121
Amortized cost
Less than one year, at amortized cost	10,595		10,595
Greater than one year and less than five years, at amortized cost	351,042		351,042		281,255
Greater than five years and less than ten years, at amortized cost	1,052,222		1,052,222		1,235,528
Greater than ten years, at amortized cost	481,326		481,326		582,077
Amortized Cost	1,895,185		1,895,185		2,098,860
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	910		910		1,458
Greater than one year and less than five years, at fair value	42,991		42,991		41,862
Greater than five years and less than ten years, at fair value	127,901		127,901		123,538
Greater than ten years, at fair value	109,066		109,066		67,313
Total maturities, at fair value	280,868		280,868		234,171
Amortized cost
Less than one year, at amortized cost	1,990		1,990		2,440
Greater than one year and less than five years, at amortized cost	57,640		57,640		59,823
Greater than five years and less than ten years, at amortized cost	129,958		129,958		135,359
Greater than ten years, at amortized cost	105,506		105,506		70,893
Amortized Cost	295,094		295,094		268,515
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	2,337		2,337		2,229
Greater than one year and less than five years, at fair value	114,158		114,158		108,728
Greater than five years and less than ten years, at fair value	216,059		216,059		212,003
Greater than ten years, at fair value	244,598		244,598		281,335
Total maturities, at fair value	577,152		577,152		604,295
Amortized cost
Less than one year, at amortized cost	2,319		2,319		2,208
Greater than one year and less than five years, at amortized cost	87,641		87,641		86,728
Greater than five years and less than ten years, at amortized cost	173,964		173,964		168,403
Greater than ten years, at amortized cost	240,689		240,689		270,636
Amortized Cost	504,613		504,613		527,975
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated interest-only
Fair value
Greater than five years and less than ten years, at fair value	12,553		12,553		11,254
Total maturities, at fair value	12,553		12,553		11,254
Amortized cost
Greater than five years and less than ten years, at amortized cost	14,527		14,527		15,226
Amortized Cost	14,527		14,527		15,226
Residential Mortgage-Backed Securities | Agency MBS - Residential
Fair value
Greater than one year and less than five years, at fair value	2,654,390		2,654,390		150,357
Greater than five years and less than ten years, at fair value	375,446		375,446		5,117,491
Total maturities, at fair value	3,029,836		3,029,836		5,267,848
Amortized cost
Greater than one year and less than five years, at amortized cost	2,619,298		2,619,298		149,111
Greater than five years and less than ten years, at amortized cost	356,972		356,972		5,152,144
Amortized Cost	2,976,270		2,976,270		5,301,255
Residential Mortgage-Backed Securities | Agency MBS - Commercial
Fair value
Greater than one year and less than five years, at fair value	16,662		16,662
Greater than five years and less than ten years, at fair value	30,378		30,378		29,176
Greater than ten years, at fair value	1,262,604		1,262,604		944,611
Total maturities, at fair value	1,309,644		1,309,644		973,787
Amortized cost
Greater than one year and less than five years, at amortized cost	16,678		16,678
Greater than five years and less than ten years, at amortized cost	28,835		28,835		29,156
Greater than ten years, at amortized cost	1,212,771		1,212,771		944,580
Amortized Cost	1,258,284		1,258,284		973,736
Residential Mortgage-Backed Securities | Agency MBS - Interest-only
Fair value
Greater than one year and less than five years, at fair value	83,403		83,403		106,069
Greater than five years and less than ten years, at fair value	52,900		52,900		161,413
Greater than ten years, at fair value	5,720		5,720		5,707
Total maturities, at fair value	142,023		142,023		273,189
Amortized cost
Greater than one year and less than five years, at amortized cost	84,137		84,137		106,708
Greater than five years and less than ten years, at amortized cost	58,511		58,511		167,646
Greater than ten years, at amortized cost	5,484		5,484		5,719
Amortized Cost	$ 148,132		$ 148,132		$ 280,073

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS $ in Thousands	Jun. 30, 2016USD ($)point	Dec. 31, 2015USD ($)point
Investment Holdings [Line Items]
Weighted average maturity (years)	21 years 8 months 12 days	22 years
Weighted average amortized loan to value	67.20%	67.90%
Weighted average FICO | point	674	671
Weighted average loan balance | $	$ 320	$ 330
Weighted average percentage owner occupied	82.80%	82.70%
Weighted average percentage single family residence	65.50%	65.90%
Weighted average current credit enhancement	2.30%	2.40%
California
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	31.00%	30.40%
Florida
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	7.90%	8.00%
New York
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	7.90%	8.00%
New Jersey
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	2.60%	2.50%

