Chimera Investment (CIM) 10-Q 3 May 18 2018 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2018	Apr. 30, 2018
Document And Entity Information [Abstract]
Entity Registrant Name	CHIMERA INVESTMENT CORP
Trading Symbol	CIM
Entity Central Index Key	1,409,493
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Document Type	10-Q
Document Period End Date	Mar. 31, 2018
Document Fiscal Year Focus	2,018
Document Fiscal Period Focus	Q1
Amendment Flag	false
Entity Common Stock, Shares Outstanding		186,970,122

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Mar. 31, 2018	Dec. 31, 2017
Assets:
Cash and cash equivalents		$ 100,752	$ 63,569
Non-Agency RMBS, at fair value		2,760,711	2,851,316
Agency MBS, at fair value		4,557,799	4,364,828
Loans held for investment, at fair value		13,619,995	13,678,263
Accrued interest receivable		98,669	100,789
Other assets		99,631	114,391
Derivatives, at fair value, net		93,171	48,914
Total assets	[1]	21,330,728	21,222,070
Liabilities:
Repurchase agreements ($8.7 billion and $8.8 billion, pledged as collateral, respectively)		7,202,924	7,250,452
Securitized debt, collateralized by Non-Agency RMBS ($1.5 billion and $1.6 billion pledged as collateral, respectively)		194,967	205,780
Securitized debt at fair value, collateralized by loans held for investment ($13.2 billion and $13.3 billion pledged as collateral, respectively)		9,321,154	9,388,657
Payable for investments purchased		766,250	567,440
Accrued interest payable		69,929	61,888
Dividends payable		95,335	95,365
Accounts payable and other liabilities		9,426	17,191
Derivatives, at fair value, net		0	320
Total liabilities	[1]	17,659,985	17,587,093
Commitments and Contingencies (See Note 15)
Stockholders' Equity:
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 186,969,715 and 187,809,288 shares issued and outstanding, respectively		1,870	1,878
Additional paid-in-capital		3,814,391	3,826,691
Accumulated other comprehensive income		709,244	796,902
Cumulative earnings		3,206,859	2,967,852
Cumulative distributions to stockholders		(4,061,809)	(3,958,534)
Total stockholders' equity		3,670,743	3,634,977
Total liabilities and stockholders' equity		21,330,728	21,222,070
Preferred Class A
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		58	58
Preferred Class B
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		$ 130	$ 130
[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 March 31, 2018 and December 31, 2017, total assets of consolidated VIEs were $14,878,283 and $14,987,464, respectively, and total liabilities of consolidated VIEs were $9,553,852 and $9,631,820, respectively. See Note 8 for further discussion.

CONSOLIDATED STATEMENTS OF FIN3

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Preferred Stock, par value (usd per share)	$ 0.01	$ 0.01
Preferred Stock, shares authorized (shares)	100,000,000	100,000,000
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)	186,969,715	187,809,288
Common stock, shares outstanding (shares)	186,969,715	187,809,288
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral	$ 8,703,066,000	$ 8,788,680,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Assets	14,878,283,000	14,987,464,000
Liabilities	9,553,852,000	9,631,820,000
Securitized Loans | Non-agency MBS
Securities pledged as collateral	1,500,000,000	1,600,000,000
Securitized Loans | Loans Held for Investment at Fair Value
Securities pledged as collateral	$ 13,200,000,000	$ 13,300,000,000
Preferred Class A
Preferred Stock, dividend rate (percent)	8.00%	8.00%
Preferred Stock, shares issued (shares)	5,800,000	5,800,000
Preferred Stock, shares outstanding (shares)	5,800,000	5,800,000
Preferred Stock, liquidation preference	$ 145,000	$ 145,000
Preferred Class B
Preferred Stock, dividend rate (percent)	8.00%	8.00%
Preferred Stock, shares issued (shares)	13,000,000	13,000,000
Preferred Stock, shares outstanding (shares)	13,000,000	13,000,000
Preferred Stock, liquidation preference	$ 325,000	$ 325,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2018	Mar. 31, 2017
Net interest income:
Interest income	[1]	$ 297,132	$ 251,344
Interest expense	[2]	149,251	110,231
Net interest income		147,881	141,113
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(294)	(2,713)
Portion of loss recognized in other comprehensive income		(864)	(15,988)
Net other-than-temporary credit impairment losses		(1,158)	(18,701)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		81,419	4,896
Net realized gains (losses) on derivatives		13,085	(9,358)
Net gains (losses) on derivatives		94,504	(4,462)
Net unrealized gains (losses) on financial instruments at fair value		14,466	72,243
Net realized gains (losses) on sales of investments		0	5,167
Gains (losses) on extinguishment of debt		9,670	0
Total other gains (losses)		118,640	72,948
Other expenses:
Compensation and benefits		8,411	7,556
General and administrative expenses		5,489	4,040
Servicing fees		11,334	9,588
Deal expenses		1,088	11,353
Total other expenses		26,322	32,537
