Chimera Investment (CIM) 10-K 21 Feb 17 2016 FY Annual report Financial data

Document and Entity Information

Document and Entity Information - USD ($)	12 Months Ended
	Dec. 31, 2016	Jan. 31, 2017	Jun. 30, 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-K
Document Period End Date	Dec. 31, 2016
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus	FY
Amendment Flag	false
Entity Common Stock, Shares Outstanding		187,739,676
Entity Well-known Seasoned Issuer	Yes
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Public Float			$ 2,929,087,048

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Dec. 31, 2016	Dec. 31, 2015
Assets:
Cash and cash equivalents		$ 177,714	$ 114,062
Non-Agency RMBS, at fair value		3,330,063	3,675,841
Agency MBS, at fair value		4,167,754	6,514,824
Securitized loans held for investment, at fair value		8,753,653	4,768,416
Accrued interest receivable		79,697	66,247
Other assets		166,350	189,796
Derivatives, at fair value, net		9,677	15,460
Total assets	[1]	16,684,908	15,344,646
Liabilities:
Repurchase agreements, MBS ($7.0 billion and $8.8 billion pledged as collateral, respectively)		5,600,903	7,439,339
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion and $2.1 billion pledged as collateral, respectively)		334,124	529,415
Securitized debt at fair value, collateralized by loans held for investment ($8.8 billion and $4.8 billion pledged as collateral, respectively)		6,941,097	3,720,496
Payable for investments purchased		520,532	560,641
Accrued interest payable		48,670	37,432
Dividends payable		97,005	90,097
Accounts payable and other liabilities		16,694	11,404
Derivatives, at fair value		2,350	9,634
Total liabilities	[1]	13,561,375	12,398,458
Commitments and Contingencies (See Note 15)
Stockholders' Equity:
Preferred Stock: par value $0.01 per share; 8% Series A cumulative redeemable; 100,000,000 shares authorized, 5,800,000 and 0 shares issued and outstanding, respectively ($145,000 liquidation preference)		58	0
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,739,634 and 187,711,868 shares issued and outstanding, respectively		1,877	1,877
Additional paid-in-capital		3,508,779	3,366,568
Accumulated other comprehensive income		718,106	773,791
Cumulative earnings		2,443,184	1,891,239
Cumulative distributions to stockholders		(3,548,471)	(3,087,287)
Total stockholders' equity		3,123,533	2,946,188
Total liabilities and stockholders' equity		$ 16,684,908	$ 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 December 31, 2016 and December 31, 2015, total assets of consolidated VIEs were $10,761,954 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $7,300,163 and $4,262,017, respectively. See Note 8 for further discussion.

CONSOLIDATED STATEMENTS OF FIN3

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
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)	187,739,634	187,711,868
Common stock, shares outstanding (shares)	187,739,634	187,711,868
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral	$ 7,033,866,000	$ 8,773,285,000
Repurchase Agreements | Non-agency MBS
Securities pledged as collateral	3,699,621,000	3,117,875,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Assets	10,761,954,000	7,031,278,000
Liabilities	7,300,163,000	4,262,017,000
Securitized Loans | Non-agency MBS
Securities pledged as collateral	1,800,000,000	2,100,000,000
Securitized Loans | Securitized Loans Held for Investment at Fair Value
Securities pledged as collateral	$ 8,800,000,000	$ 4,800,000,000
Preferred Class A
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)	5,800,000,000	0
Preferred Stock, shares outstanding (shares)	5,800,000,000	0
Preferred Stock, liquidation preference	$ 145,000	$ 145,000
Preferred Stock, dividend rate (percent)	8.00%	8.00%

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		12 Months Ended
		Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Net Interest Income:
Interest income	[1]	$ 934,068	$ 872,737	$ 687,795
Interest expense	[2]	347,857	259,365	147,785
Net interest income		586,211	613,372	540,010
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(9,589)	(8,700)	(8,713)
Portion of loss recognized in other comprehensive income		(48,398)	(58,744)	(55,279)
Net other-than-temporary credit impairment losses		(57,987)	(67,444)	(63,992)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		50,093	67,385	(103,496)
Realized gains (losses) on terminations of interest rate swaps		(60,616)	(98,949)	0
Net realized gains (losses) on derivatives		(44,886)	(83,073)	(82,852)
Net gains (losses) on derivatives		(55,409)	(114,637)	(186,348)
Net unrealized gains (losses) on financial instruments at fair value		59,552	(158,433)	193,534
Net realized gains (losses) on sales of investments		18,155	77,074	91,709
Gain (loss) on deconsolidation		0	(256)	47,846
Gains (losses) on Extinguishment of Debt		(477)	(5,930)	(2,184)
Total other gains (losses)		21,821	(202,182)	144,557
Other income:
Other income		95,000	0	23,783
Total other income		95,000	0	23,783
Other expenses:
Management fees		0	24,609	32,514
Expense recoveries from Manager		0	(6,906)	(8,936)
Net management fees		0	17,703	23,578
Provision for loan losses, net		0	0	(232)
Compensation and benefits		26,901	10,544	0
General and administrative expenses		17,516	31,633	20,403
Servicing Fees of consolidated VIEs		31,178	25,244	10,004
Deal Expenses		17,424	8,272	1,398
Total other expenses		93,019	93,396	55,151
Income (loss) before income taxes		552,026	250,350	589,207
Income taxes		83	1	2
Net income (loss)		551,943	250,349	589,205
Dividend on preferred stock		2,449	0	0
Net income (loss) available to common shareholders		$ 549,494	$ 250,349	$ 589,205
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 2.93	$ 1.25	$ 2.87
Diluted (usd per share)		$ 2.92	$ 1.25	$ 2.87
Weighted average number of common shares outstanding:
Basic (shares)		187,728,634	199,563,196	205,450,095
Diluted (shares)		188,024,838	199,650,177	205,508,769
Dividends declared per share of common stock (usd per share)		$ 2.44	$ 1.92	$ 1.80
[1]	Includes interest income of consolidated VIEs of $678,623, $575,715, and $428,992 for the years ended December 31, 2016, 2015, and 2014 respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $249,708, $191,922 and $119,103 for the years ended December 31, 2016, 2015, 2014 respectively. See Note 8 to consolidated financial statements for further discussion.

CONSOLIDATED STATEMENTS OF OPE5

CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entity, Primary Beneficiary - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Interest income, Assets of consolidated VIEs	$ 678,623	$ 575,715	$ 428,992
Interest expense, Non-recourse liabilities of VIEs	$ 249,708	$ 191,922	$ 119,103

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Comprehensive income (loss):
Net income (loss)	$ 551,943	$ 250,349	$ 589,205
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(88,527)	(263,049)	134,113
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	57,987	67,444	63,992
Reclassification adjustment for net realized losses (gains) included in net income	(25,145)	(77,284)	(94,382)
Reclassification adjustment for gain on deconsolidation included in net income	0	0	(47,846)
Other comprehensive income (loss)	(55,685)	(272,889)	55,877
Comprehensive income (loss) before preferred stock dividends	496,258	(22,540)	645,082
Dividends declared on preferred stock	2,449	0	0
Comprehensive income (loss) available to common stock shareholders	$ 493,809	$ (22,540)	$ 645,082

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands		Total	Preferred Stock Par Value	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income	Cumulative Earnings	Cumulative Distributions to Stockholders	Preferred Class A	Preferred Class APreferred Stock Par Value	Preferred Class AAdditional Paid-in Capital
Beginning Balance at Dec. 31, 2013		$ 3,331,510	$ 0	$ 2,055	$ 3,613,458	$ 990,803	$ 1,063,822	$ (2,338,628)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)		589,205					589,205	0
Other comprehensive income (loss)		55,877				55,877	0	0
Stock based compensation		953			953	0
Common dividends declared		(369,855)	0	0	0			(369,855)
Preferred dividends declared		0
Ending Balance at Dec. 31, 2014		3,607,690	0	2,055	3,614,411	1,046,680	1,653,027	(2,708,483)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)		250,349					250,349	0
Cumulative effect of accounting change	[1]	(12,137)					(12,137)	0
Other comprehensive income (loss)		(272,889)				(272,889)
Stock based compensation		1,979		2	1,977
Repurchase of common stock		(250,000)		(180)	(249,820)
Common dividends declared		(378,804)					0	(378,804)
Preferred dividends declared		0
Ending Balance at Dec. 31, 2015		2,946,188	0	1,877	3,366,568	773,791	1,891,239	(3,087,287)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)		551,943					551,943
Other comprehensive income (loss)		(55,685)				(55,685)
Stock based compensation		2,206		0	2,206
Common dividends declared		(458,735)						(458,735)
Preferred dividends declared		(2,449)						(2,449)
Issuance of preferred stock									$ 140,065	$ 58	$ 140,007
Ending Balance at Dec. 31, 2016		$ 3,123,533	$ 58	$ 1,877	$ 3,508,781	$ 718,106	$ 2,443,182	$ (3,548,471)
[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 $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Cash Flows From Operating Activities:
Net income	$ 551,943	$ 250,349	$ 589,205
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	(3,127)	3,813	(72,569)
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	1,543	17,145	11,552
Amortization of swaption premium	6,559	0	0
Net unrealized losses (gains) on derivatives	(50,093)	(67,385)	103,496
Net realized losses (gains) on option contracts settled	0	0	1,246
Proceeds (payments) for derivative sales and settlements	0	(13,495)	(6,923)
Margin (paid) received on derivatives	56,050	82,671	(186,462)
Net unrealized losses (gains) on financial instruments at fair value	(59,552)	158,433	(193,534)
Net realized losses (gains) on sales of investments	(18,155)	(77,074)	(91,709)
(Gains) loss on deconsolidation	0	256	(47,846)
Net other-than-temporary credit impairment losses	57,987	67,444	63,992
(Gain) loss on extinguishment of debt	477	5,930	2,184
Provision for loan losses, net	0	0	(232)
Equity-based compensation expense	2,204	1,979	956
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	(13,450)	4,852	(37,570)
Decrease (increase) in other assets	3,994	(42,738)	16,471
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	5,290	8,935	608
Increase (decrease) in investment management fees and expenses payable to affiliate	0	(10,357)	4,699
Increase (decrease) in accrued interest payable, net	11,237	5,544	25,213
Net cash provided by (used in) operating activities	552,907	396,302	182,777
Cash Flows From Investing Activities:
Acquisition of investments in consolidated VIEs	0	(109,872)	(774,350)
Disposition of investments in consolidated VIEs	0	2,601	0
Net cash provided by (used in) investing activities	(1,270,560)	2,037,911	(5,778,558)
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	34,202,707	41,644,280	27,128,227
Payments on repurchase agreements	(36,041,143)	(42,660,323)	(20,331,406)
Net proceeds from common stock offerings	0	0	0
Net proceeds from preferred stock offerings	140,065	0	0
Payments on repurchase of common stock	0	(250,000)	0
Proceeds from securitized debt borrowings, collateralized by loans held for investment	4,797,255	1,483,301	43,981
Payments on securitized debt borrowings, collateralized by loans held for investment	(1,668,670)	(2,138,623)	(341,313)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(194,634)	(182,217)	(185,369)
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS	0	0	(56,072)
Common dividends paid	(454,275)	(381,189)	(575,276)
Net cash provided by (used in) financing activities	781,305	(2,484,771)	5,682,772
Net increase (decrease) in cash and cash equivalents	63,652	(50,558)	86,991
Cash and cash equivalents at beginning of period	114,062	164,620	77,629
Cash and cash equivalents at end of period	177,714	114,062	164,620
Supplemental disclosure of cash flow information:
Interest received	917,491	881,403	577,123
Interest paid	335,077	236,676	111,020
Management fees and expenses paid	0	34,996	27,815
Non-cash investing activities:
Receivable for investments sold	0	0	1,572,056
Payable for investments purchased	520,532	(560,641)	(1,845,282)
Net change in unrealized gain (loss) on available-for sale securities	(55,685)	(272,889)	55,877
Acquisition of securities in Consolidated VIEs
Securitized loans held for investment, at fair value	0	295,225	4,722,825
Other assets	0	0	84,830
Securitized debt at fair value	0	(185,353)	4,033,304
Non-cash financing activities:
Common dividends declared, not yet paid	94,557	90,097	92,483
Preferred dividends declared, not yet paid	97,005	90,097
Agency MBS - Residential
Cash Flows From Investing Activities:
Purchases	(1,040,290)	(6,590,731)	(8,860,042)
Sales	2,570,025	7,563,771	2,555,570
Principal payments	649,961	1,061,193	512,202
Non-agency MBS
Cash Flows From Investing Activities:
Purchases	(203,400)	(850,750)	(365,240)
Sales	95,399	158,404	513,030
Principal payments	532,701	385,988	323,900
Securitized Loans
Cash Flows From Investing Activities:
Purchases	(4,897,370)	(281,811)	0
Principal payments	1,022,414	699,118	316,372
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Disposition of securities in Consolidated VIEs
Non-agency RMBS, at fair value	0	49,118	0
Securitized loans held for investment, at fair value	0	(287,806)	0
Securitized debt at fair value	0	236,087	0
Preferred Class A
Non-cash financing activities:
Preferred dividends declared, not yet paid	$ 2,449	$ 0	$ 0

Organization

Organization	12 Months Ended
	Dec. 31, 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 nine wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC formed in June 2009; Chimera Special Holdings LLC, formed in January 2010; CIM Trading Company LLC (“CIM Trading”), formed in July 2010; Chimera Funding TRS LLC (“CIM Funding TRS”), a TRS formed in October 2013, Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; 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”) pursuant, to 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	12 Months Ended
	Dec. 31, 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, 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. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership 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 trusts, 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 assets of securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) or residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. (c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 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. 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. 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. 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 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 on a prospective basis 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 rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost, the security is considered impaired. On a quarterly basis, the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is 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, current and forecast interest rates, 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 primarily 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 Consolidated Statements of Operations. 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 December 31, 2016 and December 31, 2015 was $13 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, which is recourse to the Company. (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 contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective 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 $266 million and $245 million as of December 31, 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 $145 million and $273 million as of December 31, 2016 and December 31, 2015 . Interest income on all IO MBS securities was $43 million and $49 million for the years ended December 31, 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 Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $19 million and $20 million as of December 31, 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 Statements of Operations. 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 Statements of Operations. 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. (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) 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. (k) 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 have made joint elections to treat CIM Trading and CIM Funding TRS as TRSs. The TRS election with respect to CIM Trading has been revoked as of December 31, 2016 . Because it is wholly owned by the Company, the revocation of its TRS election will cause CIM Trading to be disregarded as an entity separate from the Company after December 31, 2016 . CIM Funding TRS is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its taxable income. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of December 31, 2016 or 2015 . (l) 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. (m) Stock-Based Compensation The Company