Mortgage-Backed Securities - Ye

Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS	Jun. 30, 2016	Dec. 31, 2015
Origination Year as a Percentage of Outstanding Principal Balance:
1,999	0.10%	0.10%
2,000	0.50%	0.60%
2,001	1.50%	1.60%
2,002	0.50%	0.50%
2,003	1.80%	2.20%
2,004	4.30%	3.70%
2,005	20.90%	21.70%
2,006	35.70%	32.90%
2,007	32.30%	34.20%
2,008	1.90%	1.90%
2,013	0.40%	0.50%
2,014	0.10%	0.10%
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		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Investment Holdings [Line Items]
Net realized gain (loss)	$ 6,631	$ 9,685	$ 3,956	$ 39,250
Residential Mortgage-Backed Securities
Investment Holdings [Line Items]
Proceeds from sales	2,368,724	995,718	2,639,203	3,237,335
Gross realized gains	11,482	11,099	13,176	41,395
Gross realized losses	(4,851)	(1,414)	(9,220)	(2,145)
Net realized gain (loss)	$ 6,631	$ 9,685	$ 3,956	$ 39,250

Securitized Loans Held for In52

Securitized Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans Held for Investment at Fair Value - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 4,768,416	$ 5,306,501
Purchases	4,745,083	577,036
Principal paydowns	(331,638)	(707,996)
Sales and settlements	2,100	(9,638)
Net periodic accretion (amortization)	(16,895)	(19,100)
Change in fair value	45,138	(90,581)
Transfer due to deconsolidation	0	(287,806)
Balance, end of period	$ 9,212,204	$ 4,768,416

Securitized Loans Held for In53

Securitized Loans Held for Investment - Year Originated (Detail) - Securitized Loans Held for Investment at Fair Value	Jun. 30, 2016	Dec. 31, 2015
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2,004	0.20%	0.10%
2,007	8.20%	8.50%
2,008	8.10%	7.40%
2,009	0.30%	0.30%
2,010	5.30%	5.10%
2,011	31.40%	33.10%
2,012	46.50%	45.50%
Total	100.00%	100.00%
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	9.50%	11.20%
2,003	5.60%	4.00%
2,004	12.60%	11.10%
2,005	20.40%	19.30%
2,006	22.80%	17.40%
2,007	21.60%	25.40%
2,008	6.40%	9.50%
2,009	0.60%	1.10%
2010 and later	0.50%	1.00%
Total	100.00%	100.00%

Securitized Loans Held for In54

Securitized Loans Held for Investment - Collateral Characteristics (Detail) - Securitized Loans Held for Investment at Fair Value $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2016USD ($)pointloan	Dec. 31, 2015USD ($)pointloan
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	577	657
Weighted average maturity (years)	25 years 1 month 6 days	25 years 6 months
Weighted average loan to value	70.60%	70.70%
Weighted average FICO | point	764	765
Weighted average loan balance | $	$ 671	$ 682
Weighted average percentage owner occupied	95.10%	94.30%
Weighted average percentage single family residence	71.10%	70.10%
Weighted average geographic concentration of top five states	31.40%	33.10%
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	100,043	56,870
Weighted average maturity (years)	19 years 10 months 24 days	21 years 6 months
Weighted average loan to value	87.20%	80.70%
Weighted average FICO | point	635	625
Weighted average loan balance | $	$ 90	$ 76
Weighted average percentage owner occupied	97.00%	96.00%
Weighted average percentage single family residence	85.00%	72.50%
California | Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	32.10%	32.40%
California | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	8.50%	8.80%
Virginia | Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	7.10%	6.40%
Virginia | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	5.80%	6.30%
New Jersey | Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	6.60%	6.30%
Maryland | Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	6.60%	6.20%
Texas | Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	4.60%	5.10%
Florida | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	6.60%	7.10%
North Carolina | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	5.40%	6.10%
Ohio | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	6.80%	7.20%