Income (loss) before income taxes		239,041	162,823
Income taxes		34	16
Net income (loss)		239,007	162,807
Dividend on preferred stock		9,400	5,283
Net income (loss) available to common shareholders		$ 229,607	$ 157,524
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 1.22	$ 0.84
Diluted (usd per share)		$ 1.22	$ 0.84
Weighted average number of common shares outstanding:
Basic (shares)		187,553,281	187,761,748
Diluted (shares)		188,176,753	188,195,061
Dividends declared per share of common stock (usd per share)		$ 0.50	$ 0.50
[1]	Includes interest income of consolidated VIEs of $235,026 and $192,989 for the quarters ended March 31, 2018 and 2017, respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $99,614 and $82,684 for the quarters ended March 31, 2018 and 2017, 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 Entities, Primary Beneficiary - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Interest income, assets of consolidated VIEs	$ 235,026	$ 192,989
Interest expense, non-recourse liabilities of VIEs	$ 99,614	$ 82,684

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Comprehensive income (loss):
Net income (loss)	$ 239,007	$ 162,807
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(88,816)	(3,910)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	1,158	18,701
Reclassification adjustment for net realized losses (gains) included in net income	0	(5,186)
Other comprehensive income (loss)	(87,658)	9,605
Comprehensive income (loss) before preferred stock dividends	151,349	172,412
Dividends on preferred stock	9,400	5,283
Comprehensive income (loss) available to common stock shareholders	$ 141,949	$ 167,129

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands	Total	Common Stock Par Value	Additional Paid-in Capital	Accumulated Other Comprehensive Income	Cumulative Earnings	Cumulative Distributions to Stockholders	Series A Preferred Stock Par Value	Series A Preferred Stock Par ValuePreferred Stock	Series B Preferred Stock Par Value	Series B Preferred Stock Par ValuePreferred Stock
Beginning Balance at Dec. 31, 2016	$ 3,123,533	$ 1,877	$ 3,508,779	$ 718,106	$ 2,443,184	$ (3,548,471)		$ 58		$ 0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	162,807				162,807
Other comprehensive income (loss)	9,605			9,605
Stock based compensation	1,120	1	1,119
Common dividends declared	(94,123)					(94,123)
Preferred dividends declared	(5,283)					(5,283)	$ (3,000)
Issuance of preferred stock	314,429		314,299					0		130
Ending Balance at Mar. 31, 2017	3,512,088	1,878	3,824,197	727,711	2,605,991	(3,647,877)		58		130
Beginning Balance at Dec. 31, 2017	3,634,977	1,878	3,826,691	796,902	2,967,852	(3,958,534)		58		130
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	239,007				239,007
Other comprehensive income (loss)	(87,658)			(87,658)
Repurchase of common stock	(14,834)	(8)	(14,826)
Stock based compensation	2,526		2,526
Common dividends declared	(93,875)					(93,875)
Preferred dividends declared	(9,400)					(9,400)	$ (3,000)		$ (7,000)
Ending Balance at Mar. 31, 2018	$ 3,670,743	$ 1,870	$ 3,814,391	$ 709,244	$ 3,206,859	$ (4,061,809)		$ 58		$ 130

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Cash Flows From Operating Activities:
Net income	$ 239,007	$ 162,807
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	2,521	(13,712)
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	(693)	5,109
Amortization of swaption premium	727	3,303
Net unrealized losses (gains) on derivatives	(81,419)	(4,896)
Margin (paid) received on derivatives	43,891	4,974
Net unrealized losses (gains) on financial instruments at fair value	(14,466)	(72,243)
Net realized losses (gains) on sales of investments	0	(5,167)
Net other-than-temporary credit impairment losses	1,158	18,701
(Gain) loss on extinguishment of debt	(9,670)	0
Equity-based compensation expense	2,526	1,119
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	2,120	(19,972)
Decrease (increase) in other assets	12,501	(30,275)
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	(7,766)	(7,517)
Increase (decrease) in accrued interest payable, net	8,041	18,929
Net cash provided by (used in) operating activities	198,478	61,160
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	63,226	(3,716,567)
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	13,951,070	6,551,098
Payments on repurchase agreements	(13,997,248)	(6,300,798)
Net proceeds from preferred stock offerings	0	314,429
Payments on repurchase of common stock	(14,834)	0
Proceeds from securitized debt borrowings, collateralized by loans held for investment	509,066	3,457,535
Payments on securitized debt borrowings, collateralized by loans held for investment	(558,917)	(331,290)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(10,353)	(31,320)
Common dividends paid	(93,905)	(94,056)
Preferred dividends paid	(9,400)	(5,349)
Net cash provided by (used in) financing activities	(224,521)	3,560,249
Net increase (decrease) in cash and cash equivalents	37,183	(95,158)
Cash and cash equivalents at beginning of period	63,569	177,714