Mortgage-Backed Securities

Mortgage-Backed Securities	12 Months Ended
	Dec. 31, 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. December 31, 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 $ 3,190,947 $ 231 $ (1,412,058 ) $ 1,779,120 $ 2,511,003 $ 732,133 $ (250 ) $ 731,883 Senior, interest-only 5,648,339 292,396 — 292,396 253,539 18,674 (57,531 ) $ (38,857 ) Subordinated 673,259 16,352 (212,734 ) 476,877 553,498 77,857 (1,236 ) $ 76,621 Subordinated, interest-only 266,927 13,878 — 13,878 12,024 — (1,854 ) $ (1,854 ) Agency MBS Residential 2,594,570 149,872 — 2,744,442 2,705,978 11,235 (49,699 ) $ (38,464 ) Commercial 1,331,543 37,782 (2,688 ) 1,366,637 1,316,975 175 (49,837 ) $ (49,662 ) Interest-only 3,356,491 152,175 — 152,175 144,800 1,893 (9,268 ) $ (7,375 ) Total $ 17,062,076 $ 662,686 $ (1,627,480 ) $ 6,825,525 $ 7,497,817 $ 841,967 $ (169,675 ) $ 672,292 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 Year Ended December 31, 2016 December 31, 2015 (dollars in thousands) Balance at beginning of period $ 1,742,744 $ 1,534,497 Purchases 79,156 277,922 Yield income earned (282,800 ) (249,898 ) Reclassification (to) from non-accretable difference 53,681 238,348 Sales and deconsolidation (42,671 ) (58,125 ) Balance at end of period $ 1,550,110 $ 1,742,744 The table below presents the outstanding principal balance and related amortized cost at December 31, 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 Year Ended For the Year Ended December 31, 2016 December 31, 2015 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,550,698 $ 3,325,335 End of period $ 3,138,265 $ 3,550,698 Amortized cost: Beginning of period $ 1,958,726 $ 1,741,780 End of period $ 1,695,079 $ 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 December 31, 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). December 31, 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 $ 12,384 $ (250 ) 3 $ — $ — — $ 12,384 $ (250 ) 3 Senior, interest-only 96,399 (13,600 ) 62 78,516 (43,931 ) 86 174,915 (57,531 ) 148 Subordinated 56,015 (412 ) 7 2,826 (824 ) 4 58,841 (1,236 ) 11 Subordinated, interest-only 748 (230 ) 2 11,276 (1,624 ) 3 12,024 (1,854 ) 5 Agency MBS Residential 2,338,910 (48,084 ) 106 54,943 (1,615 ) 1 2,393,853 (49,699 ) 107 Commercial 1,247,923 (45,802 ) 646 51,733 (4,035 ) 46 1,299,656 (49,837 ) 692 Interest-only 63,506 (2,170 ) 20 52,963 (7,098 ) 16 116,469 (9,268 ) 36 Total $ 3,815,885 $ (110,548 ) 846 $ 252,257 $ (59,127 ) 156 $ 4,068,142 $ (169,675 ) 1002 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 December 31, 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 December 31, 2016 . Gross unrealized losses on the Company’s Agency residential and commercial MBS were $100 million and $60 million as of December 31, 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 December 31, 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 $1 million and $16 million at December 31, 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 years ended December 31, 2016 , 2015 and 2014 is presented below. For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Total other-than-temporary impairment losses $ (9,589 ) $ (8,700 ) $ (8,713 ) Portion of loss recognized in other comprehensive income (loss) (48,398 ) (58,744 ) (55,279 ) Net other-than-temporary credit impairment losses $ (57,987 ) $ (67,444 ) $ (63,992 ) The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Cumulative credit loss beginning balance $ 529,112 $ 507,548 $ 524,432 Additions: Other-than-temporary impairments not previously recognized 25,959 41,233 63,123 Reductions for securities sold or deconsolidated during the period (9,429 ) (19,746 ) (61,854 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 32,027 26,138 869 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (21,184 ) (26,061 ) (19,022 ) Cumulative credit impairment loss ending balance $ 556,485 $ 529,112 $ 507,548 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 Year Ended December 31, 2016 December 31, 2015 Loss Severity Weighted Average 58% 57% Range 25% - 85% 0% - 92% 60+ days delinquent Weighted Average 21% 22% Range 0% - 40% 2% - 41% Credit Enhancement (1) Weighted Average 25% 8% Range 0% - 100% 0% - 67% 3 Month CPR Weighted Average 7% 9% Range 0% - 27% 3% - 27% 12 Month CPR Weighted Average 6% 8% Range 1% - 24% 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 December 31, 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 December 31, 2016 , IO MBS had a net unrealized loss of $48 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 December 31, 2016 and December 31, 2015 was $410 million and $519 million , respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations. December 31, 2016 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 732,133 $ — $ 732,133 $ (250 ) $ — $ (250 ) Senior, interest-only — 18,674 18,674 — (57,531 ) (57,531 ) Subordinated 74,584 3,273 77,857 (235 ) (1,001 ) (1,236 ) Subordinated, interest-only — — — — (1,854 ) (1,854 ) Agency MBS Residential 11,235 — 11,235 (49,699 ) — (49,699 ) Commercial 175 — 175 (49,837 ) — (49,837 ) Interest-only — 1,893 1,893 — (9,268 ) (9,268 ) Total $ 818,127 $ 23,840 $ 841,967 $ (100,021 ) $ (69,654 ) $ (169,675 ) December 31, 2015 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings 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 December 31, 2016 and December 31, 2015 . December 31, 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 $ 3,190,947 $ 55.76 $ 78.69 4.3 % 15.5 % Senior, interest-only 5,648,339 5.18 4.49 1.5 % 11.7 % Subordinated 673,259 70.83 82.21 3.8 % 9.2 % Subordinated, interest-only 266,927 5.20 4.50 1.1 % 13.5 % Agency MBS Residential pass-through 2,594,570 105.78 104.29 3.9 % 3.0 % Commercial pass-through 1,331,543 102.64 98.91 3.6 % 2.9 % Interest-only 3,356,491 4.53 4.31 0.8 % 3.5 % (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 December 31, 2016 and December 31, 2015 . December 31, 2016 December 31, 2015 AAA 0.3 % 0.5 % AA 0.3 % 0.4 % A 0.7 % 0.8 % BBB 0.7 % 0.4 % BB 3.0 % 5.2 % B 3.9 % 3.0 % Below B or not rated 91.1 % 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 December 31, 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. December 31, 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 $ 25,612 $ 508,979 $ 1,267,000 $ 709,412 $ 2,511,003 Senior interest-only 417 37,796 115,780 99,546 253,539 Subordinated — 94,793 238,630 220,075 553,498 Subordinated interest-only — — 12,024 — 12,024 Agency MBS Residential — 429,869 2,276,109 — 2,705,978 Commercial — 47,354 16,833 1,252,788 1,316,975 Interest-only — 75,863 63,715 5,222 144,800 Total fair value $ 26,029 $ 1,194,654 $ 3,990,091 $ 2,287,043 $ 7,497,817 Amortized cost Non-Agency RMBS Senior $ 21,423 $ 403,250 $ 868,624 $ 485,823 $ 1,779,120 Senior interest-only 1,992 50,252 134,642 105,510 292,396 Subordinated — 76,287 195,538 205,052 476,877 Subordinated interest-only — — 13,878 — 13,878 Agency MBS Residential — 438,270 2,306,172 — 2,744,442 Commercial — 49,027 17,247 1,300,363 1,366,637 Interest-only — 77,598 69,333 5,244 152,175 Total amortized cost $ 23,415 $ 1,094,684 $ 3,605,434 $ 2,101,992 $ 6,825,525 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 December 31, 2016 and December 31, 2015 , 68% and 64% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At December 31, 2016 and December 31, 2015 , 14% 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 December 31, 2016 and December 31, 2015 . December 31, 2016 December 31, 2015 Weighted average maturity (years) 21.6 22.0 Weighted average amortized loan to value (1) 66.5 % 67.9 % Weighted average FICO (2) 675 671 Weighted average loan balance (in thousands) $ 319 $ 330 Weighted average percentage owner occupied 83.2 % 82.7 % Weighted average percentage single family residence 65.8 % 65.9 % Weighted average current credit enhancement 2.3 % 2.4 % Weighted average geographic concentration of top four states CA 32.1 % CA 30.4 % FL 8.1 % FL 8.0 % NY 7.9 % NY 8.0 % NJ 2.7 % 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 December 31, 2016 and December 31, 2015 . Origination Year December 31, 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 1.0 % 2.2 % 2004 4.2 % 3.7 % 2005 20.2 % 21.7 % 2006 38.0 % 32.9 % 2007 31.3 % 34.2 % 2008 1.8 % 1.9 % 2009 0.4 % 0.0 % 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. The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2016 , 2015 , and 2014 are as follows: For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Proceeds from sales $ 2,719,329 $ 6,244,613 $ 4,036,033 Gross realized gains 28,572 94,618 98,656 Gross realized losses (10,417 ) (17,544 ) (6,947 ) Net realized gain (loss) $ 18,155 $ 77,074 $ 91,709 Included in the gross realized gains for the year ended December 31, 2016 in the table above are exchanges of securities with a fair value of $65 million , the Company exchanged its investment in a re-remic security for the underlying collateral supporting the group related to the exchanged asset. These exchanges were treated as non-cash sales and purchases and resulted in a realized gain of $13 million reflected in earnings for the year ended December 31, 2016 . For the year ended December 31, 2015 , the fair value of these exchanges of securities was $95 million and resulted in a realized gain of $24 million . For the year ended December 31, 2014, the fair value of these exchanges of securities was $89 million and resulted in a realized gain of $23 million .

Securitized Loans Held for Inve

Securitized Loans Held for Investment	12 Months Ended
	Dec. 31, 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 primarily 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 December 31, 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 December 31, 2016 and December 31, 2015 : For the Year Ended For the Year Ended December 31, 2016 December 31, 2015 (dollars in thousands) Balance, beginning of period $ 4,768,416 $ 5,306,501 Purchases 4,897,370 577,036 Principal paydowns (1,022,414 ) (707,996 ) Sales and settlements 5,007 (9,638 ) Net periodic accretion (amortization) (41,363 ) (19,100 ) Change in fair value 146,637 (90,581 ) Transfer due to deconsolidation — (287,806 ) Balance, end of period $ 8,753,653 $ 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 December 31, 2016 December 31, 2015 2004 0.2 % 0.1 % 2007 8.4 % 8.5 % 2008 8.4 % 7.4 % 2009 0.3 % 0.3 % 2010 4.7 % 5.1 % 2011 30.6 % 33.1 % 2012 47.4 % 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: December 31, 2016 December 31, 2015 Number of loans 496 657 Weighted average maturity (years) 24.5 25.5 Weighted average loan to value (1) 70.5 % 70.7 % Weighted average FICO (2) 764 765 Weighted average loan balance (in thousands) $ 669 $ 682 Weighted average percentage owner occupied 95.2 % 94.3 % Weighted average percentage single family residence 71.6 % 70.1 % Weighted average geographic concentration of top five states CA 30.7 % CA 32.4 % NJ 7.2 % VA 6.4 % MD 7.1 % NJ 6.3 % VA 6.9 % MD 6.2 % NY 5.0 % 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 December 31, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2016 $ 1,053 $ — $ 2,846 $ — $ 1,691 $ — $ 5,590 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 $2 million as of December 31, 2016 . Seasoned subprime residential mortgage loans The securitized loan portfolio collateralized by seasoned subprime residential mortgages originated during the following years: Origination Year December 31, 2016 December 31, 2015 2002 and prior 9.2 % 11.2 % 2003 5.5 % 4.0 % 2004 12.4 % 11.1 % 2005 21.3 % 19.3 % 2006 22.9 % 17.4 % 2007 21.3 % 25.4 % 2008 6.4 % 9.5 % 2009 0.6 % 1.1 % 2010 and later 0.4 % 1.0 % Total 100.0 % 100.0 % A summary of key characteristics of the loan portfolio collateralized by seasoned subprime residential mortgages follows: December 31, 2016 December 31, 2015 Number of loans 94,659 56,870 Weighted average maturity (years) 19.6 21.5 Weighted average loan to value (1) 87.5 % 80.7 % Weighted average FICO (1) 621 625 Weighted average loan balance (in thousands) $ 90 $ 76 Weighted average percentage owner occupied 96.7 % 96.0 % Weighted average percentage single family residence 86.0 % 72.5 % Weighted average geographic concentration of top five states CA 9.2 % CA 8.8 % FL 6.8 % FL 7.2 % OH 6.7 % NC 7.1 % VA 5.8 % VA 6.3 % NC 5.3 % 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 December 31, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2016 $ 362,846 $ 140,495 $ 188,145 $ 207,364 $ 201,574 $ 40,709 $ 1,141,133 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 $447 million as of December 31, 2016 . December 31, 2016 (dollars in thousands) Loan Balance Number of Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,417 1.38% to 15.20% 2/1/2003 - 10/1/2056 $ 609,584 $ 67,704 $ 25,102 $250 to $500 458 2.13% to 10.00% 4/1/2030 - 9/1/2055 147,410 22,821 7,684 $500 to $750 45 2.00% to 9.25% 7/1/2034 - 9/1/2046 26,383 3,033 1,131 $750 to $1,000 7 3.13% to 5.17% 1/1/2038 - 12/1/2045 5,754 768 — Over $1,000 5 3.13% to 3.38% 1/1/2038 - 4/1/2038 6,641 — 1,428 6,932 $ 795,772 $ 94,326 $ 35,345 Hybrid loans: $1 to $250 2 6.67% to 6.83% 8/1/2037 - 9/1/2037 $ 190 $ 97 $ — $250 to $500 1 5.88% to 5.88% 7/1/2037 - 7/1/2037 496 — — $500 to $750 3 5.63% to 6.88% 7/1/2037 - 3/1/2038 1,842 — — $750 to $1,000 1 5.75% to 5.75% 4/1/2037 - 4/1/2037 940 — — 7 $ 3,468 $ 97 $ — Fixed loans: $1 to $250 83,925 0.00% to 24.00% 7/1/2002 - 5/1/2062 $ 6,487,251 $ 603,388 $ 424,980 $250 to $500 3,769 0.00% to 12.52% 5/1/2018 - 10/1/2065 1,225,999 136,702 80,984 $500 to $750 381 2.00% to 10.69% 5/1/2032 - 9/1/2057 223,638 9,531 5,788 $750 to $1,000 103 3.75% to 7.29% 4/1/2037 - 5/1/2047 87,680 — 1,746 Over $1,000 38 3.25% to 7.13% 3/1/2013 - 8/1/2046 44,975 — — 88,216 $ 8,069,543 $ 749,621 $ 513,498 Total 95,155 $ 8,868,783 $ 844,044 $ 548,843 December 31, 2015 (dollars in thousands) Loan Balance Number of Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 2,119 1.70% to 15.2% 2/1/2003 - 10/1/2055 $ 138,321 $ 11,140 $ 5,292 $250 to $500 66 2.00% to 10.38% 1/1/2030 - 9/1/2055 23,021 1,201 2,277 $500 to $750 29 2.00% to 5.75% 2/1/2032 - 4/1/2038 17,186 — 1,688 $750 to $1,000 7 2.88% to 2.88% 1/1/2038 - 4/1/2038 5,867 — — Over $1,000 6 2.88% to 4.00% 12/1/2037 - 4/1/2038 8,402 — 1,730 2,227 $ 192,797 $ 12,341 $ 10,986 Hybrid loans: $1 to $250 2 6.67% to 6.83% 8/1/2037 - 9/1/2037 $ 193 $ — $ — $250 to $500 2 5.78% to 5.88% 7/1/2037 - 4/1/2038 908 — — $500 to $750 8 4.00% to 7.19% 7/1/2037 - 3/1/2038 4,751 1,081 1,744 $750 to $1,000 2 5.63% to 5.75% 4/1/2037 - 4/1/2038 1,730 — — 14 $ 7,582 $ 1,081 $ 1,744 Fixed loans: $1 to $250 52,774 0.00% to 24.00% 1/1/1999 - 5/1/2062 $ 3,540,447 $ 245,151 $ 359,559 $250 to $500 1,957 2.00% to 11.93% 12/1/2019 - 10/1/2065 645,347 33,405 58,336 $500 to $750 374 2.00% to 9.75% 6/1/2022 - 9/1/2057 226,481 3,205 4,005 $750 to $1,000 130 3.75% to 7.00% 7/1/2037 - 10/1/2042 112,490 1,729 1,892 Over $1,000 51 2.25% to 7.13% 3/1/2013 - 10/1/2042 62,773 — — 55,286 $ 4,587,538 $ 283,490 $ 423,792 Total 57,527 $ 4,787,918 $ 296,912 $ 436,521

Fair Value Measurements

Fair Value Measurements	12 Months Ended
	Dec. 31, 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 December 31, 2016 , ten investment holdings with an internally developed fair value of $123 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 $16 million higher than the third party prices provided of $107 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at December 31, 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. At December 31, 2016, the internally developed fair values of loan pools of $1.60 billion 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 $50 million higher than the third party prices provided of $1.55 billion . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2016 in excess of the derived predetermined threshold for the period. 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 December 31, 2016 and December 31, 2015 is presented below. December 31, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 3,330,063 $ — $ 3,330,063 Agency RMBS, at fair value — 4,167,754 — — 4,167,754 Securitized loans held for investment, at fair value — — 8,753,653 — 8,753,653 Derivatives 1,785 22,327 — (14,435 ) 9,677 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (6,941,097 ) — (6,941,097 ) Derivatives — (17,225 ) — 14,875 (2,350 ) Total $ 1,785 $ 4,172,856 $ 5,142,619 $ 440 $ 9,317,700 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 December 31, 2016 and December 31, 2015 . Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2016 (dollars in thousands) Non-Agency RMBS 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 257,914 4,897,370 (4,797,255 ) 358,029 Principal payments (532,696 ) (1,022,414 ) 1,059,854 (495,256 ) Sales and Settlements (149,938 ) 5,007 608,816 463,885 Accretion (amortization) of purchase discounts 120,638 (41,363 ) (2,128 ) 77,147 Gains (losses) included in net income Other than temporary credit impairment losses (57,986 ) — — (57,986 ) Realized gains (losses) on sales and settlements 13,761 — (122 ) 13,639 Net unrealized gains (losses) included in income 3,173 146,637 (89,766 ) 60,044 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (644 ) — — (644 ) Ending balance Level 3 assets $ 3,330,063 $ 8,753,653 $ (6,941,097 ) $ 5,142,619 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 years ended December 31, 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. Constant Prepayment Rates 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. Constant Default Rates 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 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. Discount Rate The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the discounted cash flows are reduced. A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of December 31, 2016 and December 31, 2015 follows: December 31, 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% -35% 0% -22% 35% -95% 5.5% 1% - 17% 0% - 22% 35% - 95% Senior interest-only 12.5% 3% -30% 0% -22% 35% -95% 13.1% 3% - 25% 0% - 23% 1% - 95% Subordinated 6.2% 1% -25% 0% -18% 0% -79% 6.6% 1% - 22% 0% - 20% 5% - 91% Subordinated interest-only 13.2% 6% -15% 0% -11% 35% -76% 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 December 31, 2016 and December 31, 2015 follows: December 31, 2016 December 31, 2015 Significant Inputs Significant Inputs CPR Range CDR Range Loss Severity Range CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 1% - 35% 0% - 30% 35% - 65% 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. Constant Prepayment Rates 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. Constant Default Rates 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. Loss Severity 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. Discount Rate 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. 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 December 31, 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 December 31, 2016 and December 31, 2015 follows: December 31, 2016 December 31, 2015 Factor: Coupon Base Rate 5.2% 4.8% Actual 7.1% 6.8% FICO Base Rate 632 620 Actual 621 625 Loan-to-value (LTV) Base Rate 87% 90% Actual 88% 81% Loan Characteristics: Occupancy Owner Occupied 97% 96% Investor 2% 4% Secondary 1% 0% Property Type Single family 86% 77% Manufactured housing 6% 11% Multi-family/mixed use/other 8% 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. Financial instruments not carried at fair value The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2016 and December 31, 2015 . December 31, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 5,600,903 5,619,385 Securitized debt, collateralized by Non-Agency RMBS 3 334,124 324,261 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	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 is: December 31, 2016 December 31, 2015 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,087,734 $ 5,324,729 Non-agency MBS (in thousands) 2,513,169 2,114,610 Total: $ 5,600,903 $ 7,439,339 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 4,159,651 $ 5,776,980 Non-agency MBS (in thousands) 2,322,683 1,627,909 Total: $ 6,482,334 $ 7,404,889 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.90 % 0.64 % Non-agency MBS 3.05 % 2.44 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 32 Days 53 Days Non-agency MBS 98 Days 137 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,334,245 $ 5,655,410 Non-agency MBS (in thousands) 3,699,621 3,117,875 Total: $ 7,033,866 $ 8,773,285 At December 31, 2016 and December 31, 2015 , the repurchase agreements collateralized by RMBS had the following remaining maturities. December 31, 2016 December 31, 2015 (dollars in thousands) Overnight $ — $ — 1 to 29 days 2,947,604 3,312,902 30 to 59 days 958,956 2,501,513 60 to 89 days 407,625 246,970 90 to 119 days 559,533 430,026 Greater than or equal to 120 days 727,185 947,928 Total $ 5,600,903 $ 7,439,339 At December 31, 2016 , the Company had an amount at risk with Nomura Securities Company Limited of 10% of its equity related to the collateral posted on repurchase agreements, the weighted average maturity of the repurchase agreements with Nomura Securities Company Limited was 104 days and the amount at risk was $320 million . As of December 31, 2015 , the Company had an amount at risk with Credit Suisse First Boston of 10% , 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 December 31, 2016 and December 31, 2015 .