Securitized Loans Held for In55

Securitized Loans Held for Investment - Aging (Detail) - Securitized Loans Held for Investment at Fair Value - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
30 Days Delinquent	$ 1,393	$ 3,079
90 and Over Days Delinquent	3,805	2,915
Foreclosure	2,321	2,875
REO	549	2,312
Total	8,068	11,181
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
30 Days Delinquent	199,737	189,816
60 Days Delinquent	61,346	66,429
90 and Over Days Delinquent	108,551	125,897
Bankruptcy	141,085	117,308
Foreclosure	203,897	218,493
REO	42,117	36,124
Total	$ 756,733	$ 754,067

Securitized Loans Held for In56

Securitized Loans Held for Investment - Narrative (Detail) - Fair Value $ in Millions	Jun. 30, 2016USD ($)
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and Over Days Delinquent	$ 3
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and Over Days Delinquent	$ 333

Fair Value Measurements - Level

Fair Value Measurements - Level of Fair Value (Detail) $ in Thousands	Jun. 30, 2016USD ($)loan	Dec. 31, 2015USD ($)loan
Assets:
Non-Agency RMBS, at fair value	$ 3,491,480	$ 3,675,841
Agency RMBS, at fair value	4,481,503	6,514,824
Securitized loans held for investment, at fair value	9,212,204	4,768,416
Derivative assets, at fair value, net	2,832	15,460
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(7,534,277)	(3,720,496)
Derivative liabilities, at fair value, net	(8,922)	(9,634)
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	3,491,480	3,675,841
Agency RMBS, at fair value	4,481,503	6,514,824
Securitized loans held for investment, at fair value	9,212,204	4,768,416
Derivative assets, counterparty and cash collateral, netting	(146)	(5,126)
Derivative assets, at fair value, net	2,832	15,460
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(7,534,277)	(3,720,496)
Derivative liabilities, counterparty and cash collateral, netting	112,993	47,600
Derivative liabilities, at fair value, net	(8,922)	(9,634)
Total	9,644,820	11,244,411
Derivatives, counterparty and cash collateral, netting	112,847	42,474
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1
Assets:
Derivative assets		1,599
Liabilities:
Derivative liabilities	(15,001)	(192)
Total	(15,001)	1,407
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2
Assets:
Agency RMBS, at fair value	4,481,503	6,514,824
Derivative assets	2,978	18,987
Liabilities:
Derivative liabilities	(106,914)	(57,042)
Total	4,377,567	6,476,769
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3
Assets:
Non-Agency RMBS, at fair value	3,491,480	3,675,841
Securitized loans held for investment, at fair value	9,212,204	4,768,416
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(7,534,277)	(3,720,496)
Total	$ 5,169,407	$ 4,723,761
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan	10	2
Excess of third party prices over internally developed price	$ 20,000	$ (1,000)
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	114,000	10,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 134,000	$ 11,000