Cash and cash equivalents at end of period	100,752	82,556
Supplemental disclosure of cash flow information:
Interest received	301,772	217,660
Interest paid	141,903	86,193
Non-cash investing activities:
Payable for investments purchased	766,250	473,269
Net change in unrealized gain (loss) on available-for sale securities	(87,658)	9,605
Non-cash financing activities:
Common dividends declared, not yet paid	95,335	94,625
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(217,579)	(113,599)
Principal payments	109,645	115,237
Non-agency MBS
Cash Flows From Investing Activities:
Purchases	0	(5,663)
Principal payments	96,988	127,929
Loans held for investment:
Cash Flows From Investing Activities:
Purchases	(369,583)	(4,165,322)
Principal payments	$ 443,755	$ 324,851

Organization

Organization	3 Months Ended
	Mar. 31, 2018
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 eight wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC formed in June 2009; 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.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	3 Months Ended
	Mar. 31, 2018
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 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 structure 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 only be satisfied from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised 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) 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. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2017 , other than the significant accounting policies disclosed below. Income Taxes 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 March 31, 2018 or December 31, 2017 . 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. (e) Recent Accounting Pronouncements Income Statement - Reporting Comprehensive Income - (Topic 220) In February 2018, the FASB issued ASU No. 2018-02, I ncome Statement - Reporting Comprehensive Income - Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The amendments in this update allow a reclassification from accumulated other comprehensive income to retained earnings for stranded tax effects resulting from the Tax Cuts and Jobs Act. Consequently, the amendments eliminate the stranded tax effects resulting from the Tax Cuts and Jobs Act and will improve the usefulness of information reported to financial statement users. However, because the amendments only relate to the reclassification of the income tax effects of the Tax Cuts and Jobs Act, the underlying guidance that requires that the effect of a change in tax laws or rates be included in income from continuing operations is not affected. The amendments in this Update also require certain disclosures about stranded tax effects. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities (Topic 815) In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities. This update is issued with the objective of improving the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. In addition, the amendments in this update make certain targeted improvements to simplify the application of the hedge accounting guidance in current GAAP. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Business Combinations - (Topic 805) In January 2017, the FASB issued ASU No. 2017-01, Business Combinations - Clarifying the Definition of a Business. This update clarifies the definition of a business with the objective of adding guidance to assist entities with evaluating whether transactions should be accounted for as acquisitions (or disposals) of assets or businesses. Under the current implementation guidance in Topic 805, there are three elements of a business-inputs, processes, and outputs. While an integrated set of assets and activities (collectively referred to as a “set”) that is a business usually has outputs, outputs are not required to be present. The amendments in this update provide a screen to determine when a set is not a business. The screen requires that when substantially all of the fair value of the gross assets acquired (or disposed of) is concentrated in a single identifiable asset or a group of similar identifiable assets, the set is not a business. This screen reduces the number of transactions that need to be further evaluated. The Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's consolidated financial statements. 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 Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's 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 Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's consolidated Statements of Cash Flows. 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 the Company does 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 is currently evaluating what impact this update will have on the consolidated 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 Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's consolidated financial statements.