Securitized Debt

Securitized Debt	12 Months Ended
	Dec. 31, 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 and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At December 31, 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 $350 million and $545 million , respectively. At December 31, 2016 and December 31, 2015 , the debt carried a weighted average cost of financing equal to 5.21% 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. During the year ended December 31, 2016 , the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $10 million for $11 million . These transactions resulted in a net loss on the extinguishment of debt of $355 thousand . This loss is reflected in earnings for the year ended December 31, 2016 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 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. December 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 98,565 $ 137,642 One to Three Years 82,563 178,191 Three to Five Years 23,854 60,872 Greater Than Five Years 31,973 52,280 Total $ 236,955 $ 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 December 31, 2016 and December 31, 2015 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $7.1 billion and $3.8 billion , respectively. During the year ended December 31, 2016 and 2015, the company recognized a loss of $90 million and $39 million , respectively, on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair value. At December 31, 2016 and December 31, 2015 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 3.99% and 3.24% respectively. The debt matures between the years 2021 and 2065 . During the year ended December 31, 2016 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $609 million for $609 million . These transactions resulted in a net loss on the extinguishment of debt of $122 thousand . This loss is reflected in earnings for the year ended December 31, 2016 . During the year ended December 31, 2015 , the Company acquired securitized debt collateralized by loans with an outstanding principal balance of $1.4 billion for $1.4 billion . This transaction resulted in a net loss on the extinguishment of debt of $6 million . This loss is reflected in earnings for the year ended December 31, 2015. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 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. December 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 1,151,519 $ 591,171 One to Three Years 1,841,808 941,704 Three to Five Years 1,423,706 734,291 Greater Than Five Years 2,477,123 1,502,663 Total $ 6,894,156 $ 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 December 31, 2016 . December 31, 2016 (dollars in thousands) Year Principal 2017 $ 1,208,854 2018 1,192,544 2019 477,317 2020 3,821,338 2021 112,759 Total $ 6,812,812

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	12 Months Ended
	Dec. 31, 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 long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of December 31, 2016 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $10.8 billion and liabilities with a carrying value of $7.3 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 year ended December 31, 2016 , the Company acquired approximately $5.2 billion unpaid principal balance of seasoned residential subprime mortgage loans. The Company 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 $ 4,942,571 Other Assets 39,318 Liabilities : Securitized debt at fair value (1) $ 4,213,034 (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 December 31, 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 December 31, 2016 and December 31, 2015 . December 31, 2016 December 31, 2015 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,842,080 $ 2,140,494 Securitized loans held for investment, at fair value 8,753,653 4,768,416 Accrued interest receivable 57,153 35,916 Other Assets 109,068 86,452 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 334,124 $ 529,415 Securitized debt at fair value, collateralized by loans held for investment 6,941,097 3,720,496 Accrued interest payable 24,942 12,106 Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the table below. For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 678,623 $ 575,715 $ 428,992 Interest expense, Non-recourse liabilities of VIEs (249,708 ) (191,922 ) (119,103 ) Net interest income $ 428,915 $ 383,793 $ 309,889 Total other-than-temporary impairment losses $ (1,274 ) $ (2,066 ) $ (3,374 ) Portion of loss recognized in other comprehensive income (loss) (37,475 ) (55,552 ) (55,392 ) Net other-than-temporary credit impairment losses $ (38,749 ) $ (57,618 ) $ (58,766 ) VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 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 December 31, 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	12 Months Ended
	Dec. 31, 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 a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. In addition to interest rate swaps, from time to time the Company purchases and sells mortgage options. Mortgage options give the Company the right, but not the obligation, to buy or sell mortgage backed securities at a future date for a fixed price. The Company uses mortgage options to lock in prices on the purchase or sale of Agency MBS and to enhance investment returns. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2016 and December 31, 2015 . December 31, 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 $ 1,396,900 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 624,000 Derivatives, at fair value, net 7,892 Derivatives, at fair value, net (2,350 ) Treasury Futures 619,700 Derivatives, at fair value, net 1,785 Derivatives, at fair value, net — Total $ 2,640,600 $ 9,677 $ (2,350 ) 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 is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 47,170 $ 64,819 $ (84,913 ) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (88,722 ) (146,173 ) (52,523 ) Mortgage Options Net unrealized gains (losses) on derivatives — 225 340 Mortgage Options Net realized gains (losses) on derivatives — 443 7,505 Treasury Futures Net unrealized gains (losses) on derivatives 378 8,634 (17,856 ) Treasury Futures Net realized gains (losses) on derivatives (9,170 ) (35,523 ) (38,552 ) Swaptions Net unrealized gains (losses) on derivatives 2,545 (6,294 ) (1,067 ) Swaptions Net realized gains (losses) on derivatives (7,044 ) (353 ) (24 ) Other Derivative Assets Net unrealized gains (losses) on derivatives — — — Other Derivative Assets Net realized gains (losses) on derivatives (566 ) (415 ) 742 Total $ (55,409 ) $ (114,637 ) $ (186,348 ) (1) Includes loss on termination of interest rate swap of $61 million and $99 million for the years ended December 31, 2016 and 2015 , respectively. The Company paid $(61) million to terminate interest rate swaps with a notional value of $3.3 billion during the year ended December 31, 2016 . The terminated swaps had original maturities ranging from 2017 to 2034 . The Company paid $99 million million to terminate interest rate swaps with a notional value of $1.2 billion during the year ended December 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 December 31, 2016 was 2.13% and the weighted average receive rate was 0.90% . 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 December 31, 2016 , 2015, and 2014 is 8 years , 4 years , and 6 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 asset position at December 31, 2016 is approximately $1 million including accrued interest, which represents the maximum amount the Company would receive upon termination, which is fully collateralized.

Capital Stock

Capital Stock	12 Months Ended
	Dec. 31, 2016
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock In October 2016, the Company issued 5,800,000 shares of 8.00% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series A Preferred Stock”), at a public offering price of $25.00 per share. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option commencing in October 30, 2021, subject to the Company’s right, under limited circumstances, to redeem the Series A Preferred Stock prior to that date. The Series A Preferred Stock is entitled to receive, when and as declared, a dividend at a rate of 8.0% per year on the $25.00 liquidation preference before the common stock is paid any dividends and is senior to the common stock with respect to distributions upon liquidation, dissolution or winding up. This transaction was completed in October 2016, pursuant to which the company received proceeds, net of offering costs, of $140 million . The Company declared a dividend to preferred stockholders of $2 million or $0.42 per preferred share in November 2016. 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, 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 no t repurchase any shares during the year ended of December 31, 2016 , and has $100 million in its share repurchase program that may be used to repurchase shares in the future. During the year ended December 31, 2016 , the Company declared regular dividends to common shareholders totaling $364 million , or $1.94 per share, and a special dividend of $94 million , or $0.50 per share. For the years ended December 31, 2015 and 2014, the Company declared dividends to common shareholders totaling $379 million and $370 million , or $1.92 and $1.80 per share, respectively. Earnings per share for the years ended December 31, 2016 , 2015 , and 2014 respectively, are computed as follows: For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Numerator: Net income available to common shareholders $ 549,494 $ 250,349 $ 589,205 Effect of dilutive securities: — — — Dilutive net income available to common shareholders $ 549,494 $ 250,349 $ 589,205 Denominator: Weighted average basic shares 187,728,634 199,563,196 205,450,095 Effect of dilutive securities 296,204 86,981 58,674 Weighted average dilutive shares 188,024,838 199,650,177 205,508,769 Net income per average share attributable to common stockholders - Basic $ 2.93 $ 1.25 $ 2.87 Net income per average share attributable to common stockholders - Diluted $ 2.92 $ 1.25 $ 2.87

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	12 Months Ended
	Dec. 31, 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 years ended December 31, 2016 and 2015 : December 31, 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 (88,527 ) (88,527 ) Amounts reclassified from AOCI 32,842 32,842 Net current period OCI (55,685 ) (55,685 ) Balance as of December 31, 2016 $ 718,106 $ 718,106 December 31, 2015 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 OCI before reclassifications (263,049 ) (263,049 ) Amounts reclassified from AOCI (9,840 ) (9,840 ) Net current period OCI (272,889 ) (272,889 ) Balance as of December 31, 2015 $ 773,791 $ 773,791 The following table presents the details of the reclassifications from AOCI for the year ended December 31, 2016 and 2015 : December 31, 2016 December 31, 2015 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 25,145 $ 77,284 Net realized gains (losses) on sales of investments (57,987 ) (67,444 ) Net other-than-temporary credit impairment losses $ (32,842 ) $ 9,840 Income before income taxes — — Income taxes $ (32,842 ) $ 9,840 Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	12 Months Ended
	Dec. 31, 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 “Incentive 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 approximately 7 million shares available for future grants under the Incentive Plan as of December 31, 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 Deferral 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. 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 Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. During the year ended December 31, 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 after three years. 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 360 thousand RSU awards during the year ended December 31, 2016 with a grant date fair value of $5 million , which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the year ended December 31, 2016 , the Company granted certain of its employees 180 thousand 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 180 thousand 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 180 thousand PSU awards granted during 2016 had a grant date value of $3 million that will cliff vest on December 31, 2018. The following table presents information with respect to the Company's stock awards during the years ended December 31, 2016 and 2015 . For the Year Ended December 31, 2016 December 31, 2015 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 71,000 28.39 39,480 88.60 Granted 539,847 13.49 84,692 15.35 Vested (33,300 ) 27.23 (50,988 ) 88.60 Forfeited — — (2,184 ) 88.60 Unvested shares outstanding - end of period 577,547 14.53 71,000 28.39 The Company recognized stock based compensation expenses of $2 million , $1 million and 166 thousand for the years ended December 31, 2016 , 2015 and 2014 , respectively. There were no forfeitures during the year ended December 31, 2016 . The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. Employees may contribute, through payroll deductions, up to $18,000 if under the age of 50 years and an additional $6,000 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expense related to the Company’s qualified plan for the year ended December 31, 2016 and 2015 was $335 thousand and $82 thousand , respectively.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2016
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the years ended December 31, 2016 and 2015 , the Company 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 years ended December 31, 2016 , 2015 , and 2014. The Company recorded a deferred tax asset of $5 million and $4 million for the years ended December 31, 2016 and 2015 , respectively, relating to activities of its TRSs. Of these amounts, the amount related to cumulative net operating losses was $2 million and $3 million as of December 31, 2016 and 2015 , respectively, and the amount related to losses which were disallowed under Code Section 267(a) was $3 million and $1 million as of December 31, 2016 and 2015 , respectively. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $5 million and $4 million for the years ended December 31, 2016 and 2015 . In general, 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 2015, 2014 and 2013 federal, state and local tax returns remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 . December 31, 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 $ (5,600,903 ) $ — $ (5,600,903 ) $ 7,033,866 $ 2,545 $ 1,435,508 Interest Rate Swaps - Gross Assets 14,435 (14,435 ) — — — — Interest Rate Swaps - Gross Liabilities (14,875 ) 14,875 — — 39,627 39,627 Treasury Futures - Gross Assets 1,785 — 1,785 — 3,320 5,105 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 7,892 — 7,892 — — 7,892 Swaptions - Gross Liabilities (2,350 ) — (2,350 ) 10,341 — 7,991 Other Derivative Assets — — — — — — Total Liabilities $ (5,594,016 ) $ 440 $ (5,593,576 ) $ 7,044,207 $ 45,492 $ 1,496,123 (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	12 Months Ended
	Dec. 31, 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, it has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. Management is not aware of any contingencies that require accrual or disclosure as of December 31, 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	12 Months Ended
	Dec. 31, 2016
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events None.

Summarized Quarterly Results (U

Summarized Quarterly Results (Unaudited)	12 Months Ended
	Dec. 31, 2016
Quarterly Financial Information Disclosure [Abstract]
Summarized Quarterly Results (Unaudited)	Summarized Quarterly Results (Unaudited) The following is a presentation of the results of operations for the quarters ended December 31, 2016, September 30, 2016, June 30, 201 and March 31, 2016. For the Quarter Ended December 31, 2016 September 30, 2016 June 30, 2016 March 31, 2016 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 260,823 $ 250,953 $ 221,096 $ 201,194 Interest expense 106,737 94,911 83,227 62,981 Net interest income 154,086 156,042 137,869 138,213 Other-than-temporary impairments: Total other-than-temporary impairment losses (1,034 ) (993 ) (3,139 ) (4,423 ) Portion of loss recognized in other comprehensive income (13,746 ) (10,581 ) (17,816 ) (6,255 ) Net other-than-temporary credit impairment losses (14,780 ) (11,574 ) (20,955 ) (10,678 ) Net gains (losses) on derivatives 115,523 13,360 (47,755 ) (136,537 ) Net unrealized gains (losses) on financial instruments at fair value (20,664 ) 32,999 30,347 16,871 Gain (loss) on deconsolidation — — — — Gain (loss) on Extinguishment of Debt 1,334 (45 ) — (1,766 ) Net realized gains (losses) on sales of investments 11,121 3,079 6,631 (2,674 ) Other Income — — — 95,000 Total other expenses 24,698 21,031 31,987 15,302 Net income $ 221,903 $ 172,817 $ 74,127 $ 83,098 Dividend on preferred stock $ 2,449 $ — $ — $ — Net income (loss) available to common shareholders $ 219,454 $ 172,817 $ 74,127 $ 83,098 Net income per common share-basic $ 1.17 $ 0.92 $ 0.39 $ 0.44 The following is a presentation of the results of operations for the quarters ended December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015. For the Quarter Ended December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 201,912 $ 211,876 $ 215,804 $ 243,145 Interest expense 64,955 67,910 66,044 60,456 Net interest income 136,957 143,966 149,760 182,689 Other-than-temporary impairments: Total other-than-temporary impairment losses (2,311 ) (3,129 ) (2,208 ) (1,052 ) Portion of loss recognized in other comprehensive income (12,385 ) (14,703 ) (24,893 ) (6,763 ) Net other-than-temporary credit impairment losses (14,696 ) (17,832 ) (27,101 ) (7,815 ) Net gains (losses) on derivatives 44,546 (92,700 ) 40,127 (106,610 ) Net unrealized gains (losses) on financial instruments at fair value (69,793 ) (40,955 ) (37,260 ) (10,425 ) Gain (loss) on deconsolidation (256 ) — — — Gain (loss) on Extinguishment of Debt 8,906 (19,915 ) 5,079 — Net realized gains (losses) on sales of investments 34,285 3,539 9,685 29,565 Total other expenses 24,569 24,362 24,103 20,362 Net income $ 115,380 $ (48,259 ) $ 116,187 $ 67,042 Net income per share-basic $ 0.61 $ (0.24 ) $ 0.57 $ 0.33