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2016	Dec. 31, 2015	Dec. 31, 2014
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis [Roll Forward]
Derivatives, Beginning balance	$ 0	$ (71)
Derivatives, Sales and Settlements		(597)
Derivatives, Realized gains (losses) on sales and settlements included in net income		443
Derivatives, Net unrealized gains (losses) included in income		225
Derivatives, Ending balance	0	0
Fair Value Assets (Liabilities) Measured On Recurring Basis, Unobservable Input Reconciliation Calculation [Roll Forward]
Total, Beginning balance, Level 3	4,723,761	4,327,362
Total, Transfer due to consolidation/deconsolidation		(103,720)
Total, Purchases	696,297	(46,084)
Total, Principal payments	(262,102)	(350,489)
Total, Sales and Settlements	(36,459)	1,132,526
Total, Accretion (amortization) of purchase discounts	40,130	92,392
Total, Other than temporary credit impairment losses	(31,633)	(67,444)
Total, Realized gains (losses) on sales and settlements	(2,399)	23,236
Total, Net unrealized gains (losses) included in income	46,444	(147,934)
Total, Total unrealized gains (losses) for the period	(4,632)	(136,084)
Total, Ending balance, Level 3	5,169,407	4,723,761
Securitized Debt at Fair Value, Collateralized by Loans Held for Investment | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3	(3,720,496)	(4,383,217)
Securitized Debt, Transfers in to Level 3 assets	0	0
Securitized Debt, Transfers out of Level 3 assets	0	0
Securitized Debt, Transfer due to consolidation/deconsolidation		243,732
Securitized Debt, Purchases	(4,180,227)	(1,668,654)
Securitized Debt, Principal payments	349,098	743,329
Securitized Debt, Sales and Settlements	45,929	1,395,292
Securitized Debt, Accretion (amortization) of purchase discounts	(6,710)	(6,344)
Securitized Debt, Realized gains (losses) on sales and settlements	(1,766)	(5,930)
Securitized Debt, Net unrealized gains (losses) included in income	(20,105)	(38,704)
Securitized Debt, Gains (losses) included in other comprehensive income	0	0
Securitized Debt, Ending balance, Level 3	(7,534,277)	(3,720,496)
Non-agency MBS
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3 assets	3,675,841	3,404,149
Transfers in to Level 3 assets	0	0
Transfers out of Level 3 assets	0	0
Transfer due to deconsolidation		(59,646)
Purchases	131,441	1,045,534
Principal payments	(279,562)	(385,822)
Sales and Settlements	(84,488)	(252,532)
Accretion (amortization) of purchase discounts	63,735	117,836
Other than temporary credit impairment losses	(31,633)	(67,444)
Realized gains (losses) on sales and settlements	(633)	28,724
Net unrealized gains (losses) included in income	21,411	(18,874)
Total unrealized gains (losses) for the period	(4,632)	(136,084)
Ending balance Level 3 assets	3,491,480	3,675,841
Securitized Loans Held for Investment at Fair Value | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Mortgage Loans on Real Estate	9,212,204	4,768,416	$ 5,306,501
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3 assets	4,768,416	5,306,501
Transfers in to Level 3 assets	0	0
Transfers out of Level 3 assets	0	0
Transfer due to deconsolidation	0	(287,806)
Purchases		577,036
Principal payments		(707,996)
Sales and Settlements		(9,638)
Accretion (amortization) of purchase discounts		(19,100)
Net unrealized gains (losses) included in income		(90,581)
Total unrealized gains (losses) for the period	0	0
Ending balance Level 3 assets		4,768,416
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales	(2,100)	9,638
Change in fair value	45,138	(90,581)
Purchases	4,745,083	577,036
Mortgage Loans on Real Estate, Amortization of Premium	16,895	19,100
Mortgage Loans on Real Estate, Collections of Principal	$ 331,638	$ 707,996

Fair Value Measurements - Uno59

Fair Value Measurements - Unobservable Input Reconciliation - Additional Information (Detail) $ in Millions	Dec. 31, 2014USD ($)
Securitized Loans Held for Investment, Fair Value Option | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Securitized loans held for investment, at fair value	$ 607

Fair Value Measurements - Uno60

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Fair Value, Inputs, Level 3	Jun. 30, 2016	Dec. 31, 2015
Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	5.40%	5.50%
Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	12.10%	13.10%
Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	6.90%	6.60%
Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	13.10%	17.40%
Minimum | Non-Agency RMBS - Senior
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%	35.00%
Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	3.00%	3.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	35.00%	1.00%
Minimum | Non-Agency RMBS - Subordinated
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%	5.00%
Minimum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	6.00%	6.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	35.00%	1.00%
Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	30.00%	17.00%
Significant unobservable input, default rate	21.00%	22.00%
Significant unobservable input, loss severity rate	95.00%	95.00%
Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	30.00%	25.00%
Significant unobservable input, default rate	22.00%	23.00%
Significant unobservable input, loss severity rate	95.00%	95.00%
Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	20.00%	22.00%
Significant unobservable input, default rate	20.00%	20.00%
Significant unobservable input, loss severity rate	80.00%	91.00%
Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	16.00%	13.00%
Significant unobservable input, default rate	10.00%	10.00%
Significant unobservable input, loss severity rate	73.00%	64.00%

Fair Value Measurements - Uno61

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Fair Value, Inputs, Level 3 - Securitized Debt at Fair Value, Collateralized by Loans Held for Investment	Jun. 30, 2016	Dec. 31, 2015
Minimum
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	4.00%	4.00%
Significant unobservable input, default rate	0.00%	0.00%
Significant unobservable input, loss severity rate	35.00%	35.00%
Maximum
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	35.00%	32.00%
Significant unobservable input, default rate	3.00%	6.00%
Significant unobservable input, loss severity rate	65.00%	65.00%