Mortgage-Backed Securities

Mortgage-Backed Securities	3 Months Ended
	Mar. 31, 2018
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, commercial and IO 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. The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2018 and December 31, 2017 . March 31, 2018 (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 $ 2,627,375 $ 867 $ (1,210,583 ) $ 1,417,659 $ 2,153,327 $ 736,149 $ (481 ) $ 735,668 Senior, interest-only 4,646,297 251,692 — 251,692 197,593 16,197 (70,296 ) (54,099 ) Subordinated 495,128 10,319 (172,024 ) 333,423 401,699 68,452 (176 ) 68,276 Subordinated, interest-only 196,208 7,225 — 7,225 8,092 1,388 (521 ) 867 Agency MBS Residential 2,265,632 125,940 — 2,391,572 2,312,635 3,201 (82,138 ) (78,937 ) Commercial 2,153,980 50,889 (4,600 ) 2,200,269 2,147,644 3,042 (55,667 ) (52,625 ) Interest-only 2,960,181 104,603 — 104,603 97,520 827 (7,910 ) (7,083 ) Total $ 15,344,801 $ 551,535 $ (1,387,207 ) $ 6,706,443 $ 7,318,510 $ 829,256 $ (217,189 ) $ 612,067 December 31, 2017 (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 $ 2,733,926 $ 540 $ (1,257,103 ) $ 1,477,363 $ 2,231,415 $ 754,234 $ (182 ) $ 754,052 Senior, interest-only 4,862,461 262,996 — 262,996 210,850 15,761 (67,907 ) (52,146 ) Subordinated 501,455 10,571 (177,206 ) 334,820 401,225 66,704 (299 ) 66,405 Subordinated, interest-only 201,378 7,369 — 7,369 7,826 902 (445 ) 457 Agency MBS Residential 2,227,128 123,245 — 2,350,373 2,322,180 5,706 (33,899 ) (28,193 ) Commercial 1,894,594 47,430 (4,685 ) 1,937,339 1,938,281 17,041 (16,099 ) 942 Interest-only 3,021,840 111,277 — 111,277 104,367 834 (7,744 ) (6,910 ) Total $ 15,442,782 $ 563,428 $ (1,438,994 ) $ 6,481,537 $ 7,216,144 $ 861,182 $ (126,575 ) $ 734,607 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 Quarters Ended March 31, 2018 March 31, 2017 (dollars in thousands) Balance at beginning of period $ 1,303,590 $ 1,550,110 Purchases — 8,216 Yield income earned (59,732 ) (68,827 ) Reclassification (to) from non-accretable difference 50,026 23,952 Sales and deconsolidation 112 (35 ) Balance at end of period $ 1,293,996 $ 1,513,416 The table below presents the outstanding principal balance and related amortized cost at March 31, 2018 and December 31, 2017 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Quarter Ended For the Year Ended March 31, 2018 December 31, 2017 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,673,350 $ 3,138,265 End of period $ 2,581,229 $ 2,673,350 Amortized cost: Beginning of period $ 1,381,839 $ 1,695,079 End of period $ 1,334,327 $ 1,381,839 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 March 31, 2018 and December 31, 2017 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d) of 2017, Form 10-K. March 31, 2018 (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 $ 35,069 $ (481 ) 1 $ — $ — — $ 35,069 $ (481 ) 1 Senior, interest-only 27,994 (2,206 ) 20 109,181 (68,090 ) 118 137,175 (70,296 ) 138 Subordinated 1,857 (85 ) 11 4,186 (91 ) 3 6,043 (176 ) 14 Subordinated, interest-only — — — 819 (521 ) 3 819 (521 ) 3 Agency MBS Residential 746,346 (19,528 ) 32 1,383,334 (62,610 ) 94 2,129,680 (82,138 ) 126 Commercial 1,584,221 (50,604 ) 402 113,327 (5,063 ) 55 1,697,548 (55,667 ) 457 Interest-only 13,338 (683 ) 7 52,347 (7,227 ) 23 65,685 (7,910 ) 30 Total $ 2,408,825 $ (73,587 ) 473 $ 1,663,194 $ (143,602 ) 296 $ 4,072,019 $ (217,189 ) 769 December 31, 2017 (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 $ 35,229 $ (182 ) 1 $ — $ — — $ 35,229 $ (182 ) 1 Senior, interest-only 28,129 (1,724 ) 27 120,120 (66,183 ) 120 148,249 (67,907 ) 147 Subordinated 235 (38 ) 7 6,261 (261 ) 5 6,496 (299 ) 12 Subordinated, interest-only — — — 945 (445 ) 3 945 (445 ) 3 Agency MBS Residential 660,103 (5,197 ) 21 1,471,464 (28,702 ) 93 2,131,567 (33,899 ) 114 Commercial 830,889 (11,695 ) 176 161,980 (4,404 ) 91 992,869 (16,099 ) 267 Interest-only 15,142 (641 ) 7 57,875 (7,103 ) 24 73,017 (7,744 ) 31 Total $ 1,569,727 $ (19,477 ) 239 $ 1,818,645 $ (107,098 ) 336 $ 3,388,372 $ (126,575 ) 575 At March 31, 2018 , 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. At March 31, 2017, the Company had the intent to sell ten Agency MBS positions collateralized by commercial property which were in an unrealized loss position. These Commercial Agency MBS positions had an unrealized loss of $2 million at March 31, 2017. Therefore, the Company recorded an other-than-temporary impairment loss for this amount at the quarter ended March 31, 2017. 