Summary of the Significant Ac26

Summary of the Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 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, 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. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership 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 trusts, 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 assets of securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) or 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. 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. 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. 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 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 on a prospective basis 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 rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost, the security is considered impaired. On a quarterly basis, the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is 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, current and forecast interest rates, 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 primarily 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 Consolidated Statements of Operations. 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, which is recourse to the Company.
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 contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective 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 $266 million and $245 million as of December 31, 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 $145 million and $273 million as of December 31, 2016 and December 31, 2015 . Interest income on all IO MBS securities was $43 million and $49 million for the years ended December 31, 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 Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $19 million and $20 million as of December 31, 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 Statements of Operations. 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 Statements of Operations. 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.
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.
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 have made joint elections to treat CIM Trading and CIM Funding TRS as TRSs. The TRS election with respect to CIM Trading has been revoked as of December 31, 2016 . Because it is wholly owned by the Company, the revocation of its TRS election will cause CIM Trading to be disregarded as an entity separate from the Company after December 31, 2016 . CIM Funding TRS is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its 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 including 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 Statement of Cash Flows - Restricted Cash – (Topic 230) In November 2016, the FASB issued ASU No. 2016-18, Statement of Cash Flows - Restricted Cash. This update requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in this Update do not provide a definition of restricted cash or restricted cash equivalents. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied using a retrospective transition method to each period presented. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments – (Topic 230) In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments. This update provides guidance on eight specific cash flow issues. The guidance is intended to reduce diversity in practice on those issues across all industries. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The guidance is to be applied retrospectively, unless it is impracticable to do so for an issue, then the amendments related to that issue would be applied prospectively. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. 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 standard requires entities to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is effective. The Company did not elect to early adopt the provisions of this update. 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 earnings. The Company did not elect to early adopt the provisions of this update. 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 Company did not elect to early adopt the provisions of this update. 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 did not elect to early adopt the provisions of this update. 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 did not elect to early adopt the provisions of this update and is currently evaluating what impact this update will have on the consolidated financial statements. Consolidations (Subtopic 810) In February 2015, the FASB issued ASU No. 2015-02, Amendments to the Consolidation Analysis . This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. The guidance in the ASU is effective for the Company as of January 1, 2016. The Company has adopted this guidance as of January 1, 2016. The guidance in this ASU did not change the consolidation conclusion for any of our interests in VIEs and, therefore, did not impact the consolidated financial statements. Interest—Imputation of Interest (Subtopic 835-30) In April 2015, the FASB issued ASU No. 2015-03, Simplifying the Presentation of Debt Issue Costs . This update changes the presentation of debt issuance costs in financial statements. Under the ASU, an entity presents such costs in the balance sheet as a direct deduction from the related debt liability rather than as an asset. Amortization of the costs is reported as interest expense. The Company adopted this guidance as of January 1, 2016. As the unamortized debt issuance costs are not significant, the guidance in this ASU did not have a significant impact 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 company has adopted this guidance as of January 1, 2016. The Company has performed an annual assessment of its ability to continue as a going concern and concluded no additional disclosures are required.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	12 Months Ended
	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Schedule of Available-for-sale Securities Reconciliation	The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, or subordinated IO. The Company also invests in residential and commercial Agency MBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. December 31, 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 $ 3,190,947 $ 231 $ (1,412,058 ) $ 1,779,120 $ 2,511,003 $ 732,133 $ (250 ) $ 731,883 Senior, interest-only 5,648,339 292,396 — 292,396 253,539 18,674 (57,531 ) $ (38,857 ) Subordinated 673,259 16,352 (212,734 ) 476,877 553,498 77,857 (1,236 ) $ 76,621 Subordinated, interest-only 266,927 13,878 — 13,878 12,024 — (1,854 ) $ (1,854 ) Agency MBS Residential 2,594,570 149,872 — 2,744,442 2,705,978 11,235 (49,699 ) $ (38,464 ) Commercial 1,331,543 37,782 (2,688 ) 1,366,637 1,316,975 175 (49,837 ) $ (49,662 ) Interest-only 3,356,491 152,175 — 152,175 144,800 1,893 (9,268 ) $ (7,375 ) Total $ 17,062,076 $ 662,686 $ (1,627,480 ) $ 6,825,525 $ 7,497,817 $ 841,967 $ (169,675 ) $ 672,292 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 Year Ended December 31, 2016 December 31, 2015 (dollars in thousands) Balance at beginning of period $ 1,742,744 $ 1,534,497 Purchases 79,156 277,922 Yield income earned (282,800 ) (249,898 ) Reclassification (to) from non-accretable difference 53,681 238,348 Sales and deconsolidation (42,671 ) (58,125 ) Balance at end of period $ 1,550,110 $ 1,742,744
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired	The table below presents the outstanding principal balance and related amortized cost at December 31, 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 Year Ended For the Year Ended December 31, 2016 December 31, 2015 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,550,698 $ 3,325,335 End of period $ 3,138,265 $ 3,550,698 Amortized cost: Beginning of period $ 1,958,726 $ 1,741,780 End of period $ 1,695,079 $ 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 December 31, 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). December 31, 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 $ 12,384 $ (250 ) 3 $ — $ — — $ 12,384 $ (250 ) 3 Senior, interest-only 96,399 (13,600 ) 62 78,516 (43,931 ) 86 174,915 (57,531 ) 148 Subordinated 56,015 (412 ) 7 2,826 (824 ) 4 58,841 (1,236 ) 11 Subordinated, interest-only 748 (230 ) 2 11,276 (1,624 ) 3 12,024 (1,854 ) 5 Agency MBS Residential 2,338,910 (48,084 ) 106 54,943 (1,615 ) 1 2,393,853 (49,699 ) 107 Commercial 1,247,923 (45,802 ) 646 51,733 (4,035 ) 46 1,299,656 (49,837 ) 692 Interest-only 63,506 (2,170 ) 20 52,963 (7,098 ) 16 116,469 (9,268 ) 36 Total $ 3,815,885 $ (110,548 ) 846 $ 252,257 $ (59,127 ) 156 $ 4,068,142 $ (169,675 ) 1002 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 years ended December 31, 2016 , 2015 and 2014 is presented below. For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Total other-than-temporary impairment losses $ (9,589 ) $ (8,700 ) $ (8,713 ) Portion of loss recognized in other comprehensive income (loss) (48,398 ) (58,744 ) (55,279 ) Net other-than-temporary credit impairment losses $ (57,987 ) $ (67,444 ) $ (63,992 ) The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Cumulative credit loss beginning balance $ 529,112 $ 507,548 $ 524,432 Additions: Other-than-temporary impairments not previously recognized 25,959 41,233 63,123 Reductions for securities sold or deconsolidated during the period (9,429 ) (19,746 ) (61,854 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 32,027 26,138 869 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (21,184 ) (26,061 ) (19,022 ) Cumulative credit impairment loss ending balance $ 556,485 $ 529,112 $ 507,548
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 Year Ended December 31, 2016 December 31, 2015 Loss Severity Weighted Average 58% 57% Range 25% - 85% 0% - 92% 60+ days delinquent Weighted Average 21% 22% Range 0% - 40% 2% - 41% Credit Enhancement (1) Weighted Average 25% 8% Range 0% - 100% 0% - 67% 3 Month CPR Weighted Average 7% 9% Range 0% - 27% 3% - 27% 12 Month CPR Weighted Average 6% 8% Range 1% - 24% 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 December 31, 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 December 31, 2016 , IO MBS had a net unrealized loss of $48 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 December 31, 2016 and December 31, 2015 was $410 million and $519 million , respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations. December 31, 2016 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 732,133 $ — $ 732,133 $ (250 ) $ — $ (250 ) Senior, interest-only — 18,674 18,674 — (57,531 ) (57,531 ) Subordinated 74,584 3,273 77,857 (235 ) (1,001 ) (1,236 ) Subordinated, interest-only — — — — (1,854 ) (1,854 ) Agency MBS Residential 11,235 — 11,235 (49,699 ) — (49,699 ) Commercial 175 — 175 (49,837 ) — (49,837 ) Interest-only — 1,893 1,893 — (9,268 ) (9,268 ) Total $ 818,127 $ 23,840 $ 841,967 $ (100,021 ) $ (69,654 ) $ (169,675 ) December 31, 2015 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings 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 December 31, 2016 and December 31, 2015 . December 31, 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 $ 3,190,947 $ 55.76 $ 78.69 4.3 % 15.5 % Senior, interest-only 5,648,339 5.18 4.49 1.5 % 11.7 % Subordinated 673,259 70.83 82.21 3.8 % 9.2 % Subordinated, interest-only 266,927 5.20 4.50 1.1 % 13.5 % Agency MBS Residential pass-through 2,594,570 105.78 104.29 3.9 % 3.0 % Commercial pass-through 1,331,543 102.64 98.91 3.6 % 2.9 % Interest-only 3,356,491 4.53 4.31 0.8 % 3.5 % (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 December 31, 2016 and December 31, 2015 . December 31, 2016 December 31, 2015 AAA 0.3 % 0.5 % AA 0.3 % 0.4 % A 0.7 % 0.8 % BBB 0.7 % 0.4 % BB 3.0 % 5.2 % B 3.9 % 3.0 % Below B or not rated 91.1 % 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 December 31, 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. December 31, 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 $ 25,612 $ 508,979 $ 1,267,000 $ 709,412 $ 2,511,003 Senior interest-only 417 37,796 115,780 99,546 253,539 Subordinated — 94,793 238,630 220,075 553,498 Subordinated interest-only — — 12,024 — 12,024 Agency MBS Residential — 429,869 2,276,109 — 2,705,978 Commercial — 47,354 16,833 1,252,788 1,316,975 Interest-only — 75,863 63,715 5,222 144,800 Total fair value $ 26,029 $ 1,194,654 $ 3,990,091 $ 2,287,043 $ 7,497,817 Amortized cost Non-Agency RMBS Senior $ 21,423 $ 403,250 $ 868,624 $ 485,823 $ 1,779,120 Senior interest-only 1,992 50,252 134,642 105,510 292,396 Subordinated — 76,287 195,538 205,052 476,877 Subordinated interest-only — — 13,878 — 13,878 Agency MBS Residential — 438,270 2,306,172 — 2,744,442 Commercial — 49,027 17,247 1,300,363 1,366,637 Interest-only — 77,598 69,333 5,244 152,175 Total amortized cost $ 23,415 $ 1,094,684 $ 3,605,434 $ 2,101,992 $ 6,825,525 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 December 31, 2016 and December 31, 2015 . December 31, 2016 December 31, 2015 Weighted average maturity (years) 21.6 22.0 Weighted average amortized loan to value (1) 66.5 % 67.9 % Weighted average FICO (2) 675 671 Weighted average loan balance (in thousands) $ 319 $ 330 Weighted average percentage owner occupied 83.2 % 82.7 % Weighted average percentage single family residence 65.8 % 65.9 % Weighted average current credit enhancement 2.3 % 2.4 % Weighted average geographic concentration of top four states CA 32.1 % CA 30.4 % FL 8.1 % FL 8.0 % NY 7.9 % NY 8.0 % NJ 2.7 % 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 December 31, 2016 and December 31, 2015 . Origination Year December 31, 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 1.0 % 2.2 % 2004 4.2 % 3.7 % 2005 20.2 % 21.7 % 2006 38.0 % 32.9 % 2007 31.3 % 34.2 % 2008 1.8 % 1.9 % 2009 0.4 % 0.0 % 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 years ended December 31, 2016 , 2015 , and 2014 are as follows: For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Proceeds from sales $ 2,719,329 $ 6,244,613 $ 4,036,033 Gross realized gains 28,572 94,618 98,656 Gross realized losses (10,417 ) (17,544 ) (6,947 ) Net realized gain (loss) $ 18,155 $ 77,074 $ 91,709

Securitized Loans Held for In28

Securitized Loans Held for Investment (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 : For the Year Ended For the Year Ended December 31, 2016 December 31, 2015 (dollars in thousands) Balance, beginning of period $ 4,768,416 $ 5,306,501 Purchases 4,897,370 577,036 Principal paydowns (1,022,414 ) (707,996 ) Sales and settlements 5,007 (9,638 ) Net periodic accretion (amortization) (41,363 ) (19,100 ) Change in fair value 146,637 (90,581 ) Transfer due to deconsolidation — (287,806 ) Balance, end of period $ 8,753,653 $ 4,768,416
Schedule of Securitized Loans Held For Investment Types and Characteristics of Underlying Collateral	December 31, 2016 (dollars in thousands) Loan Balance Number of Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 6,417 1.38% to 15.20% 2/1/2003 - 10/1/2056 $ 609,584 $ 67,704 $ 25,102 $250 to $500 458 2.13% to 10.00% 4/1/2030 - 9/1/2055 147,410 22,821 7,684 $500 to $750 45 2.00% to 9.25% 7/1/2034 - 9/1/2046 26,383 3,033 1,131 $750 to $1,000 7 3.13% to 5.17% 1/1/2038 - 12/1/2045 5,754 768 — Over $1,000 5 3.13% to 3.38% 1/1/2038 - 4/1/2038 6,641 — 1,428 6,932 $ 795,772 $ 94,326 $ 35,345 Hybrid loans: $1 to $250 2 6.67% to 6.83% 8/1/2037 - 9/1/2037 $ 190 $ 97 $ — $250 to $500 1 5.88% to 5.88% 7/1/2037 - 7/1/2037 496 — — $500 to $750 3 5.63% to 6.88% 7/1/2037 - 3/1/2038 1,842 — — $750 to $1,000 1 5.75% to 5.75% 4/1/2037 - 4/1/2037 940 — — 7 $ 3,468 $ 97 $ — Fixed loans: $1 to $250 83,925 0.00% to 24.00% 7/1/2002 - 5/1/2062 $ 6,487,251 $ 603,388 $ 424,980 $250 to $500 3,769 0.00% to 12.52% 5/1/2018 - 10/1/2065 1,225,999 136,702 80,984 $500 to $750 381 2.00% to 10.69% 5/1/2032 - 9/1/2057 223,638 9,531 5,788 $750 to $1,000 103 3.75% to 7.29% 4/1/2037 - 5/1/2047 87,680 — 1,746 Over $1,000 38 3.25% to 7.13% 3/1/2013 - 8/1/2046 44,975 — — 88,216 $ 8,069,543 $ 749,621 $ 513,498 Total 95,155 $ 8,868,783 $ 844,044 $ 548,843 December 31, 2015 (dollars in thousands) Loan Balance Number of Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 2,119 1.70% to 15.2% 2/1/2003 - 10/1/2055 $ 138,321 $ 11,140 $ 5,292 $250 to $500 66 2.00% to 10.38% 1/1/2030 - 9/1/2055 23,021 1,201 2,277 $500 to $750 29 2.00% to 5.75% 2/1/2032 - 4/1/2038 17,186 — 1,688 $750 to $1,000 7 2.88% to 2.88% 1/1/2038 - 4/1/2038 5,867 — — Over $1,000 6 2.88% to 4.00% 12/1/2037 - 4/1/2038 8,402 — 1,730 2,227 $ 192,797 $ 12,341 $ 10,986 Hybrid loans: $1 to $250 2 6.67% to 6.83% 8/1/2037 - 9/1/2037 $ 193 $ — $ — $250 to $500 2 5.78% to 5.88% 7/1/2037 - 4/1/2038 908 — — $500 to $750 8 4.00% to 7.19% 7/1/2037 - 3/1/2038 4,751 1,081 1,744 $750 to $1,000 2 5.63% to 5.75% 4/1/2037 - 4/1/2038 1,730 — — 14 $ 7,582 $ 1,081 $ 1,744 Fixed loans: $1 to $250 52,774 0.00% to 24.00% 1/1/1999 - 5/1/2062 $ 3,540,447 $ 245,151 $ 359,559 $250 to $500 1,957 2.00% to 11.93% 12/1/2019 - 10/1/2065 645,347 33,405 58,336 $500 to $750 374 2.00% to 9.75% 6/1/2022 - 9/1/2057 226,481 3,205 4,005 $750 to $1,000 130 3.75% to 7.00% 7/1/2037 - 10/1/2042 112,490 1,729 1,892 Over $1,000 51 2.25% to 7.13% 3/1/2013 - 10/1/2042 62,773 — — 55,286 $ 4,587,538 $ 283,490 $ 423,792 Total 57,527 $ 4,787,918 $ 296,912 $ 436,521
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 December 31, 2016 December 31, 2015 2004 0.2 % 0.1 % 2007 8.4 % 8.5 % 2008 8.4 % 7.4 % 2009 0.3 % 0.3 % 2010 4.7 % 5.1 % 2011 30.6 % 33.1 % 2012 47.4 % 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: December 31, 2016 December 31, 2015 Number of loans 496 657 Weighted average maturity (years) 24.5 25.5 Weighted average loan to value (1) 70.5 % 70.7 % Weighted average FICO (2) 764 765 Weighted average loan balance (in thousands) $ 669 $ 682 Weighted average percentage owner occupied 95.2 % 94.3 % Weighted average percentage single family residence 71.6 % 70.1 % Weighted average geographic concentration of top five states CA 30.7 % CA 32.4 % NJ 7.2 % VA 6.4 % MD 7.1 % NJ 6.3 % VA 6.9 % MD 6.2 % NY 5.0 % 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 December 31, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2016 $ 1,053 $ — $ 2,846 $ — $ 1,691 $ — $ 5,590 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 December 31, 2016 December 31, 2015 2002 and prior 9.2 % 11.2 % 2003 5.5 % 4.0 % 2004 12.4 % 11.1 % 2005 21.3 % 19.3 % 2006 22.9 % 17.4 % 2007 21.3 % 25.4 % 2008 6.4 % 9.5 % 2009 0.6 % 1.1 % 2010 and later 0.4 % 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: December 31, 2016 December 31, 2015 Number of loans 94,659 56,870 Weighted average maturity (years) 19.6 21.5 Weighted average loan to value (1) 87.5 % 80.7 % Weighted average FICO (1) 621 625 Weighted average loan balance (in thousands) $ 90 $ 76 Weighted average percentage owner occupied 96.7 % 96.0 % Weighted average percentage single family residence 86.0 % 72.5 % Weighted average geographic concentration of top five states CA 9.2 % CA 8.8 % FL 6.8 % FL 7.2 % OH 6.7 % NC 7.1 % VA 5.8 % VA 6.3 % NC 5.3 % 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 December 31, 2016 and December 31, 2015 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) December 31, 2016 $ 362,846 $ 140,495 $ 188,145 $ 207,364 $ 201,574 $ 40,709 $ 1,141,133 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)	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 is presented below. December 31, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 3,330,063 $ — $ 3,330,063 Agency RMBS, at fair value — 4,167,754 — — 4,167,754 Securitized loans held for investment, at fair value — — 8,753,653 — 8,753,653 Derivatives 1,785 22,327 — (14,435 ) 9,677 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (6,941,097 ) — (6,941,097 ) Derivatives — (17,225 ) — 14,875 (2,350 ) Total $ 1,785 $ 4,172,856 $ 5,142,619 $ 440 $ 9,317,700 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 December 31, 2016 and December 31, 2015 . Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2016 (dollars in thousands) Non-Agency RMBS 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 257,914 4,897,370 (4,797,255 ) 358,029 Principal payments (532,696 ) (1,022,414 ) 1,059,854 (495,256 ) Sales and Settlements (149,938 ) 5,007 608,816 463,885 Accretion (amortization) of purchase discounts 120,638 (41,363 ) (2,128 ) 77,147 Gains (losses) included in net income Other than temporary credit impairment losses (57,986 ) — — (57,986 ) Realized gains (losses) on sales and settlements 13,761 — (122 ) 13,639 Net unrealized gains (losses) included in income 3,173 146,637 (89,766 ) 60,044 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (644 ) — — (644 ) Ending balance Level 3 assets $ 3,330,063 $ 8,753,653 $ (6,941,097 ) $ 5,142,619 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 December 31, 2016 and December 31, 2015 follows: December 31, 2016 December 31, 2015 Significant Inputs Significant Inputs CPR Range CDR Range Loss Severity Range CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 1% - 35% 0% - 30% 35% - 65% 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 December 31, 2016 and December 31, 2015 . December 31, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 5,600,903 5,619,385 Securitized debt, collateralized by Non-Agency RMBS 3 334,124 324,261 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 December 31, 2016 and December 31, 2015 follows: December 31, 2016 December 31, 2015 Factor: Coupon Base Rate 5.2% 4.8% Actual 7.1% 6.8% FICO Base Rate 632 620 Actual 621 625 Loan-to-value (LTV) Base Rate 87% 90% Actual 88% 81% Loan Characteristics: Occupancy Owner Occupied 97% 96% Investor 2% 4% Secondary 1% 0% Property Type Single family 86% 77% Manufactured housing 6% 11% Multi-family/mixed use/other 8% 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 December 31, 2016 and December 31, 2015 follows: December 31, 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% -35% 0% -22% 35% -95% 5.5% 1% - 17% 0% - 22% 35% - 95% Senior interest-only 12.5% 3% -30% 0% -22% 35% -95% 13.1% 3% - 25% 0% - 23% 1% - 95% Subordinated 6.2% 1% -25% 0% -18% 0% -79% 6.6% 1% - 22% 0% - 20% 5% - 91% Subordinated interest-only 13.2% 6% -15% 0% -11% 35% -76% 17.4% 6% - 13% 0% - 10% 1% - 64%