Fair Value Measurements - Uno62

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Loans Held for Investment (Detail) - Fair Value, Inputs, Level 3 - Securitized Loans Held for Investment at Fair Value - point	Jun. 30, 2016	Dec. 31, 2015
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.90%	6.80%
FICO	635	625
Loan-to-value (LTV)	87.00%	81.00%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.50%	4.80%
FICO	631	620
Loan-to-value (LTV)	87.00%	90.00%
Single family | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	85.00%	77.00%
Manufactured housing | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	7.00%	11.00%
Multi-family/mixed use/other | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	8.00%	12.00%
Owner Occupied | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	97.00%	96.00%
Investor | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	2.00%	4.00%
Secondary | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	1.00%	0.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 424,596	$ 529,415
Carrying Amount | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	5,856,263	7,439,339
Carrying Amount | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS		529,415
Fair Value | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	5,871,664	7,466,409
Fair Value | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 417,224	$ 518,941

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Detail) - Repurchase Agreements - USD ($) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Short-term Debt [Line Items]
Amount at risk	$ 460	$ 303
Securities Pledged as Collateral | Credit Suisse First Boston | Credit Concentration Risk | Stockholders' Equity, Total
Short-term Debt [Line Items]
Collateral posted on repurchase agreements, percentage of equity	16.00%	10.00%
Weighted average maturity	18 days	25 days

Repurchase Agreements - Outstan

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	Jun. 30, 2016	Jun. 30, 2016	Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 5,856,263	$ 5,856,263	$ 7,439,339
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	3,393,252	$ 3,393,252	5,324,729
Average daily balance	$ 5,015,804		$ 5,776,980
Weighted average borrowing rate	0.80%	0.80%	0.64%
Weighted average maturity		41 days	53 days
Securities pledged as collateral	$ 3,637,847	$ 3,637,847	$ 5,655,410
Repurchase Agreements | Non-agency MBS
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	2,463,011	$ 2,463,011	2,114,610
Average daily balance	$ 2,164,639		$ 1,627,909
Weighted average borrowing rate	2.70%	2.70%	2.44%
Weighted average maturity		117 days	137 days
Securities pledged as collateral	$ 3,677,909	$ 3,677,909	$ 3,117,875
Repurchase Agreements | Residential Mortgage-Backed Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	5,856,263	5,856,263	7,439,339
Average daily balance	7,180,443		7,404,889
Securities pledged as collateral	$ 7,315,756	$ 7,315,756	$ 8,773,285

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 5,856,263	$ 7,439,339
Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	331,855	0
1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	2,491,293	3,312,902
30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	804,971	2,501,513
60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	1,086,872	246,970
90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	432,569	430,026
Greater than or equal to 120 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 708,703	$ 947,928

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - USD ($)	3 Months Ended			6 Months Ended
	Jun. 30, 2016	Mar. 31, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Debt Instrument [Line Items]
Net unrealized losses on financial instruments at fair value	$ (30,347,000)		$ 37,260,000	$ (47,218,000)	$ 47,685,000
(Gain) loss on extinguishment of debt	0		(5,079,000)	1,766,000	(5,079,000)
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS
Debt Instrument [Line Items]
Principal balance of debt	$ 441,876,398.44			$ 441,876,398.44		$ 545,000,000
Weighted average cost of financing	4.79%			4.79%		4.49%
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Loans Held for Investment
Debt Instrument [Line Items]
Principal balance of debt	$ 7,713,323,318.45			$ 7,713,323,318.45		$ 3,800,000,000
Weighted average cost of financing	4.01%			4.01%		3.24%
Net unrealized losses on financial instruments at fair value	$ 30,000,000		$ 23,000,000	$ 20,000,000	$ 29,000,000
Securitized Loans | Variable Interest Entity, Primary Beneficiary | Loans Held for Investment
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance		$ 44,000,000
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS		46,000,000
(Gain) loss on extinguishment of debt		$ 2,000,000

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Non-agency MBS
Debt Instrument [Line Items]
Within One Year	$ 124,436	$ 137,642
One to Three Years	128,006	178,191
Three to Five Years	32,018	60,872
Greater Than Five Years	38,408	52,280
Total	322,868	428,985
Loans Held for Investment
Debt Instrument [Line Items]
Within One Year	1,139,365	591,171
One to Three Years	1,840,792	941,704
Three to Five Years	1,481,979	734,291
Greater Than Five Years	3,143,297	1,502,663
Total	$ 7,605,433	$ 3,769,829

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands	Jun. 30, 2016USD ($)
Debt Instrument, Redemption [Line Items]
2,016	$ 1,695,226
2,017	193,544
2,018	1,316,919
2,019	0
2,020	4,209,200
Total	$ 7,414,889