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 March 31, 2018 . Gross unrealized losses on the Company’s Agency residential and commercial MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $97 million and $41 million as of March 31, 2018 and December 31, 2017 , 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 March 31, 2018 and December 31, 2017 , unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $572 thousand and $283 thousand at March 31, 2018 and December 31, 2017 , respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the OTTI included in earnings for the quarters ended March 31, 2018 and 2017 are presented below. For the Quarter Ended March 31, 2018 March 31, 2017 (dollars in thousands) Total other-than-temporary impairment losses $ (294 ) $ (2,713 ) Portion of loss recognized in other comprehensive income (loss) (864 ) (15,988 ) Net other-than-temporary credit impairment losses $ (1,158 ) $ (18,701 ) 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 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 Quarters Ended March 31, 2018 March 31, 2017 (dollars in thousands) Cumulative credit loss beginning balance $ 591,521 $ 556,485 Additions: Other-than-temporary impairments not previously recognized 1,140 — Reductions for securities sold or deconsolidated during the period (173 ) (7,443 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 18 16,726 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (6,450 ) (7,539 ) Cumulative credit impairment loss ending balance $ 586,056 $ 558,229 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 for the periods reported are summarized as follows: For the Quarter Ended March 31, 2018 March 31, 2017 Loss Severity Weighted Average 100% 64% Range 34% - 132% 63% - 64% 60+ days delinquent Weighted Average 18% 19% Range 16% - 19% 11% - 25% Credit Enhancement (1) Weighted Average 17% 22% Range 0% - 51% 0% - 37% 3 Month CPR Weighted Average 27% 12% Range 3% - 39% 4% - 24% 12 Month CPR Weighted Average 15% 10% Range 3% - 20% 4% - 19% (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 March 31, 2018 and December 31, 2017 . March 31, 2018 (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 $ 736,149 $ — $ 736,149 $ (481 ) $ — $ (481 ) Senior, interest-only — 16,197 16,197 — (70,296 ) (70,296 ) Subordinated 65,248 3,204 68,452 (91 ) (85 ) (176 ) Subordinated, interest-only — 1,388 1,388 — (521 ) (521 ) Agency MBS Residential 3,142 59 3,201 (64,913 ) (17,225 ) (82,138 ) Commercial 2,762 280 3,042 (32,572 ) (23,095 ) (55,667 ) Interest-only — 827 827 — (7,910 ) (7,910 ) Total $ 807,301 $ 21,955 $ 829,256 $ (98,057 ) $ (119,132 ) $ (217,189 ) December 31, 2017 (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 $ 754,234 $ — $ 754,234 $ (182 ) $ — $ (182 ) Senior, interest-only — 15,761 15,761 — (67,907 ) (67,907 ) Subordinated 62,989 3,715 66,704 (102 ) (197 ) (299 ) Subordinated, interest-only — 902 902 — (445 ) (445 ) Agency MBS Residential 5,706 — 5,706 (29,083 ) (4,816 ) (33,899 ) Commercial 15,462 1,579 17,041 (12,122 ) (3,977 ) (16,099 ) Interest-only — 834 834 — (7,744 ) (7,744 ) Total $ 838,391 $ 22,791 $ 861,182 $ (41,489 ) $ (85,086 ) $ (126,575 ) 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 MBS portfolio at March 31, 2018 and December 31, 2017 . March 31, 2018 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,627,375 $ 53.96 $ 81.96 4.6 % 17.1 % Senior, interest-only 4,646,297 5.42 4.25 1.3 % 7.0 % Subordinated 495,128 67.34 81.13 4.1 % 9.3 % Subordinated, interest-only 196,208 3.68 4.12 0.8 % 12.4 % Agency MBS Residential pass-through 2,265,632 105.56 102.07 3.9 % 3.0 % Commercial pass-through 2,153,980 102.15 99.71 3.6 % 3.3 % Interest-only 2,960,181 3.53 3.29 0.7 % 3.2 % (1) Bond Equivalent Yield at period end. December 31, 2017 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,733,926 $ 54.04 $ 81.62 4.6 % 16.7 % Senior, interest-only 4,862,461 5.41 4.34 1.3 % 8.0 % Subordinated 501,455 66.77 80.01 4.1 % 9.6 % Subordinated, interest-only 201,378 3.66 3.89 0.8 % 11.8 % Agency MBS Residential pass-through 2,227,128 105.53 104.27 3.8 % 2.9 % Commercial pass-through 1,894,594 102.26 102.31 3.6 % 3.2 % Interest-only 3,021,840 3.68 3.45 0.7 % 3.4 % (1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 AAA 0.3 % 0.3 % AA 0.5 % 0.3 % A 0.5 % 0.6 % BBB 1.7 % 1.9 % BB 2.2 % 2.5 % B 2.3 % 2.3 % Below B 58.2 % 59.6 % Not Rated 34.3 % 32.5 % 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 March 31, 2018 and December 31, 2017 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. March 31, 2018 (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 $ 164 $ 545,119 $ 979,210 $ 628,834 $ 2,153,327 Senior interest-only 28 32,448 84,826 80,291 197,593 Subordinated — 70,172 128,691 202,836 401,699 Subordinated interest-only — 408 7,684 — 8,092 Agency MBS Residential — — 2,288,702 23,933 2,312,635 Commercial — 15,764 19,377 2,112,503 2,147,644 Interest-only — 68,737 24,227 4,556 97,520 Total fair value $ 192 $ 732,648 $ 3,532,717 $ 3,052,953 $ 7,318,510 Amortized cost Non-Agency RMBS Senior $ 162 $ 400,387 $ 613,201 $ 403,909 $ 1,417,659 Senior interest-only 243 45,734 113,981 91,734 251,692 Subordinated — 57,559 97,904 177,960 333,423 Subordinated interest-only — 493 6,732 — 7,225 Agency MBS Residential — — 2,366,843 24,729 2,391,572 Commercial — 15,887 20,490 2,163,892 2,200,269 Interest-only — 74,005 26,341 4,257 104,603 Total amortized cost $ 405 $ 594,065 $ 3,245,492 $ 2,866,481 $ 6,706,443 December 31, 2017 (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 $ 2,179 $ 681,086 $ 910,234 $ 637,916 $ 2,231,415 Senior interest-only 19 54,107 72,702 84,022 210,850 Subordinated — 75,495 121,555 204,175 401,225 Subordinated interest-only — 7,165 661 — 7,826 Agency MBS Residential — 21,777 2,300,403 — 2,322,180 Commercial — 45,770 16,559 1,875,952 1,938,281 Interest-only — 74,490 25,271 4,606 104,367 Total fair value $ 2,198 $ 959,890 $ 3,447,385 $ 2,806,671 $ 7,216,144 Amortized cost Non-Agency RMBS Senior $ 2,124 $ 493,965 $ 569,458 $ 411,816 $ 1,477,363 Senior interest-only 1,271 73,758 94,145 93,822 262,996 Subordinated — 61,987 91,044 181,789 334,820 Subordinated interest-only — 6,355 1,014 — 7,369 Agency MBS Residential — 22,069 2,328,304 — 2,350,373 Commercial — 47,170 17,176 1,872,993 1,937,339 Interest-only — 79,356 27,582 4,339 111,277 Total amortized cost $ 3,395 $ 784,660 $ 3,128,723 $ 2,564,759 $ 6,481,537 The Non-Agency RMBS portfolio is subject to credit risk. The Non-Agency RMBS portfolio is primarily collateralized by 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. At origination of the loan, Alt-A mortgage securities are defined 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 March 31, 2018 and December 31, 2017 , 67% and 66% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At March 31, 2018 and December 31, 2017 , 11% and 13% 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 March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted average maturity (years) 20.5 20.7 Weighted average amortized loan to value (1) 64.3 % 64.4 % Weighted average FICO (2) 697 697 Weighted average loan balance (in thousands) $ 316 $ 314 Weighted average percentage owner occupied 83.9 % 84.4 % Weighted average percentage single family residence 65.6 % 66.3 % Weighted average current credit enhancement 2.3 % 2.2 % Weighted average geographic concentration of top four states CA 31.6 % CA 31.7 % NY 8.8 % NY 8.5 % FL 8.4 % FL 8.3 % NJ 2.7 % NJ 2.7 % (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 March 31, 2018 and December 31, 2017 . Origination Year March 31, 2018 December 31, 2017 2003 and prior 5.1 % 3.6 % 2004 5.8 % 4.3 % 2005 18.9 % 20.8 % 2006 43.1 % 38.2 % 2007 25.8 % 30.4 % 2008 0.4 % 1.8 % 2009 and later 0.9 % 0.9 % 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 quarters ended March 31, 2018 and 2017 are as follows: For the Quarter Ended March 31, 2018 March 31, 2017 (dollars in thousands) Proceeds from sales $ — $ 20,063 Gross realized gains — 5,187 Gross realized losses — (20 ) Net realized gain (loss) $ — $ 5,167 Included in the gross realized gains for the quarter ended March 31, 2017 in the table above are exchanges of securities with a fair value of $20 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 $5 million , reflected in earnings for the quarter ended March 31, 2017 . There were no such exchanges for the quarter ended March 31, 2018 .