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 is: December 31, 2016 December 31, 2015 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,087,734 $ 5,324,729 Non-agency MBS (in thousands) 2,513,169 2,114,610 Total: $ 5,600,903 $ 7,439,339 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 4,159,651 $ 5,776,980 Non-agency MBS (in thousands) 2,322,683 1,627,909 Total: $ 6,482,334 $ 7,404,889 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.90 % 0.64 % Non-agency MBS 3.05 % 2.44 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 32 Days 53 Days Non-agency MBS 98 Days 137 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,334,245 $ 5,655,410 Non-agency MBS (in thousands) 3,699,621 3,117,875 Total: $ 7,033,866 $ 8,773,285 At December 31, 2016 and December 31, 2015 , the repurchase agreements collateralized by RMBS had the following remaining maturities. December 31, 2016 December 31, 2015 (dollars in thousands) Overnight $ — $ — 1 to 29 days 2,947,604 3,312,902 30 to 59 days 958,956 2,501,513 60 to 89 days 407,625 246,970 90 to 119 days 559,533 430,026 Greater than or equal to 120 days 727,185 947,928 Total $ 5,600,903 $ 7,439,339

Securitized Debt (Tables)

Securitized Debt (Tables)	12 Months Ended
	Dec. 31, 2016
Debt Instrument [Line Items]
Schedule of Callable Debt	The following table presents the par value of the callable debt by year at December 31, 2016 . December 31, 2016 (dollars in thousands) Year Principal 2017 $ 1,208,854 2018 1,192,544 2019 477,317 2020 3,821,338 2021 112,759 Total $ 6,812,812
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 December 31, 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. December 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 98,565 $ 137,642 One to Three Years 82,563 178,191 Three to Five Years 23,854 60,872 Greater Than Five Years 31,973 52,280 Total $ 236,955 $ 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 December 31, 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. December 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 1,151,519 $ 591,171 One to Three Years 1,841,808 941,704 Three to Five Years 1,423,706 734,291 Greater Than Five Years 2,477,123 1,502,663 Total $ 6,894,156 $ 3,769,829

Consolidated Securitization V32

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 . December 31, 2016 December 31, 2015 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,842,080 $ 2,140,494 Securitized loans held for investment, at fair value 8,753,653 4,768,416 Accrued interest receivable 57,153 35,916 Other Assets 109,068 86,452 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 334,124 $ 529,415 Securitized debt at fair value, collateralized by loans held for investment 6,941,097 3,720,496 Accrued interest payable 24,942 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 $ 4,942,571 Other Assets 39,318 Liabilities : Securitized debt at fair value (1) $ 4,213,034 (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 is presented in the table below. For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 678,623 $ 575,715 $ 428,992 Interest expense, Non-recourse liabilities of VIEs (249,708 ) (191,922 ) (119,103 ) Net interest income $ 428,915 $ 383,793 $ 309,889 Total other-than-temporary impairment losses $ (1,274 ) $ (2,066 ) $ (3,374 ) Portion of loss recognized in other comprehensive income (loss) (37,475 ) (55,552 ) (55,392 ) Net other-than-temporary credit impairment losses $ (38,749 ) $ (57,618 ) $ (58,766 )

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 . December 31, 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 $ 1,396,900 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 624,000 Derivatives, at fair value, net 7,892 Derivatives, at fair value, net (2,350 ) Treasury Futures 619,700 Derivatives, at fair value, net 1,785 Derivatives, at fair value, net — Total $ 2,640,600 $ 9,677 $ (2,350 ) 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 is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 47,170 $ 64,819 $ (84,913 ) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (88,722 ) (146,173 ) (52,523 ) Mortgage Options Net unrealized gains (losses) on derivatives — 225 340 Mortgage Options Net realized gains (losses) on derivatives — 443 7,505 Treasury Futures Net unrealized gains (losses) on derivatives 378 8,634 (17,856 ) Treasury Futures Net realized gains (losses) on derivatives (9,170 ) (35,523 ) (38,552 ) Swaptions Net unrealized gains (losses) on derivatives 2,545 (6,294 ) (1,067 ) Swaptions Net realized gains (losses) on derivatives (7,044 ) (353 ) (24 ) Other Derivative Assets Net unrealized gains (losses) on derivatives — — — Other Derivative Assets Net realized gains (losses) on derivatives (566 ) (415 ) 742 Total $ (55,409 ) $ (114,637 ) $ (186,348 ) (1) Includes loss on termination of interest rate swap of $61 million and $99 million for the years ended December 31, 2016 and 2015 , respectively.

Capital Stock (Tables)

Capital Stock (Tables)	12 Months Ended
	Dec. 31, 2016
Equity [Abstract]
Schedule of Earnings Per Share	Earnings per share for the years ended December 31, 2016 , 2015 , and 2014 respectively, are computed as follows: For the Year Ended December 31, 2016 December 31, 2015 December 31, 2014 (dollars in thousands) Numerator: Net income available to common shareholders $ 549,494 $ 250,349 $ 589,205 Effect of dilutive securities: — — — Dilutive net income available to common shareholders $ 549,494 $ 250,349 $ 589,205 Denominator: Weighted average basic shares 187,728,634 199,563,196 205,450,095 Effect of dilutive securities 296,204 86,981 58,674 Weighted average dilutive shares 188,024,838 199,650,177 205,508,769 Net income per average share attributable to common stockholders - Basic $ 2.93 $ 1.25 $ 2.87 Net income per average share attributable to common stockholders - Diluted $ 2.92 $ 1.25 $ 2.87

Accumulated Other Comprehensi35

Accumulated Other Comprehensive Income (Tables)	12 Months Ended
	Dec. 31, 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 years ended December 31, 2016 and 2015 : December 31, 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 (88,527 ) (88,527 ) Amounts reclassified from AOCI 32,842 32,842 Net current period OCI (55,685 ) (55,685 ) Balance as of December 31, 2016 $ 718,106 $ 718,106 December 31, 2015 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 OCI before reclassifications (263,049 ) (263,049 ) Amounts reclassified from AOCI (9,840 ) (9,840 ) Net current period OCI (272,889 ) (272,889 ) Balance as of December 31, 2015 $ 773,791 $ 773,791
Schedule of Reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the year ended December 31, 2016 and 2015 : December 31, 2016 December 31, 2015 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 25,145 $ 77,284 Net realized gains (losses) on sales of investments (57,987 ) (67,444 ) Net other-than-temporary credit impairment losses $ (32,842 ) $ 9,840 Income before income taxes — — Income taxes $ (32,842 ) $ 9,840 Net of tax

Equity Compensation, Employme36

Equity Compensation, Employment Agreements and other Benefit Plans (Tables)	12 Months Ended
	Dec. 31, 2016
Compensation Related Costs [Abstract]
Share-based Compensation, Performance Shares Award Unvested Activity	The following table presents information with respect to the Company's stock awards during the years ended December 31, 2016 and 2015 . For the Year Ended December 31, 2016 December 31, 2015 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 71,000 28.39 39,480 88.60 Granted 539,847 13.49 84,692 15.35 Vested (33,300 ) 27.23 (50,988 ) 88.60 Forfeited — — (2,184 ) 88.60 Unvested shares outstanding - end of period 577,547 14.53 71,000 28.39

Credit Risk and Interest Rate37

Credit Risk and Interest Rate Risk (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2016 and December 31, 2015 . December 31, 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 $ (5,600,903 ) $ — $ (5,600,903 ) $ 7,033,866 $ 2,545 $ 1,435,508 Interest Rate Swaps - Gross Assets 14,435 (14,435 ) — — — — Interest Rate Swaps - Gross Liabilities (14,875 ) 14,875 — — 39,627 39,627 Treasury Futures - Gross Assets 1,785 — 1,785 — 3,320 5,105 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 7,892 — 7,892 — — 7,892 Swaptions - Gross Liabilities (2,350 ) — (2,350 ) 10,341 — 7,991 Other Derivative Assets — — — — — — Total Liabilities $ (5,594,016 ) $ 440 $ (5,593,576 ) $ 7,044,207 $ 45,492 $ 1,496,123 (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

Summarized Quarterly Results 38

Summarized Quarterly Results (Unaudited) (Tables)	12 Months Ended
	Dec. 31, 2016
Quarterly Financial Information Disclosure [Abstract]
Quarterly Financial Information	The following is a presentation of the results of operations for the quarters ended December 31, 2016, September 30, 2016, June 30, 201 and March 31, 2016. For the Quarter Ended December 31, 2016 September 30, 2016 June 30, 2016 March 31, 2016 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 260,823 $ 250,953 $ 221,096 $ 201,194 Interest expense 106,737 94,911 83,227 62,981 Net interest income 154,086 156,042 137,869 138,213 Other-than-temporary impairments: Total other-than-temporary impairment losses (1,034 ) (993 ) (3,139 ) (4,423 ) Portion of loss recognized in other comprehensive income (13,746 ) (10,581 ) (17,816 ) (6,255 ) Net other-than-temporary credit impairment losses (14,780 ) (11,574 ) (20,955 ) (10,678 ) Net gains (losses) on derivatives 115,523 13,360 (47,755 ) (136,537 ) Net unrealized gains (losses) on financial instruments at fair value (20,664 ) 32,999 30,347 16,871 Gain (loss) on deconsolidation — — — — Gain (loss) on Extinguishment of Debt 1,334 (45 ) — (1,766 ) Net realized gains (losses) on sales of investments 11,121 3,079 6,631 (2,674 ) Other Income — — — 95,000 Total other expenses 24,698 21,031 31,987 15,302 Net income $ 221,903 $ 172,817 $ 74,127 $ 83,098 Dividend on preferred stock $ 2,449 $ — $ — $ — Net income (loss) available to common shareholders $ 219,454 $ 172,817 $ 74,127 $ 83,098 Net income per common share-basic $ 1.17 $ 0.92 $ 0.39 $ 0.44 The following is a presentation of the results of operations for the quarters ended December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015. For the Quarter Ended December 31, 2015 September 30, 2015 June 30, 2015 March 31, 2015 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 201,912 $ 211,876 $ 215,804 $ 243,145 Interest expense 64,955 67,910 66,044 60,456 Net interest income 136,957 143,966 149,760 182,689 Other-than-temporary impairments: Total other-than-temporary impairment losses (2,311 ) (3,129 ) (2,208 ) (1,052 ) Portion of loss recognized in other comprehensive income (12,385 ) (14,703 ) (24,893 ) (6,763 ) Net other-than-temporary credit impairment losses (14,696 ) (17,832 ) (27,101 ) (7,815 ) Net gains (losses) on derivatives 44,546 (92,700 ) 40,127 (106,610 ) Net unrealized gains (losses) on financial instruments at fair value (69,793 ) (40,955 ) (37,260 ) (10,425 ) Gain (loss) on deconsolidation (256 ) — — — Gain (loss) on Extinguishment of Debt 8,906 (19,915 ) 5,079 — Net realized gains (losses) on sales of investments 34,285 3,539 9,685 29,565 Total other expenses 24,569 24,362 24,103 20,362 Net income $ 115,380 $ (48,259 ) $ 116,187 $ 67,042 Net income per share-basic $ 0.61 $ (0.24 ) $ 0.57 $ 0.33

Organization - Narrative (Detai

Organization - Narrative (Detail)	12 Months Ended
	Dec. 31, 2016subsidiary
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of wholly owned direct subsidiaries	9

Summary of the Significant Ac40

Summary of the Significant Accounting Policies - Narrative (Detail) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014	[1]
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value	$ 3,330,063,000				$ 3,675,841,000				$ 3,330,063,000		$ 3,675,841,000
Agency RMBS, at fair value	4,167,754,000				6,514,824,000				4,167,754,000		6,514,824,000
Interest income	260,823,000	$ 250,953,000	$ 221,096,000	$ 201,194,000	201,912,000	$ 211,876,000	$ 215,804,000	$ 243,145,000	934,068,000	[1]	872,737,000	[1]	$ 687,795,000
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	266,000,000				245,000,000				266,000,000		245,000,000
Agency RMBS, at fair value	145,000,000				273,000,000				145,000,000		273,000,000
Non-Agency RMBS, Fair Value Option
Summary Of Significant Accounting Policies [Line Items]
Non-Agency RMBS, at fair value	19,000,000				20,000,000				19,000,000		20,000,000
Other Assets
Summary Of Significant Accounting Policies [Line Items]
Total REO assets	$ 13,000,000				$ 18,000,000				13,000,000		18,000,000
Residential Mortgage-Backed Securities | Interest-Only RMBS
Summary Of Significant Accounting Policies [Line Items]
Interest income									$ 43,000,000		$ 49,000,000
[1]	Includes interest income of consolidated VIEs of $678,623, $575,715, and $428,992 for the years ended December 31, 2016, 2015, and 2014 respectively. See Note 8 to consolidated financial statements for further discussion.

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Investment Holdings [Line Items]
Principal or Notional Value	$ 17,062,076	$ 22,845,276
Total Premium	662,686	868,410
Total Discount	(1,627,480)	(1,814,615)
Amortized Cost	6,825,525	9,465,640
Fair Value	7,497,817	10,190,665
Gross Unrealized Gains	841,967	867,512
Gross Unrealized Losses	(169,675)	(142,490)
Net Unrealized Gain/(Loss)	672,292	725,022
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	3,190,947	3,651,869
Total Premium	231	309
Total Discount	(1,412,058)	(1,553,317)
Amortized Cost	1,779,120	2,098,860
Fair Value	2,511,003	2,826,121
Gross Unrealized Gains	732,133	736,040
Gross Unrealized Losses	(250)	(8,779)
Net Unrealized Gain/(Loss)	731,883	727,261
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	5,648,339	5,426,029
Total Premium	292,396	268,515
Amortized Cost	292,396	268,515
Fair Value	253,539	234,171
Gross Unrealized Gains	18,674	18,113
Gross Unrealized Losses	(57,531)	(52,457)
Net Unrealized Gain/(Loss)	(38,857)	(34,344)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	673,259	762,466
Total Premium	16,352	23,635
Total Discount	(212,734)	(258,128)
Amortized Cost	476,877	527,975
Fair Value	553,498	604,295
Gross Unrealized Gains	77,857	83,896
Gross Unrealized Losses	(1,236)	(7,577)
Net Unrealized Gain/(Loss)	76,621	76,319
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value	266,927	284,931
Total Premium	13,878	15,226
Amortized Cost	13,878	15,226
Fair Value	12,024	11,254
Gross Unrealized Gains	0	62
Gross Unrealized Losses	(1,854)	(4,035)
Net Unrealized Gain/(Loss)	(1,854)	(3,973)
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	2,594,570	5,045,418
Total Premium	149,872	255,837
Amortized Cost	2,744,442	5,301,255
Fair Value	2,705,978	5,267,848
Gross Unrealized Gains	11,235	18,593
Gross Unrealized Losses	(49,699)	(52,001)
Net Unrealized Gain/(Loss)	(38,464)	(33,408)
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	1,331,543	952,091
Total Premium	37,782	24,815
Total Discount	(2,688)	(3,170)
Amortized Cost	1,366,637	973,736
Fair Value	1,316,975	973,787
Gross Unrealized Gains	175	8,052
Gross Unrealized Losses	(49,837)	(8,001)
Net Unrealized Gain/(Loss)	(49,662)	51
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,356,491	6,722,472
Total Premium	152,175	280,073
Amortized Cost	152,175	280,073
Fair Value	144,800	273,189
Gross Unrealized Gains	1,893	2,756
Gross Unrealized Losses	(9,268)	(9,640)
Net Unrealized Gain/(Loss)	$ (7,375)	$ (6,884)

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	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Accretable Yield Movement Schedule [Roll Forward]
Balance at beginning of period	$ 1,742,744	$ 1,534,497
Purchases	79,156	277,922
Yield income earned	(282,800)	(249,898)
Reclassification (to) from non-accretable difference	53,681	238,348
Sales and deconsolidation	(42,671)	(58,125)
Balance at end of period	$ 1,550,110	$ 1,742,744

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	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Investment Holdings [Line Items]
Loans acquired having deteriorated credit, outstanding principal	$ 3,138,265	$ 3,550,698	$ 3,325,335
Loans acquired having deteriorated credit, amortized cost	$ 1,695,079	$ 1,958,726	$ 1,741,780