Consolidated Securitization V70

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($)	3 Months Ended
	Jun. 30, 2016	Dec. 31, 2015
Non-agency MBS
Variable Interest Entity [Line Items]
Unconsolidated VIEs, aggregate investment	$ 1,500,000,000	$ 1,500,000,000
Non-agency MBS | Minimum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million minimum)	1,000,000	1,000,000
Non-agency MBS | Maximum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million minimum)	50,894,322	54,000,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Assets	11,401,484,000	7,031,278,000
Liabilities	7,997,605,000	4,262,017,000
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	1,400,000,000	$ 1,500,000,000
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Mortgage loans	$ 5,000,000,000

Consolidated Securitization V71

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Assets:
Non-Agency RMBS, at fair value	$ 3,491,480	$ 3,675,841
Securitized loans held for investment, at fair value	9,212,204	4,768,416
Accrued interest receivable	109,644	66,247
Other assets	225,155	189,796
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	424,596	529,415
Securitized debt at fair value, collateralized by loans held for investment	7,534,277	3,720,496
Accrued interest payable	60,171	37,432
Variable Interest Entity, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value	1,973,294	2,140,494
Securitized loans held for investment, at fair value	9,212,204	4,768,416
Accrued interest receivable	86,368	35,916
Other assets	129,618	86,452
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	424,596	529,415
Securitized debt at fair value, collateralized by loans held for investment	7,534,277	3,720,496
Accrued interest payable	38,732	$ 12,106
Consolidated Trusts | Variable Interest Entity, Primary Beneficiary
Assets:
Securitized loans held for investment, at fair value	4,789,782
Other assets	39,318
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	$ 4,097,712

Consolidated Securitization V72

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs	$ 160,885	$ 146,900	$ 292,865	$ 297,518
Interest expense, Non-recourse liabilities of VIEs	58,772	50,426	98,022	97,179
Net interest income	137,869	149,760	276,085	332,449
Total other-than-temporary impairment losses		(2,208)		(3,260)
Portion of loss recognized in other comprehensive income		(24,893)		(31,656)
Net other-than-temporary credit impairment losses		(27,101)	(31,633)	(34,916)
Variable Interest Entity, Primary Beneficiary
Variable Interest Entity [Line Items]
Total other-than-temporary impairment losses	(612)	(1,040)	(845)	(1,437)
Portion of loss recognized in other comprehensive income	(19,462)	(20,491)	(27,326)	(27,379)
Net other-than-temporary credit impairment losses	(20,074)	(21,531)	(28,171)	(28,816)
Variable Interest Entity, Primary Beneficiary | Non-Agency Residential Mortgage-Backed Securities and Securitized Loans [Member]
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs	160,885	146,900	292,865	297,518
Interest expense, Non-recourse liabilities of VIEs	58,772	50,426	98,022	97,179
Net interest income	$ 102,113	$ 96,474	$ 194,843	$ 200,339

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($)	Jun. 30, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 2,799,600,000	$ 6,086,600,000
Net Estimated Fair Value/Carrying Value	2,832,000	15,460,000
Net Estimated Fair Value/Carrying Value	(8,922,000)	(9,634,000)
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,430,900,000	4,555,400,000
Net Estimated Fair Value/Carrying Value	0	1,232,000
Net Estimated Fair Value/Carrying Value	0	(6,369,000)
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	749,000,000	779,000,000
Net Estimated Fair Value/Carrying Value	2,832,000	12,821,000
Net Estimated Fair Value/Carrying Value	(8,922,000)	(3,265,000)
Treasury Futures
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	619,700,000	752,200,000
Net Estimated Fair Value/Carrying Value	0	1,407,000
Net Estimated Fair Value/Carrying Value	$ 0	$ 0

Derivative Instruments - Effe74

Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 22,100	$ 88,028	$ (79,010)	$ 92,083
Net realized gains (losses) on derivatives	(9,697)	(16,777)	(44,666)	(58,863)
Net gains (losses) on derivatives	(47,755)	40,127	(184,292)	(66,483)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	38,903	70,269	(50,236)	80,230
Net realized gains (losses) on derivatives	(68,299)	(40,154)	(79,976)	(123,901)
Mortgage Options
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	0	1	0	225
Net realized gains (losses) on derivatives	0	31	0	443
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	(13,424)	13,704	(16,408)	8,795
Net realized gains (losses) on derivatives	635	(7,778)	(20,975)	(35,232)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	(3,379)	4,054	(12,366)	2,833
Net realized gains (losses) on derivatives	(1,624)	0	(3,765)	144
Other Derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	0	0	0	0
Net realized gains (losses) on derivatives	$ (567)	$ 0	$ (566)	$ (21)