Loans Held for Investment

Loans Held for Investment	3 Months Ended
	Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]
Loans Held for Investment	Loans Held for Investment The Loans held for investment is comprised primarily of loans collateralized by seasoned subprime residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. At March 31, 2018 , all 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 Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of our Loans held for investment was $13.2 billion and $13.3 billion as of March 31, 2018 and December 31, 2017 , respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2018 and December 31, 2017 : For the Quarter Ended For the Year Ended March 31, 2018 December 31, 2017 (dollars in thousands) Balance, beginning of period $ 13,678,263 $ 8,753,653 Purchases 369,583 6,539,765 Principal paydowns (443,755 ) (1,788,409 ) Sales and settlements (6,865 ) 2,876 Net periodic accretion (amortization) (18,826 ) (35,803 ) Change in fair value 41,595 206,181 Balance, end of period $ 13,619,995 $ 13,678,263 The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following years: Origination Year March 31, 2018 December 31, 2017 2002 and prior 7.4 % 7.5 % 2003 6.7 % 6.7 % 2004 14.5 % 14.6 % 2005 20.1 % 20.4 % 2006 23.1 % 23.1 % 2007 18.8 % 19.0 % 2008 6.0 % 6.0 % 2009 0.8 % 0.7 % 2010 and later 2.6 % 2.0 % Total 100.0 % 100.0 % The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2018 and December 31, 2017 : March 31, 2018 December 31, 2017 Number of loans 147,720 149,172 Weighted average maturity (years) 19.2 18.8 Weighted average loan to value (1) 87.7 % 88.0 % Weighted average FICO (1) 631 631 Weighted average loan balance (in thousands) $ 91 $ 91 Weighted average percentage owner occupied 94.2 % 95.0 % Weighted average percentage single family residence 86.2 % 86.0 % Weighted average geographic concentration of top five states CA 9.1 % CA 9.0 % FL 7.2 % FL 7.2 % OH 6.0 % OH 6.1 % PA 5.6 % PA 5.6 % NY 5.6 % VA 5.5 % (1) As provided by the Trustee. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at March 31, 2018 and December 31, 2017 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal/Notional (dollars in thousands) March 31, 2018 $957,935 $327,238 $443,963 $280,238 $225,306 $31,888 $2,266,568 $13,424,680 % of Unpaid Principal Balance 7.1% 2.4% 3.3% 2.1% 1.7% 0.2% 16.9% December 31, 2017 $888,535 $353,810 $435,876 $272,778 $200,376 $31,008 $2,182,383 $13,525,820 % of Unpaid Principal Balance 6.6% 2.6% 3.2% 2.0% 1.5% 0.2% 16.1% The fair value of residential mortgage loans 90 days or more past due was $585 million and $577 million as of March 31, 2018 and December 31, 2017 , respectively. Real estate owned 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 March 31, 2018 and December 31, 2017 was $12 million and $10 million , respectively, and were recorded in Other Assets on the Company’s consolidated statements of financial condition.