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Dec. 31, 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	$ 3,815,885	$ 5,477,895
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (110,548)	$ (92,223)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	846	406
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 252,257	$ 403,312
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (59,127)	$ (50,267)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	156	64
Estimated fair value of RMBS in continuous loss position	$ 4,068,142	$ 5,881,207
Unrealized losses on RMBS in continuous loss position	$ (169,675)	$ (142,490)
Number of Securities in continuous loss position | security	1,002	470
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 12,384	$ 294,520
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (250)	$ (8,779)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	3	20
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 0	$ 0
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ 0	$ 0
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	0	0
Estimated fair value of RMBS in continuous loss position	$ 12,384	$ 294,520
Unrealized losses on RMBS in continuous loss position	$ (250)	$ (8,779)
Number of Securities in continuous loss position | security	3	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	$ 96,399	$ 81,919
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (13,600)	$ (18,715)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	62	83
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 78,516	$ 64,058
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (43,931)	$ (33,742)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	86	47
Estimated fair value of RMBS in continuous loss position	$ 174,915	$ 145,977
Unrealized losses on RMBS in continuous loss position	$ (57,531)	$ (52,457)
Number of Securities in continuous loss position | security	148	130
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 56,015	$ 138,257
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (412)	$ (7,577)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	7	22
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 2,826	$ 0
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (824)	$ 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	$ 58,841	$ 138,257
Unrealized losses on RMBS in continuous loss position	$ (1,236)	$ (7,577)
Number of Securities in continuous loss position | security	11	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	$ 748	$ 6,455
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (230)	$ (1,039)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	2	1
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 11,276	$ 3,635
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (1,624)	$ (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	$ 12,024	$ 10,090
Unrealized losses on RMBS in continuous loss position	$ (1,854)	$ (4,035)
Number of Securities in continuous loss position | security	5	3
Agency MBS - Residential
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 2,338,910	$ 4,468,717
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (48,084)	$ (44,687)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	106	116
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 54,943	$ 290,926
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (1,615)	$ (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	$ 2,393,853	$ 4,759,643
Unrealized losses on RMBS in continuous loss position	$ (49,699)	$ (52,001)
Number of Securities in continuous loss position | security	107	120
Agency MBS - Commercial
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 1,247,923	$ 393,058
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (45,802)	$ (7,969)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	646	140
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 51,733	$ 4,986
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (4,035)	$ (32)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	46	4
Estimated fair value of RMBS in continuous loss position	$ 1,299,656	$ 398,044
Unrealized losses on RMBS in continuous loss position	$ (49,837)	$ (8,001)
Number of Securities in continuous loss position | security	692	144
Agency MBS - Interest-only
Investment Holdings [Line Items]
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months	$ 63,506	$ 94,969
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months	$ (2,170)	$ (3,457)
Number of Securities of RMBS in continuous loss position for less than 12 months | security	20	24
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months	$ 52,963	$ 39,707
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months	$ (7,098)	$ (6,183)
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security	16	7
Estimated fair value of RMBS in continuous loss position	$ 116,469	$ 134,676
Unrealized losses on RMBS in continuous loss position	$ (9,268)	$ (9,640)
Number of Securities in continuous loss position | security	36	31

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Millions	12 Months Ended
	Dec. 31, 2016USD ($)point	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Interest-Only RMBS
Investment Holdings [Line Items]
Interest-only RMBS, net unrealized gain (loss)	$ (48)	$ (45)
Interest-only RMBS, amortized cost	458	564
Interest-only RMBS, fair value	410	519
Agency RMBS - Pass-through
Investment Holdings [Line Items]
Gross unrealized loss	100	60
Non-agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 1	$ 16
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality
Investment Holdings [Line Items]
Percentage in Alt-A collateral	68.00%	64.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality
Investment Holdings [Line Items]
Percentage in prime collateral	14.00%	17.00%
Re-REMIC Security
Investment Holdings [Line Items]
Fair value of securities exchanged	$ 65	$ 95	$ 89
Gain (loss) on sale of investments	$ 13	$ 24	$ 23
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	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Total other-than-temporary impairment losses	$ (9,589)	$ (8,700)	$ (8,713)
Portion of loss recognized in other comprehensive income (loss)	(48,398)	(58,744)	(55,279)
Net other-than-temporary credit impairment losses	$ (57,987)	$ (67,444)	$ (63,992)

Mortgage-Backed Securities - 47

Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss beginning balance	$ 529,112	$ 507,548	$ 524,432
Other-than-temporary impairments not previously recognized	25,959	41,233	63,123
Reductions for securities sold or deconsolidated during the period	(9,429)	(19,746)	(61,854)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	32,027	26,138	869
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(21,184)	(26,061)	(19,022)
Cumulative credit impairment loss ending balance	$ 556,485	$ 529,112	$ 507,548

Mortgage-Backed Securities - OT

Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Weighted Average
Investment Holdings [Line Items]
Loss Severity	58.00%	57.00%
60 days delinquent	21.00%	22.00%
Credit Enhancement	25.00%	8.00%
3 Month CPR	7.00%	9.00%
12 Month CPR	6.00%	8.00%
Minimum
Investment Holdings [Line Items]
Loss Severity	25.00%	0.00%
60 days delinquent	0.00%	2.00%
Credit Enhancement	0.00%	0.00%
3 Month CPR	0.00%	3.00%
12 Month CPR	1.00%	3.00%
Maximum
Investment Holdings [Line Items]
Loss Severity	85.00%	92.00%
60 days delinquent	40.00%	41.00%
Credit Enhancement	100.00%	67.00%
3 Month CPR	27.00%	27.00%
12 Month CPR	24.00%	20.00%

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 818,127	$ 844,273
Gross Unrealized Gain Included in Cumulative Earnings	23,840	23,240
Total Gross Unrealized Gain	841,967	867,512
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(100,021)	(70,752)
Gross Unrealized Loss Included in Cumulative Earnings	(69,654)	(71,738)
Total Gross Unrealized Loss	(169,675)	(142,490)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	732,133	736,040
Total Gross Unrealized Gain	732,133	736,040
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(250)	(8,779)
Total Gross Unrealized Loss	(250)	(8,779)
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Cumulative Earnings	18,674	18,113
Total Gross Unrealized Gain	18,674	18,113
Gross Unrealized Loss Included in Cumulative Earnings	(57,531)	(52,457)
Total Gross Unrealized Loss	(57,531)	(52,457)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	74,584	81,588
Gross Unrealized Gain Included in Cumulative Earnings	3,273	2,309
Total Gross Unrealized Gain	77,857	83,896
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(235)	(1,971)
Gross Unrealized Loss Included in Cumulative Earnings	(1,001)	(5,606)
Total Gross Unrealized Loss	(1,236)	(7,577)
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Cumulative Earnings	0	62
Total Gross Unrealized Gain	0	62
Gross Unrealized Loss Included in Cumulative Earnings	(1,854)	(4,035)
Total Gross Unrealized Loss	(1,854)	(4,035)
Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	11,235	18,593
Total Gross Unrealized Gain	11,235	18,593
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(49,699)	(52,001)
Total Gross Unrealized Loss	(49,699)	(52,001)
Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	175	8,052
Total Gross Unrealized Gain	175	8,052
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(49,837)	(8,001)
Total Gross Unrealized Loss	(49,837)	(8,001)
Agency MBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Cumulative Earnings	1,893	2,756
Total Gross Unrealized Gain	1,893	2,756
Gross Unrealized Loss Included in Cumulative Earnings	(9,268)	(9,640)
Total Gross Unrealized Loss	$ (9,268)	$ (9,640)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Dec. 31, 2016USD ($)$ / security	Dec. 31, 2015USD ($)$ / security
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 17,062,076	$ 22,845,276
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 3,190,947	$ 3,651,869
Weighted Average Amortized Cost Basis	55.76	57.47
Weighted Average Fair Value	78.69	77.39
Weighted Average Coupon	4.30%	3.80%
Weighted Average Yield at Period-End	15.50%	13.70%
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 5,648,339	$ 5,426,029
Weighted Average Amortized Cost Basis	5.18	4.95
Weighted Average Fair Value	4.49	4.32
Weighted Average Coupon	1.50%	1.70%
Weighted Average Yield at Period-End	11.70%	12.90%
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 673,259	$ 762,466
Weighted Average Amortized Cost Basis	70.83	69.25
Weighted Average Fair Value	82.21	79.26
Weighted Average Coupon	3.80%	3.20%
Weighted Average Yield at Period-End	9.20%	8.80%
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 266,927	$ 284,931
Weighted Average Amortized Cost Basis	5.20	5.34
Weighted Average Fair Value	4.50	3.95
Weighted Average Coupon	1.10%	1.20%
Weighted Average Yield at Period-End	13.50%	10.90%
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 2,594,570	$ 5,045,418
Weighted Average Amortized Cost Basis	105.78	105.07
Weighted Average Fair Value	104.29	104.41
Weighted Average Coupon	3.90%	3.70%
Weighted Average Yield at Period-End	3.00%	2.80%
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 1,331,543	$ 952,091
Weighted Average Amortized Cost Basis	102.64	102.27
Weighted Average Fair Value	98.91	102.28
Weighted Average Coupon	3.60%	3.40%
Weighted Average Yield at Period-End	2.90%	2.90%
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 3,356,491	$ 6,722,472
Weighted Average Amortized Cost Basis	4.53	4.17
Weighted Average Fair Value	4.31	4.06
Weighted Average Coupon	0.80%	0.80%
Weighted Average Yield at Period-End	3.50%	3.40%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS	Dec. 31, 2016	Dec. 31, 2015
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	100.00%	100.00%
AAA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.30%	0.50%
AA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.30%	0.40%
A
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.70%	0.80%
BBB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.70%	0.40%
BB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	3.00%	5.20%
B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	3.90%	3.00%
Below B or not rated
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	91.10%	89.70%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Fair value
Less than one year, at fair value	$ 26,029	$ 3,687
Greater than one year and less than five years, at fair value	1,194,654	781,478
Greater than five years and less than ten years, at fair value	3,990,091	7,284,439
Greater than ten years, at fair value	2,287,043	2,121,061
Total maturities, at fair value	7,497,817	10,190,665
Amortized cost
Less than one year, at amortized cost	23,415	4,648
Greater than one year and less than five years, at amortized cost	1,094,684	683,625
Greater than five years and less than ten years, at amortized cost	3,605,434	6,903,462
Greater than ten years, at amortized cost	2,101,992	1,873,905
Amortized Cost	6,825,525	9,465,640
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	25,612
Greater than one year and less than five years, at fair value	508,979	374,462
Greater than five years and less than ten years, at fair value	1,267,000	1,629,564
Greater than ten years, at fair value	709,412	822,095
Total maturities, at fair value	2,511,003	2,826,121
Amortized cost
Less than one year, at amortized cost	21,423
Greater than one year and less than five years, at amortized cost	403,250	281,255
Greater than five years and less than ten years, at amortized cost	868,624	1,235,528
Greater than ten years, at amortized cost	485,823	582,077
Amortized Cost	1,779,120	2,098,860
Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	417	1,458
Greater than one year and less than five years, at fair value	37,796	41,862
Greater than five years and less than ten years, at fair value	115,780	123,538
Greater than ten years, at fair value	99,546	67,313
Total maturities, at fair value	253,539	234,171
Amortized cost
Less than one year, at amortized cost	1,992	2,440
Greater than one year and less than five years, at amortized cost	50,252	59,823
Greater than five years and less than ten years, at amortized cost	134,642	135,359
Greater than ten years, at amortized cost	105,510	70,893
Amortized Cost	292,396	268,515
Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	0	2,229
Greater than one year and less than five years, at fair value	94,793	108,728
Greater than five years and less than ten years, at fair value	238,630	212,003
Greater than ten years, at fair value	220,075	281,335
Total maturities, at fair value	553,498	604,295
Amortized cost
Less than one year, at amortized cost	0	2,208
Greater than one year and less than five years, at amortized cost	76,287	86,728
Greater than five years and less than ten years, at amortized cost	195,538	168,403
Greater than ten years, at amortized cost	205,052	270,636
Amortized Cost	476,877	527,975
Non-Agency RMBS - Subordinated interest-only
Fair value
Greater than five years and less than ten years, at fair value	12,024	11,254
Total maturities, at fair value	12,024	11,254
Amortized cost
Greater than five years and less than ten years, at amortized cost	13,878	15,226
Amortized Cost	13,878	15,226
Agency MBS - Residential
Fair value
Greater than one year and less than five years, at fair value	429,869	150,357
Greater than five years and less than ten years, at fair value	2,276,109	5,117,491
Total maturities, at fair value	2,705,978	5,267,848
Amortized cost
Greater than one year and less than five years, at amortized cost	438,270	149,111
Greater than five years and less than ten years, at amortized cost	2,306,172	5,152,144
Amortized Cost	2,744,442	5,301,255
Agency MBS - Commercial
Fair value
Less than one year, at fair value	0
Greater than one year and less than five years, at fair value	47,354
Greater than five years and less than ten years, at fair value	16,833	29,176
Greater than ten years, at fair value	1,252,788	944,611
Total maturities, at fair value	1,316,975	973,787
Amortized cost
Less than one year, at amortized cost	0
Greater than one year and less than five years, at amortized cost	49,027
Greater than five years and less than ten years, at amortized cost	17,247	29,156
Greater than ten years, at amortized cost	1,300,363	944,580
Amortized Cost	1,366,637	973,736
Agency MBS - Interest-only
Fair value
Greater than one year and less than five years, at fair value	75,863	106,069
Greater than five years and less than ten years, at fair value	63,715	161,413
Greater than ten years, at fair value	5,222	5,707
Total maturities, at fair value	144,800	273,189
Amortized cost
Greater than one year and less than five years, at amortized cost	77,598	106,708
Greater than five years and less than ten years, at amortized cost	69,333	167,646
Greater than ten years, at amortized cost	5,244	5,719
Amortized Cost	$ 152,175	$ 280,073

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS $ in Thousands	Dec. 31, 2016USD ($)point	Dec. 31, 2015USD ($)point
Investment Holdings [Line Items]
Weighted average maturity (years)	21 years 7 months 6 days	22 years
Weighted average amortized loan to value	66.50%	67.90%
Weighted average FICO | point	675	671
Weighted average loan balance (in thousands) | $	$ 319	$ 330
Weighted average percentage owner occupied	83.20%	82.70%
Weighted average percentage single family residence	65.80%	65.90%
Weighted average current credit enhancement	2.30%	2.40%
California
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	32.10%	30.40%
Florida
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	8.10%	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	2.70%	2.50%

Mortgage-Backed Securities - Ye

Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS	Dec. 31, 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	1.00%	2.20%
2,004	4.20%	3.70%
2,005	20.20%	21.70%
2,006	38.00%	32.90%
2,007	31.30%	34.20%
2,008	1.80%	1.90%
2,009	0.40%	0.00%
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								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Investment Holdings [Line Items]
Net realized gain (loss)	$ 11,121	$ 3,079	$ 6,631	$ (2,674)	$ 34,285	$ 3,539	$ 9,685	$ 29,565	$ 18,155	$ 77,074	$ 91,709
Residential Mortgage-Backed Securities
Investment Holdings [Line Items]
Proceeds from sales									2,719,329	6,244,613	4,036,033
Gross realized gains									28,572	94,618	98,656
Gross realized losses									(10,417)	(17,544)	(6,947)
Net realized gain (loss)									$ 18,155	$ 77,074	$ 91,709

Securitized Loans Held for In56

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	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 4,768,416	$ 5,306,501
Purchases	4,897,370	577,036
Principal paydowns	(1,022,414)	(707,996)
Sales and settlements	5,007	(9,638)
Net periodic accretion (amortization)	(41,363)	(19,100)
Change in fair value	146,637	(90,581)
Transfer due to deconsolidation	0	(287,806)
Balance, end of period	$ 8,753,653	$ 4,768,416

Securitized Loans Held for In57

Securitized Loans Held for Investment - Year Originated (Detail) - Securitized Loans Held for Investment at Fair Value	Dec. 31, 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	8.40%	8.50%
2,008	8.40%	7.40%
2,009	0.30%	0.30%
2,010	4.70%	5.10%
2,011	30.60%	33.10%
2,012	47.40%	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	9.20%	11.20%
2,003	5.50%	4.00%
2,004	12.40%	11.10%
2,005	21.30%	19.30%
2,006	22.90%	17.40%
2,007	21.30%	25.40%
2,008	6.40%	9.50%
2,009	0.60%	1.10%
2010 and later	0.40%	1.00%
Total	100.00%	100.00%

Securitized Loans Held for In58

Securitized Loans Held for Investment - Collateral Characteristics (Detail) - Securitized Loans Held for Investment at Fair Value $ in Thousands	12 Months Ended
	Dec. 31, 2016USD ($)pointloan	Dec. 31, 2015USD ($)pointloan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	95,155	57,527,000
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	496	657
Weighted average maturity (years)	24 years 6 months	25 years 6 months
Weighted average loan to value	70.50%	70.70%
Weighted average FICO | point	764	765
Weighted average loan balance (in thousands) | $	$ 669	$ 682
Weighted average percentage owner occupied	95.20%	94.30%
Weighted average percentage single family residence	71.60%	70.10%
Weighted average geographic concentration of top five states	30.60%	33.10%
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	94,659	56,870
Weighted average maturity (years)	19 years 7 months 6 days	21 years 6 months
Weighted average loan to value	87.50%	80.70%
Weighted average FICO | point	621	625
Weighted average loan balance (in thousands) | $	$ 90	$ 76
Weighted average percentage owner occupied	96.70%	96.00%
Weighted average percentage single family residence	86.00%	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	30.70%	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	9.20%	8.80%
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	7.20%	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	7.10%	6.20%
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	6.90%	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 York | 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	5.00%
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		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	6.80%	7.20%
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	5.30%	7.10%
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	6.70%	6.10%

Securitized Loans Held for In59

Securitized Loans Held for Investment - Aging (Detail) - Securitized Loans Held for Investment at Fair Value - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and Over Days Delinquent	$ 548,843	$ 436,521
Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
30 Days Delinquent	1,053	3,079
60 Days Delinquent	0	0
90 and Over Days Delinquent	2,846	2,915
Foreclosure	1,691	2,875
REO	0	2,312
Total	5,590	11,181
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
30 Days Delinquent	362,846	189,816
60 Days Delinquent	140,495	66,429
90 and Over Days Delinquent	188,145	125,897
Bankruptcy	207,364	117,308
Foreclosure	201,574	218,493
REO	40,709	36,124
Total	$ 1,141,133	$ 754,067

Securitized Loans Held for In60

Securitized Loans Held for Investment - Narrative (Detail) $ in Millions	12 Months Ended
	Dec. 31, 2016USD ($)portfolio
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of portfolios | portfolio	2
Fair Value | Jumbo Prime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and Over Days Delinquent	$ 2
Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and Over Days Delinquent	$ 447