Derivative Instruments - Effe75

Derivative Instruments - Effect on Consolidated Results - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Realized gains (losses) on terminations of interest rate swaps	$ (60,158)	$ (31,124)	$ (60,616)	$ (99,703)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($)	3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Derivative assets	$ 2,832,000		$ 2,832,000		$ 15,460,000
Realized gains (losses) on terminations of interest rate swaps	$ 60,158,000	$ 31,124,000	$ 60,616,000	$ 99,703,000
The weighted average pay rate on the Company's interest rate swaps	2.07%		2.07%		1.51%
The weighted average receive rate on the Company's interest rate swaps	0.62%		0.62%		0.36%
The weighted average maturity on the Company's interest rate swaps			8 years		4 years
Fair value of credit risk derivative instruments in a net liability position	$ 108,000,000		$ 108,000,000
Early Terminated Interest Rate Swaps [Member]
Derivatives, Fair Value [Line Items]
Derivative instruments terminated	$ 2,265,000,000	$ 600,000,000	$ 3,265,000,000	$ 1,200,000,000

Common Stock - Narrative (Detai

Common Stock - Narrative (Detail) - USD ($) $ / shares in Units, shares in Millions	3 Months Ended			6 Months Ended
	Jun. 30, 2016	Mar. 31, 2016	Jun. 30, 2015	Jun. 30, 2016	Dec. 31, 2015	Jun. 30, 2015	Aug. 05, 2015
Class of Stock [Line Items]
Value of shares repurchased					$ 250,000,000
Stock repurchase program, additional authorized amount		$ 100,000,000
Stock repurchase program, authorized amount		$ 350,000,000					$ 250,000,000
Number of shares repurchased (shares)	0				18
Repurchase price per share (usd per share)					$ 13.94
Stock repurchase program, remaining authorized repurchase amount	$ 100,000,000			$ 100,000,000
Common dividends declared				$ 274,470,000		$ 197,339,000
Common dividends declared, per share (usd per share)	$ 0.48		$ 0.48	$ 1.46		$ 0.96
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 90,000,000		$ 99,000,000	$ 180,000,000		$ 197,000,000
Common dividends declared, per share (usd per share)	$ 0.48		$ 0.48	$ 0.96		$ 0.96
Special Dividend
Class of Stock [Line Items]
Common dividends declared				$ 94,000,000
Common dividends declared, per share (usd per share)				$ 0.50

Common Stock - Earnings Per Sha

Common Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Equity [Abstract]
Net income	$ 74,127	$ 116,187	$ 157,226	$ 183,228
Effect of dilutive securities:	0	0	0	0
Dilutive net income available to stockholders	$ 74,127	$ 116,187	$ 157,226	$ 183,228
Weighted average basic shares (shares)	187,729,765	205,492,089	187,726,618	205,509,782
Effect of dilutive securities (shares)	195,281	87,550	155,996	63,515
Weighted average dilutive shares (shares)	187,925,046	205,579,639	187,882,614	205,573,297
Net income per average share attributable to common stockholders - Basic (usd per share)	$ 0.39	$ 0.57	$ 0.84	$ 0.89
Net income per average share attributable to common stockholders - Diluted (usd per share)	$ 0.39	$ 0.57	$ 0.84	$ 0.89

Accumulated Other Comprehensi79

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
AOCI [Roll Forward]
Beginning Balance			$ 2,946,188	$ 3,607,690
Other comprehensive income (loss)	$ 64,908	$ (100,700)	133,382	(141,873)
Ending Balance	2,963,080	3,440,065	2,963,080	3,440,065
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance			773,791	1,046,680
OCI before reclassifications			112,423	(137,654)
Amounts reclassified from AOCI			20,959	(4,219)
Other comprehensive income (loss)			133,382	(141,873)
Ending Balance	907,173	904,807	907,173	904,807
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance			773,791	1,046,680
OCI before reclassifications			112,423	(137,654)
Amounts reclassified from AOCI			20,959	(4,219)
Other comprehensive income (loss)			133,382	(141,873)
Ending Balance	$ 907,173	$ 904,807	$ 907,173	$ 904,807