Securitized Loans Held for In61

Securitized Loans Held for Investment - Loan Product Type and Characteristics (Details) - Securitized Loans Held for Investment at Fair Value	12 Months Ended
	Dec. 31, 2016USD ($)loan	Dec. 31, 2015USD ($)loan	Dec. 31, 2014USD ($)
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	95,155	57,527,000
Total Principal	$ 8,868,783,000	$ 4,787,918,000
30-89 Days Delinquent	844,044,000	296,912,000
90 Days Delinquent	$ 548,843,000	$ 436,521,000
Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	6,932	2,227,000
Total Principal	$ 795,772,000	$ 192,797,000
30-89 Days Delinquent	94,326,000	12,341,000
90 Days Delinquent	$ 35,345,000	$ 10,986,000
Adjustable Rate Loans | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	6,417	2,119,000
Total Principal	$ 609,584,000	$ 138,321,000
30-89 Days Delinquent	67,704,000	11,140,000
90 Days Delinquent	$ 25,102,000	$ 5,292,000
Maturity Date, Minimum	Feb. 1, 2003	Feb. 1, 2003
Maturity Date, Maximum	Oct. 1, 2056	Oct. 1, 2055
Adjustable Rate Loans | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	458	66,000
Total Principal	$ 147,410,000	$ 23,021,000
30-89 Days Delinquent	22,821,000	1,201,000
90 Days Delinquent	$ 7,684,000	$ 2,277,000
Maturity Date, Minimum	Apr. 1, 2030	Jan. 1, 2030
Maturity Date, Maximum	Sep. 1, 2055	Sep. 1, 2055
Adjustable Rate Loans | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	45	29,000
Total Principal	$ 26,383,000	$ 17,186,000
30-89 Days Delinquent	3,033,000
90 Days Delinquent	$ 1,131,000	$ 1,688,000
Maturity Date, Minimum	Jul. 1, 2034	Feb. 1, 2032
Maturity Date, Maximum	Sep. 1, 2046	Apr. 1, 2038
Adjustable Rate Loans | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	7	7,000
Total Principal	$ 5,754,000	$ 5,867,000
30-89 Days Delinquent	768,000
90 Days Delinquent	$ 0
Maturity Date, Minimum	Jan. 1, 2038	Jan. 1, 2038
Maturity Date, Maximum	Dec. 1, 2045	Apr. 1, 2038
Adjustable Rate Loans | Over $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	5	6,000
Total Principal	$ 6,641,000	$ 8,402,000
90 Days Delinquent	$ 1,428,000	$ 1,730,000
Maturity Date, Minimum	Jan. 1, 2038	Dec. 1, 2037
Maturity Date, Maximum	Apr. 1, 2038	Apr. 1, 2038
Adjustable Rate Loans | Minimum | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 1,000
Interest Rate	1.38%	1.70%
Adjustable Rate Loans | Minimum | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	2.13%	2.00%
Adjustable Rate Loans | Minimum | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	2.00%	2.00%
Adjustable Rate Loans | Minimum | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	3.13%	2.88%
Adjustable Rate Loans | Minimum | Over $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000	$ 1,000,000
Interest Rate	3.13%	2.88%
Adjustable Rate Loans | Maximum | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	15.20%	15.20%
Adjustable Rate Loans | Maximum | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	10.00%	10.38%
Adjustable Rate Loans | Maximum | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	9.25%	5.75%
Adjustable Rate Loans | Maximum | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000	$ 1,000,000
Interest Rate	5.17%	2.88%
Adjustable Rate Loans | Maximum | Over $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate	3.38%	4.00%
Hybrid Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	7	14,000
Total Principal	$ 3,468,000	$ 7,582,000
30-89 Days Delinquent	97,000	1,081,000
90 Days Delinquent	$ 0	$ 1,744,000
Hybrid Loans | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	2	2,000
Total Principal	$ 190,000	$ 193,000
30-89 Days Delinquent	97,000
90 Days Delinquent	$ 0
Maturity Date, Minimum	Aug. 1, 2037	Aug. 1, 2037
Maturity Date, Maximum	Sep. 1, 2037	Sep. 1, 2037
Hybrid Loans | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	1	2,000
Total Principal	$ 496,000	$ 908,000
30-89 Days Delinquent	0
90 Days Delinquent	$ 0
Maturity Date, Minimum	Jul. 1, 2037	Jul. 1, 2037
Maturity Date, Maximum	Jul. 1, 2037	Apr. 1, 2038
Hybrid Loans | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	3	8,000
Total Principal	$ 1,842,000	$ 4,751,000
30-89 Days Delinquent	0	1,081,000
90 Days Delinquent	$ 0	$ 1,744,000
Maturity Date, Minimum	Jul. 1, 2037	Jul. 1, 2037
Maturity Date, Maximum	Mar. 1, 2038	Mar. 1, 2038
Hybrid Loans | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	1	2,000
Total Principal	$ 940,000	$ 1,730,000
30-89 Days Delinquent	0
90 Days Delinquent	$ 0
Maturity Date, Minimum	Apr. 1, 2037	Apr. 1, 2037
Maturity Date, Maximum	Apr. 1, 2037	Apr. 1, 2038
Hybrid Loans | Minimum | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000		$ 1,000
Interest Rate	6.67%	6.67%
Hybrid Loans | Minimum | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000		250,000
Interest Rate	5.88%	5.78%
Hybrid Loans | Minimum | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000		500,000
Interest Rate	5.63%	4.00%
Hybrid Loans | Minimum | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000		750,000
Interest Rate	5.75%	5.63%
Hybrid Loans | Maximum | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000		250,000
Interest Rate	6.83%	6.83%
Hybrid Loans | Maximum | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000		500,000
Interest Rate	5.88%	5.88%
Hybrid Loans | Maximum | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000		750,000
Interest Rate	6.88%	7.19%
Hybrid Loans | Maximum | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000		$ 1,000,000
Interest Rate	5.75%	5.75%
Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	88,216	55,286,000
Total Principal	$ 8,069,543,000	$ 4,587,538,000
30-89 Days Delinquent	749,621,000	283,490,000
90 Days Delinquent	$ 513,498,000	$ 423,792,000
Fixed Rate Loans | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	83,925	52,774,000
Total Principal	$ 6,487,251,000	$ 3,540,447,000
30-89 Days Delinquent	603,388,000	245,151,000
90 Days Delinquent	$ 424,980,000	$ 359,559,000
Maturity Date, Minimum	Jul. 1, 2002	Jan. 1, 1999
Maturity Date, Maximum	May 1, 2062	May 1, 2062
Fixed Rate Loans | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	3,769	1,957,000
Total Principal	$ 1,225,999,000	$ 645,347,000
30-89 Days Delinquent	136,702,000	33,405,000
90 Days Delinquent	$ 80,984,000	$ 58,336,000
Maturity Date, Minimum	May 1, 2018	Dec. 1, 2019
Maturity Date, Maximum	Oct. 1, 2065	Oct. 1, 2065
Fixed Rate Loans | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	381	374,000
Total Principal	$ 223,638,000	$ 226,481,000
30-89 Days Delinquent	9,531,000	3,205,000
90 Days Delinquent	$ 5,788,000	$ 4,005,000
Maturity Date, Minimum	May 1, 2032	Jun. 1, 2022
Maturity Date, Maximum	Sep. 1, 2057	Sep. 1, 2057
Fixed Rate Loans | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	103	130,000
Total Principal	$ 87,680,000	$ 112,490,000
30-89 Days Delinquent	0	1,729,000
90 Days Delinquent	$ 1,746,000	$ 1,892,000
Maturity Date, Minimum	Apr. 1, 2037	Jul. 1, 2037
Maturity Date, Maximum	May 1, 2047	Oct. 1, 2042
Fixed Rate Loans | Over $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	38	51,000
Total Principal	$ 44,975,000	$ 62,773,000
Maturity Date, Minimum	Mar. 1, 2013	Mar. 1, 2013
Maturity Date, Maximum	Aug. 1, 2046	Oct. 1, 2042
Fixed Rate Loans | Minimum | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000	$ 1,000
Interest Rate	0.00%	0.00%
Fixed Rate Loans | Minimum | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	0.00%	2.00%
Fixed Rate Loans | Minimum | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	2.00%	2.00%
Fixed Rate Loans | Minimum | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	3.75%	3.75%
Fixed Rate Loans | Minimum | Over $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000	$ 1,000,000
Interest Rate	3.25%	2.25%
Fixed Rate Loans | Maximum | $1 to $250
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 250,000	$ 250,000
Interest Rate	24.00%	24.00%
Fixed Rate Loans | Maximum | $250 to $500
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 500,000	$ 500,000
Interest Rate	12.52%	11.93%
Fixed Rate Loans | Maximum | $500 to $750
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 750,000	$ 750,000
Interest Rate	10.69%	9.75%
Fixed Rate Loans | Maximum | $750 to $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Loan Balance	$ 1,000,000	$ 1,000,000
Interest Rate	7.29%	7.00%
Fixed Rate Loans | Maximum | Over $1,000
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest Rate	7.13%	7.13%

Fair Value Measurements - Level

Fair Value Measurements - Level of Fair Value (Detail) $ in Thousands	Dec. 31, 2016USD ($)loan	Dec. 31, 2015USD ($)loan
Assets:
Non-Agency RMBS, at fair value	$ 3,330,063	$ 3,675,841
Agency RMBS, at fair value	4,167,754	6,514,824
Securitized loans held for investment, at fair value	8,753,653	4,768,416
Derivative assets, at fair value, net	9,677	15,460
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(6,941,097)	(3,720,496)
Derivative liabilities, at fair value, net	(2,350)	(9,634)
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	3,330,063	3,675,841
Agency RMBS, at fair value	4,167,754	6,514,824
Securitized loans held for investment, at fair value	8,753,653	4,768,416
Derivative assets, Counterparty and Cash Collateral, netting	(14,435)	(5,126)
Derivative assets, at fair value, net	9,677	15,460
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(6,941,097)	(3,720,496)
Derivative liabilities, counterparty and cash collateral, netting	14,875	47,600
Derivative liabilities, at fair value, net	(2,350)	(9,634)
Total	9,317,700	11,244,411
Derivatives, counterparty and cash collateral, netting	440	42,474
Fair Value, Measurements, Recurring | Level 1
Assets:
Derivative assets	1,785	1,599
Liabilities:
Derivative liabilities	0	(192)
Total	1,785	1,407
Fair Value, Measurements, Recurring | Level 2
Assets:
Agency RMBS, at fair value	4,167,754	6,514,824
Derivative assets	22,327	18,987
Liabilities:
Derivative liabilities	(17,225)	(57,042)
Total	4,172,856	6,476,769
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	3,330,063	3,675,841
Securitized loans held for investment, at fair value	8,753,653	4,768,416
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	(6,941,097)	(3,720,496)
Total	$ 5,142,619	$ 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 (deficit) of third party prices over internally developed price	$ 16,000	$ (1,000)
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price	50,000
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	123,000	10,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	1,600,000
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	107,000	$ 11,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 1,550,000

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
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
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	358,029	(46,084)
Total, Principal payments	(495,256)	(350,489)
Total, Sales and Settlements	463,885	1,132,526
Total, Accretion (amortization) of purchase discounts	77,147	92,392
Total, Other than temporary credit impairment losses	57,986	67,444
Total, Realized gains (losses) on sales and settlements	13,639	23,236
Total, Net unrealized gains (losses) included in income	60,044	(147,934)
Total, Total unrealized gains (losses) for the period	(644)	(136,084)
Total, Ending balance, Level 3	5,142,619	4,723,761
Securitized Debt | 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	(4,797,255)	(1,668,654)
Securitized Debt, Principal payments	1,059,854	743,329
Securitized Debt, Sales and Settlements	608,816	1,395,292
Securitized Debt, Accretion (amortization) of purchase discounts	(2,128)	(6,344)
Securitized Debt, Realized gains (losses) on sales and settlements	(122)	(5,930)
Securitized Debt, Net unrealized gains (losses) included in income	(89,766)	(38,704)
Securitized Debt, Gains (losses) included in other comprehensive income	0	0
Securitized Debt, Ending balance, Level 3	(6,941,097)	(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 consolidation/deconsolidation		(59,646)
Purchases	257,914	1,045,534
Principal payments	(532,696)	(385,822)
Sales and Settlements	(149,938)	(252,532)
Accretion (amortization) of purchase discounts	120,638	117,836
Other than temporary credit impairment losses	(57,986)	(67,444)
Realized gains (losses) on sales and settlements	13,761	28,724
Net unrealized gains (losses) included in income	3,173	(18,874)
Total unrealized gains (losses) for the period	(644)	(136,084)
Ending balance Level 3 assets	3,330,063	3,675,841
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
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 consolidation/deconsolidation	0	(287,806)
Purchases	4,897,370	577,036
Principal payments	(1,022,414)	(707,996)
Sales and Settlements	5,007	(9,638)
Accretion (amortization) of purchase discounts	(41,363)	19,100
Net unrealized gains (losses) included in income		(90,581)
Change in fair value	146,637	(90,581)
Total unrealized gains (losses) for the period	0	0
Ending balance Level 3 assets	$ 8,753,653	$ 4,768,416

Fair Value Measurements - Uno64

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 - Uno65

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3	Dec. 31, 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	12.50%	13.10%
Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	6.20%	6.60%
Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, discount rate	13.20%	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	0.00%	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	35.00%	17.00%
Significant unobservable input, default rate	22.00%	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	25.00%	22.00%
Significant unobservable input, default rate	18.00%	20.00%
Significant unobservable input, loss severity rate	79.00%	91.00%
Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	15.00%	13.00%
Significant unobservable input, default rate	11.00%	10.00%
Significant unobservable input, loss severity rate	76.00%	64.00%

Fair Value Measurements - Uno66

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Level 3 - Securitized Debt at Fair Value, Collateralized by Loans Held for Investment	Dec. 31, 2016	Dec. 31, 2015
Minimum
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Significant unobservable input, prepayment rate	1.00%	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	30.00%	6.00%
Significant unobservable input, loss severity rate	65.00%	65.00%

Fair Value Measurements - Uno67

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Loans Held for Investment (Detail) - Securitized Loans Held for Investment at Fair Value - Level 3 - point	Dec. 31, 2016	Dec. 31, 2015
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	7.10%	6.80%
FICO	621	625
Loan-to-value (LTV)	88.00%	81.00%
Weighted Average | Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	86.00%	77.00%
Weighted Average | Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	6.00%	11.00%
Weighted Average | Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	8.00%	12.00%
Weighted Average | Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	97.00%	96.00%
Weighted Average | Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	2.00%	4.00%
Weighted Average | Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	1.00%	0.00%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	5.20%	4.80%
FICO	632	620
Loan-to-value (LTV)	87.00%	90.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 334,124	$ 529,415
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	5,600,903	7,439,339
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	334,124	529,415
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	5,619,385	7,466,409
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 324,261	$ 518,941

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	Dec. 31, 2016	Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 5,600,903	$ 7,439,339
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	3,087,734	5,324,729
Average daily balance	$ 4,159,651	$ 5,776,980
Weighted average borrowing rate	0.90%	0.64%
Weighted average maturity	32 days	53 days
Securities pledged as collateral	$ 3,334,245	$ 5,655,410
Repurchase Agreements | Non-agency MBS
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	2,513,169	2,114,610
Average daily balance	$ 2,322,683	$ 1,627,909
Weighted average borrowing rate	3.05%	2.44%
Weighted average maturity	98 days	137 days
Securities pledged as collateral	$ 3,699,621	$ 3,117,875
Repurchase Agreements | Residential Mortgage-Backed Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	5,600,903	7,439,339
Average daily balance	6,482,334	7,404,889
Securities pledged as collateral	$ 7,033,866	$ 8,773,285

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 5,600,903	$ 7,439,339
Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	0
1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	2,947,604	3,312,902
30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	958,956	2,501,513
60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	407,625	246,970
90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	559,533	430,026
Greater than or equal to 120 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 727,185	$ 947,928

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Detail) - Repurchase Agreements - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Nomura Securities Company Limited
Short-term Debt [Line Items]
Amount at risk	$ 320
Credit Suisse First Boston
Short-term Debt [Line Items]
Amount at risk		$ 303
Securities Pledged as Collateral | Nomura Securities Company Limited | Credit Concentration Risk | Stockholders' Equity, Total
Short-term Debt [Line Items]
Collateral posted on repurchase agreements, percentage of equity	10.00%
Weighted average maturity	104 days
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		10.00%
Weighted average maturity		25 days

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Debt Instrument [Line Items]
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS									$ 0	$ 0	$ 56,072
Loss on extinguishment of debt	$ (1,334)	$ 45	$ 0	$ 1,766	$ (8,906)	$ 19,915	$ (5,079)	$ 0	477	5,930	2,184
Net unrealized losses on financial instruments at fair value	20,664	$ (32,999)	$ (30,347)	$ (16,871)	69,793	$ 40,955	$ 37,260	$ 10,425	(59,552)	158,433	$ (193,534)
Securitized Loans | Non-agency MBS
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance									10,000
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS									11,000
Loss on extinguishment of debt									355
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS
Debt Instrument [Line Items]
Principal balance of debt	$ 350,000				$ 545,000				$ 350,000	$ 545,000
Weighted average cost of financing	5.21%				4.49%				5.21%	4.49%
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Loans Held for Investment
Debt Instrument [Line Items]
Principal balance of debt	$ 7,100,000				$ 3,800,000				$ 7,100,000	$ 3,800,000
Weighted average cost of financing	3.99%				3.24%				3.99%	3.24%
Net unrealized losses on financial instruments at fair value									$ 90,000	$ 39,000
Securitized Loans | Variable Interest Entity, Primary Beneficiary | Loans Held for Investment
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance									609,000	1,400,000
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS									609,000	1,400,000
Loss on extinguishment of debt									$ 122	$ 6,000

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Non-agency MBS
Debt Instrument [Line Items]
Within One Year	$ 98,565	$ 137,642
One to Three Years	82,563	178,191
Three to Five Years	23,854	60,872
Greater Than Five Years	31,973	52,280
Total	236,955	428,985
Loans Held for Investment
Debt Instrument [Line Items]
Within One Year	1,151,519	591,171
One to Three Years	1,841,808	941,704
Three to Five Years	1,423,706	734,291
Greater Than Five Years	2,477,123	1,502,663
Total	$ 6,894,156	$ 3,769,829

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands	Dec. 31, 2016USD ($)
Debt Instrument, Redemption [Line Items]
2,017	$ 1,208,854
2,018	1,192,544
2,019	477,317
2,020	3,821,338
2,021	112,759
Total	$ 6,812,812

Consolidated Securitization V75

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Non-agency MBS
Variable Interest Entity [Line Items]
Unconsolidated VIEs, aggregate investment	$ 1,500,000	$ 1,500,000
Non-agency MBS | Minimum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million minimum)	1,000	1,000
Non-agency MBS | Maximum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million minimum)	51,000	54,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Assets	10,761,954	7,031,278
Liabilities	7,300,163	4,262,017
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	$ 1,500,000
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Mortgage loans	$ 5,200,000

Consolidated Securitization V76

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Assets:
Non-Agency RMBS, at fair value	$ 3,330,063	$ 3,675,841
Securitized loans held for investment, at fair value	8,753,653	4,768,416
Accrued interest receivable	79,697	66,247
Other assets	166,350	189,796
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	334,124	529,415
Securitized debt at fair value, collateralized by loans held for investment	6,941,097	3,720,496
Accrued interest payable	48,670	37,432
Variable Interest Entity, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value	1,842,080	2,140,494
Securitized loans held for investment, at fair value	8,753,653	4,768,416
Accrued interest receivable	57,153	35,916
Other assets	109,068	86,452
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	334,124	529,415
Securitized debt at fair value, collateralized by loans held for investment	6,941,097	3,720,496
Accrued interest payable	24,942	$ 12,106
Consolidated Trusts | Variable Interest Entity, Primary Beneficiary
Assets:
Securitized loans held for investment, at fair value	4,942,571
Other assets	39,318
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	$ 4,213,034

Consolidated Securitization V77

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Variable Interest Entity [Line Items]
Net interest income	$ 154,086	$ 156,042	$ 137,869	$ 138,213	$ 136,957	$ 143,966	$ 149,760	$ 182,689	$ 586,211	$ 613,372	$ 540,010
Total other-than-temporary impairment losses	(1,034)	(993)	(3,139)	(4,423)	(2,311)	(3,129)	(2,208)	(1,052)	(9,589)	(8,700)	(8,713)
Portion of loss recognized in other comprehensive income	(13,746)	(10,581)	(17,816)	(6,255)	(12,385)	(14,703)	(24,893)	(6,763)	(48,398)	(58,744)	(55,279)
Net other-than-temporary credit impairment losses	$ (14,780)	$ (11,574)	$ (20,955)	$ (10,678)	$ (14,696)	$ (17,832)	$ (27,101)	$ (7,815)	(57,987)	(67,444)	(63,992)
Variable Interest Entity, Primary Beneficiary
Variable Interest Entity [Line Items]
Total other-than-temporary impairment losses									(1,274)	(2,066)	(3,374)
Portion of loss recognized in other comprehensive income									(37,475)	(55,552)	(55,392)
Net other-than-temporary credit impairment losses									(38,749)	(57,618)	(58,766)
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entity, Primary Beneficiary
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs									678,623	575,715	428,992
Interest expense, Non-recourse liabilities of VIEs									(249,708)	(191,922)	(119,103)
Net interest income									$ 428,915	$ 383,793	$ 309,889

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($)	Dec. 31, 2016	Dec. 31, 2015
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 2,640,600,000	$ 6,086,600,000
Net Estimated Fair Value/Carrying Value	9,677,000	15,460,000
Net Estimated Fair Value/Carrying Value	(2,350,000)	(9,634,000)
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	1,396,900,000	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	624,000,000	779,000,000
Net Estimated Fair Value/Carrying Value	7,892,000	12,821,000
Net Estimated Fair Value/Carrying Value	(2,350,000)	(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	1,785,000	1,407,000
Net Estimated Fair Value/Carrying Value	$ 0	$ 0

Derivative Instruments - Effe79

Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									$ 50,093	$ 67,385	$ (103,496)
Net realized gains (losses) on derivatives									0	0	(1,246)
Net gains (losses) on derivatives	$ 115,523	$ 13,360	$ (47,755)	$ (136,537)	$ 44,546	$ (92,700)	$ 40,127	$ (106,610)	(55,409)	(114,637)	(186,348)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									47,170	64,819	(84,913)
Net realized gains (losses) on derivatives									(88,722)	(146,173)	(52,523)
Mortgage Options
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									0	225	340
Net realized gains (losses) on derivatives									0	443	7,505
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									378	8,634	(17,856)
Net realized gains (losses) on derivatives									(9,170)	(35,523)	(38,552)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									2,545	(6,294)	(1,067)
Net realized gains (losses) on derivatives									(7,044)	(353)	(24)
Other Derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									0	0	0
Net realized gains (losses) on derivatives									$ (566)	$ (415)	$ 742

Derivative Instruments - Effe80

Derivative Instruments - Effect on Consolidated Results - Additional Information (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Realized gains (losses) on terminations of interest rate swaps	$ (60,616)	$ (98,949)	$ 0

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Derivatives, Fair Value [Line Items]
Realized losses on terminations of interest rate swaps	$ 60,616	$ 98,949	$ 0
The weighted average pay rate on the Company's interest rate swaps	2.13%	1.51%
The weighted average receive rate on the Company's interest rate swaps	0.90%	0.36%
The weighted average maturity on the Company's interest rate swaps	8 years	4 years	6 years
Fair value of credit risk derivative instruments in a net liability position	$ 1,000
Early Terminated Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Derivative instruments terminated	$ 3,300,000	$ 1,200,000

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	1 Months Ended		3 Months Ended				12 Months Ended
	Nov. 30, 2016	Oct. 31, 2016	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Class of Stock [Line Items]
Dividends declared on preferred stock			$ 2,449	$ 0	$ 0	$ 0	$ 2,449	$ 0	$ 0
Preferred Class A
Class of Stock [Line Items]
Preferred Stock, shares authorized (shares)		5,800,000	100,000,000				100,000,000	100,000,000
Preferred Stock, dividend rate (percent)		8.00%					8.00%	8.00%
Preferred Stock, par value (usd per share)		$ 0.01	$ 0.01				$ 0.01	$ 0.01
Sale of stock price (in USD per share)		25
Preferred stock, redemption price per share (in USD per share)		$ 25
Preferred stock, issuance cost and discount on shares		$ 140,000
Dividends declared on preferred stock	$ 2,000
Preferred stock dividends declared (in USD per share)	$ 0.42

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Detail) - USD ($)	3 Months Ended	6 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014	Aug. 05, 2015
Class of Stock [Line Items]
Stock repurchase program, authorized amount	$ 350,000,000					$ 250,000,000
Stock repurchase program, additional authorized amount	$ 100,000,000
Number of shares repurchased (shares)		18,000,000	0
Repurchase price per share (usd per share)		$ 13.94
Value of shares repurchased		$ 250,000,000
Stock repurchase program, remaining authorized repurchase amount			$ 100,000,000
Common dividends declared			$ 458,735,000	$ 378,804,000	$ 369,855,000
Common dividends declared, per share (usd per share)			$ 2.44	$ 1.92	$ 1.80
Regular Dividend
Class of Stock [Line Items]
Common dividends declared			$ 364,000,000	$ 379,000,000	$ 370,000,000
Common dividends declared, per share (usd per share)			$ 1.94	$ 1.92	$ 1.80
Special Dividend
Class of Stock [Line Items]
Common dividends declared			$ 94,000,000
Common dividends declared, per share (usd per share)			$ 0.50

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Numerator:
Net income (loss) available to common shareholders	$ 219,454	$ 172,817	$ 74,127	$ 83,098					$ 549,494	$ 250,349	$ 589,205
Effect of dilutive securities:									0	0	0
Dilutive net income available to common shareholders									$ 549,494	$ 250,349	$ 589,205
Denominator:
Weighted average basic shares (shares)									187,728,634	199,563,196	205,450,095
Effect of dilutive securities (shares)									296,204	86,981	58,674
Weighted average dilutive shares (shares)									188,024,838	199,650,177	205,508,769
Net income per average share attributable to common stockholders - Basic (usd per share)	$ 1.17	$ 0.92	$ 0.39	$ 0.44	$ 0.61	$ (0.24)	$ 0.57	$ 0.33	$ 2.93	$ 1.25	$ 2.87
Net income per average share attributable to common stockholders - Diluted (usd per share)									$ 2.92	$ 1.25	$ 2.87

Accumulated Other Comprehensi85

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
AOCI [Roll Forward]
Beginning Balance	$ 2,946,188	$ 3,607,690
Ending Balance	3,123,533	2,946,188
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	773,791	1,046,680
OCI before reclassifications	(88,527)	(263,049)
Amounts reclassified from AOCI	32,842	(9,840)
Net current period OCI	(55,685)	(272,889)
Ending Balance	718,106	773,791
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	773,791	1,046,680
OCI before reclassifications	(88,527)	(263,049)
Amounts reclassified from AOCI	32,842	(9,840)
Net current period OCI	(55,685)	(272,889)
Ending Balance	$ 718,106	$ 773,791

Accumulated Other Comprehensi86

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 11,121	$ 3,079	$ 6,631	$ (2,674)	$ 34,285	$ 3,539	$ 9,685	$ 29,565	$ 18,155	$ 77,074	$ 91,709
Net other-than-temporary credit impairment losses	14,780	11,574	20,955	10,678	14,696	17,832	27,101	7,815	57,987	67,444	63,992
Income (loss) before income taxes									552,026	250,350	589,207
Income taxes									(83)	(1)	(2)
Net income (loss)	$ 221,903	$ 172,817	$ 74,127	$ 83,098	$ 115,380	$ (48,259)	$ 116,187	$ 67,042	551,943	250,349	$ 589,205
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									25,145	77,284
Net other-than-temporary credit impairment losses									(57,987)	67,444
Income (loss) before income taxes									(32,842)	9,840
Income taxes									0	0
Net income (loss)									$ (32,842)	$ 9,840

Equity Compensation, Employme87

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail)	3 Months Ended	12 Months Ended
	Mar. 31, 2016installment	Dec. 31, 2016USD ($)shares	Dec. 31, 2015USD ($)	Dec. 31, 2014USD ($)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Forfeitures (shares) | shares		0
Common dividends declared		$ 2,206,000	$ 1,979,000	$ 953,000
Share-based compensation expense			1,000,000	$ 166,000
Stock Award Deferral Program
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of installments | installment	5
Restricted Stock | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Shares available for future grants (shares) | shares		7,000,000
Restricted Stock | Minimum | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period		2 years
Restricted Stock | Maximum | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period		10 years
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period		3 years
Forfeitures (shares) | shares		360,000
Grant date fair value		$ 5,000,000
Restricted Stock Units (RSUs) | One year from grant date
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		33.33%
Restricted Stock Units (RSUs) | Two years from grant date
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		33.33%
Restricted Stock Units (RSUs) | Three years from grant date
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		33.33%
Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period		3 years
Grant date fair value		$ 3,000,000
Granted shares (shares) | shares		180,000
Performance period		3 years
Performance Share Units | One year from grant date
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		33.33%
Performance Share Units | Two years from grant date
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		33.33%
Performance Share Units | Three years from grant date
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		33.33%
Performance Share Units | Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		0.00%
Performance Share Units | Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage		150.00%
401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Maximum annual contributions per employee, amount		$ 18,000
Maximum annual contribution per employee, additional contribution per employee over certain age		6,000
Expense related to qualified plan		$ 335,000	$ 82,000
401(k) Plan | Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Employer matching contribution, percent of match		100.00%
Employer matching contribution, percent of employees' gross pay		6.00%

Equity Compensation, Employme88

Equity Compensation, Employment Agreements and other Benefit Plans - Schedule of Unvested Shares Outstanding (Details) - $ / shares	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015
Number of Shares
Forfeited (in shares)	0
Stock award
Number of Shares
Unvested shares outstanding - end of period (in shares)	71,000	39,480
Granted (in shares)	539,847	84,692
Vested (in shares)	(33,300)	(50,988)
Forfeited (in shares)	0	(2,184)
Unvested shares outstanding - end of period (in shares)	577,547	71,000
Weighted Average Grant Date Fair Value
Unvested shares outstanding - beginning of period (in USD per share)	$ 28.39	$ 88.60
Granted (in USD per share)	13.49	15.35
Vested (in USD per share)	27.23	88.60
Forfeited (in USD per share)	0	88.60
Unvested shares outstanding - end of period (in USD per share)	$ 14.53	$ 28.39

Income Taxes Income Taxes (Deta

Income Taxes Income Taxes (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Income Tax Disclosure [Abstract]
Income tax expense	$ 83	$ 1	$ 2
Deferred tax assets recorded	5,000	4,000
Deferred tax assets related to cumulative net operating losses	2,000	3,000
Deferred tax assets related to other losses	3,000	1,000
Valuation allowance	$ 5,000	$ 4,000

Credit Risk and Interest Rate90

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands	Dec. 31, 2016	Dec. 31, 2015
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (5,600,903)	$ (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	(5,600,903)	(7,439,339)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	7,033,866	8,773,285
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	2,545	37,296
Net Amount	1,435,508	1,371,242
Derivative Asset [Abstract]
Net Amounts Offset in the Consolidated Statements of Financial Position	9,677	15,460
Derivative Liability [Abstract]
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,350)	(9,634)
Total [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	(5,594,016)	(7,475,795)
Gross Amounts Offset in the Consolidated Statements of Financial Position	440	42,282
Net Amounts Offset in the Consolidated Statements of Financial Position	(5,593,576)	(7,433,513)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	7,044,207	8,781,874
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	45,492	95,140
Net Amount	1,496,123	1,443,501
Interest Rate Swaps
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	14,435	6,166
Gross Amounts Offset in the Consolidated Statements of Financial Position	(14,435)	(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)	(14,875)	(53,777)
Gross Amounts Offset in the Consolidated Statements of Financial Position	14,875	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	39,627	51,424
Net Amount	39,627	53,644
Treasury Futures
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	1,785	1,599
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	(192)
Net Amounts Offset in the Consolidated Statements of Financial Position	1,785	1,407
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	3,320	6,420
Net Amount	5,105	7,827
Derivative Liability [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	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
Swaptions
Derivative Asset [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	7,892	12,821
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	7,892	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	7,892	12,821
Derivative Liability [Abstract]
Gross Amounts of Recognized Assets (Liabilities)	(2,350)	(3,265)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(2,350)	(3,265)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	10,341	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	0	0
Net Amount	7,991	$ (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

Summarized Quarterly Results 92

Summarized Quarterly Results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2016	Sep. 30, 2016	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015	Sep. 30, 2015	Jun. 30, 2015	Mar. 31, 2015	Dec. 31, 2016		Dec. 31, 2015		Dec. 31, 2014
Net Interest Income:
Interest income	$ 260,823	$ 250,953	$ 221,096	$ 201,194	$ 201,912	$ 211,876	$ 215,804	$ 243,145	$ 934,068	[1]	$ 872,737	[1]	$ 687,795	[1]
Interest expense	106,737	94,911	83,227	62,981	64,955	67,910	66,044	60,456	347,857	[2]	259,365	[2]	147,785	[2]
Net interest income	154,086	156,042	137,869	138,213	136,957	143,966	149,760	182,689	586,211		613,372		540,010
Other-than-temporary impairments:
Total other-than-temporary impairment losses	(1,034)	(993)	(3,139)	(4,423)	(2,311)	(3,129)	(2,208)	(1,052)	(9,589)		(8,700)		(8,713)
Portion of loss recognized in other comprehensive income	(13,746)	(10,581)	(17,816)	(6,255)	(12,385)	(14,703)	(24,893)	(6,763)	(48,398)		(58,744)		(55,279)
Net other-than-temporary credit impairment losses	(14,780)	(11,574)	(20,955)	(10,678)	(14,696)	(17,832)	(27,101)	(7,815)	(57,987)		(67,444)		(63,992)
Net gains (losses) on derivatives	115,523	13,360	(47,755)	(136,537)	44,546	(92,700)	40,127	(106,610)	(55,409)		(114,637)		(186,348)
Net unrealized gains (losses) on financial instruments at fair value	(20,664)	32,999	30,347	16,871	(69,793)	(40,955)	(37,260)	(10,425)	59,552		(158,433)		193,534
Gain (loss) on deconsolidation	0	0	0	0	(256)	0	0	0	0		(256)		47,846
Gains (losses) on Extinguishment of Debt	1,334	(45)	0	(1,766)	8,906	(19,915)	5,079	0	(477)		(5,930)		(2,184)
Net realized gains (losses) on sales of investments	11,121	3,079	6,631	(2,674)	34,285	3,539	9,685	29,565	18,155		77,074		91,709
Other income	0	0	0	95,000					95,000		0		23,783
Total other expenses	24,698	21,031	31,987	15,302	24,569	24,362	24,103	20,362	93,019		93,396		55,151
Net income (loss)	221,903	172,817	74,127	83,098	$ 115,380	$ (48,259)	$ 116,187	$ 67,042	551,943		250,349		589,205
Dividend on preferred stock	2,449	0	0	0					2,449		0		0
Net income (loss) available to common shareholders	$ 219,454	$ 172,817	$ 74,127	$ 83,098					$ 549,494		$ 250,349		$ 589,205
Basic (usd per share)	$ 1.17	$ 0.92	$ 0.39	$ 0.44	$ 0.61	$ (0.24)	$ 0.57	$ 0.33	$ 2.93		$ 1.25		$ 2.87
[1]	Includes interest income of consolidated VIEs of $678,623, $575,715, and $428,992 for the years ended December 31, 2016, 2015, and 2014 respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $249,708, $191,922 and $119,103 for the years ended December 31, 2016, 2015, 2014 respectively. See Note 8 to consolidated financial statements for further discussion.