Accumulated Other Comprehensi80

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 6,631	$ 9,685	$ 3,956	$ 39,250
Net other-than-temporary credit impairment losses		(27,101)	(31,633)	(34,916)
Income (loss) before income taxes	74,150	116,187	157,278	183,229
Income taxes	(23)	0	(52)	(1)
Net income (loss)	74,127	116,187	$ 157,226	$ 183,228
Amounts Reclassified from Accumulated OCI | Unrealized gains (losses) on available-for-sale securities, net
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	10,674	39,135
Net other-than-temporary credit impairment losses	(31,633)	(34,916)
Income (loss) before income taxes	(20,959)	4,219
Income taxes	0	0
Net income (loss)	$ (20,959)	$ 4,219

Equity Compensation, Employme81

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) - USD ($)	3 Months Ended			6 Months Ended
	Jun. 30, 2016	Mar. 31, 2016	Jun. 30, 2015	Jun. 30, 2016	Jun. 30, 2015
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Forfeitures (shares)	0			0
Share-based compensation expense	$ 652,000		$ 36,000	$ 754,000	$ 468,000
Restricted Stock | 2007 Equity Incentive Plan
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Shares available for future grants (shares)	7,200,000			7,200,000
Restricted Stock | Minimum | 2007 Equity Incentive Plan
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period				2 years
Restricted Stock | Maximum | 2007 Equity Incentive Plan
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period				10 years
Restricted Stock Units (RSUs)
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Forfeitures (shares)		266,200
Grant date fair value		$ 3,000,000
Restricted Stock Units (RSUs) | Vesting Beginning One Year from Grant Date
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting period		3 years
Performance Share Units
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Grant date fair value		$ 3,000,000
Granted shares (shares)		179,600
Performance period		3 years
Performance Share Units | Minimum
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting percentage		0.00%
Performance Share Units | Maximum
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Vesting percentage		150.00%
401(k) Plan
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items]
Maximum annual contributions per employee, percent				25.00%
Expense related to qualified plan	$ 122,000		$ 0	$ 214,000	$ 0
401(k) Plan | Minimum
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%
401(k) Plan | Maximum
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				6.00%

Credit Risk and Interest Rate82

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands	Jun. 30, 2016	Dec. 31, 2015
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (5,856,263)	$ (7,439,339)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(5,856,263)	(7,439,339)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	7,315,756	8,773,285
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	12,156	37,296
Net Amount	1,471,649	1,371,242
Derivative Asset [Abstract]
Net Amounts Offset in the Consolidated Statements of Financial Position	2,832	15,460
Derivative Liability [Abstract]
Net Amounts Offset in the Consolidated Statements of Financial Position	(8,922)	(9,634)
Total [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	(5,975,200)	(7,475,795)
Gross Amounts Offset in the Consolidated Statements of Financial Position	112,847	42,282
Net Amounts Offset in the Consolidated Statements of Financial Position	(5,862,353)	(7,433,513)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	7,326,444	8,781,874
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	72,526	95,140
Net Amount	1,536,617	1,443,501
Interest Rate Swaps
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	146	6,166
Gross Amounts Offset in the Consolidated Statements of Financial Position	(146)	(4,934)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	1,232
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	0	0
Net Amount	0	1,232
Derivative Liability [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	(97,992)	(53,777)
Gross Amounts Offset in the Consolidated Statements of Financial Position	97,992	47,408
Net Amounts Offset in the Consolidated Statements of Financial Position	0	(6,369)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0	8,589
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	54,180	51,424
Net Amount	54,180	53,644
Treasury Futures
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)		1,599
Gross Amounts Offset in the Consolidated Statements of Financial Position		(192)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	1,407
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		6,420
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Net Amount		7,827
Derivative Liability [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	(15,001)
Gross Amounts Offset in the Consolidated Statements of Financial Position	15,001
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	6,190
Net Amount	6,190
Swaptions
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	2,832	12,821
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	2,832	12,821
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	0	0
Net Amount	2,832	12,821
Derivative Liability [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	(8,922)	(3,265)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(8,922)	(3,265)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	10,688	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	0	0
Net Amount	1,766	$ (3,265)
Other Derivatives
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	0
Gross Amounts Offset in the Consolidated Statements of Financial Position	0
Net Amounts Offset in the Consolidated Statements of Financial Position	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	0
Net Amount	$ 0

Commitments and Contingencies (

Commitments and Contingencies (Details) $ in Millions	3 Months Ended
	Mar. 31, 2016USD ($)
Non-agency MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Third party recovery	$ 95