Fair Value Measurements

Fair Value Measurements	3 Months Ended
	Mar. 31, 2018
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, 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 March 31, 2018 , fourteen investment holdings with an internally developed fair value of $177 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 $6 million lower than the third party prices provided of $183 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at March 31, 2018 in excess of the derived predetermined threshold for the period. At December 31, 2017 , four investment holdings with an internally developed fair value of $25 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 $3 million lower than the third party prices provided of $28 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. 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. Loans Held for Investment Loans consisting of seasoned subprime residential mortgage loans: The Company estimates the fair value of its 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. 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 the securitization market. 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 March 31, 2018 , the internally developed fair values of loan pools of $753 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 $23 million lower than the third party prices provided of $776 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. At December 31, 2017 , there were no pricing differences in excess of the predetermined thresholds between the model generated prices and third party prices. The Company’s estimates of fair value of 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. Loans collateralized by jumbo, prime residential mortgages : The loans collateralized by jumbo, prime residential mortgages are carried at fair value. The 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 loans collateralized by jumbo, prime residential mortgages is based on the fair value of the financial liabilities. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable financial liabilities are considered level 3 in the fair value hierarchy, the 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 process for determining the fair value of securitized debt, collateralized by loans held for investment is 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. Fair value option The table below shows the unpaid principal, fair value and impact of change in fair value on each of the financial instruments carried with fair value option as of March 31, 2018 and December 31, 2017 respectively: March 31, 2018 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 13,330 $ (398 ) Senior, interest-only 4,646,297 197,593 (1,953 ) Subordinated, interest-only 196,208 8,092 411 Agency MBS Residential Pass-through 683,046 698,410 (12,351 ) Commercial Pass-through 855,065 845,779 (20,415 ) Interest-only 2,960,181 97,520 (173 ) Loans held for investment, at fair value 13,424,680 13,619,995 41,596 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,345,920 9,321,154 7,749 December 31, 2017 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 13,993 $ (545 ) $ 1,246 Senior, interest-only 4,862,461 210,850 3,156 (13,290 ) Subordinated, interest-only 201,378 7,826 1,836 2,311 Agency MBS Residential Pass-through 577,522 602,829 (2,359 ) (4,816 ) Commercial Pass-through 564,379 570,105 (546 ) (2,398 ) Interest-only 3,021,840 104,367 (367 ) 465 Loans held for investment, at fair value 13,525,820 13,678,263 (65,643 ) 206,181 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,395,854 9,388,657 16,831 (78,289 ) 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 and swaptions as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices 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. 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, dividends payable, payable for investments 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 March 31, 2018 and December 31, 2017 are presented below. March 31, 2018 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,760,711 $ — $ 2,760,711 Agency MBS, at fair value — 4,557,799 — — 4,557,799 Loans held for investment, at fair value — — 13,619,995 — 13,619,995 Derivatives — 134,863 — (41,692 ) 93,171 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,321,154 — 9,321,154 Derivatives 3,034 2,544 — (5,578 ) — December 31, 2017 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,851,316 $ — $ 2,851,316 Agency MBS, at fair value — 4,364,828 — — 4,364,828 Loans held for investment, at fair value — — 13,678,263 — 13,678,263 Derivatives 3,553 46,978 — (1,617 ) 48,914 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,388,657 — 9,388,657 Derivatives — 1,937 — (1,617 ) 320 The table below provides a summary of the changes in the fair value of securities classified as Level 3 at March 31, 2018 and December 31, 2017 . Fair Value Reconciliation, Level 3 For the Quarter Ended, March 31, 2018 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 Transfers in to Level 3 assets — — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt — 369,583 509,065 Principal payments (96,988 ) (443,755 ) (419,670 ) Sales and Settlements — (6,865 ) (139,246 ) Accretion (amortization) of purchase discounts 25,597 (18,826 ) (232 ) Gains (losses) included in net income Other than temporary credit impairment losses (1,158 ) — — Realized gains (losses) on sales and settlements — — (9,670 ) Net unrealized gains (losses) included in income (1,940 ) 41,595 (7,750 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (16,116 ) — — Ending balance Level 3 assets $ 2,760,711 $ 13,619,995 $ 9,321,154 Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2017 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 3,330,063 $ 8,753,653 $ 6,941,097 Transfers in to Level 3 assets 6,112 — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt 78,400 6,539,765 5,173,430 Principal payments (568,339 ) (1,788,409 ) (1,787,368 ) Sales and Settlements (68,162 ) 2,876 (1,056,765 ) Accretion (amortization) of purchase discounts 120,119 (35,803 ) 4,701 Gains (losses) included in net income Other than temporary credit impairment losses (59,881 ) — — Realized gains (losses) on sales and settlements 12,031 — 35,273 Net unrealized gains (losses) included in income (9,733 ) 206,181 78,289 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period 10,706 — — Ending balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 There were no transfers in or out from Level 3, during the quarter ended March 31, 2018 . There were $6 million of IOs transferred to Level 3 and no transfers out from Level 3 for the year ended December 31, 2017 . The primary cause of the changes in fair value of the loans and the securitized debt are due to market demand for these instruments and changes in credit risk of the portfolio. 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. 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. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment 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. A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of March 31, 2018 and December 31, 2017 follows: March 31, 2018 December 31, 2017 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 4.4% 1% -30% 0% -60% 35% -95% 4.4% 1% -45% 0% -55% 35% -89% Senior interest-only 11.2% 3% -35% 0% -55% 35% -95% 11.2% 3% -25% 0% -50% 35% -95% Subordinated 5.8% 1% -20% 0% -30% 10% -70% 5.8% 1% -20% 0% -33% 35% -69% Subordinated interest-only 12.0% 6% -18% 0% -11% 35% -62% 12.0% 6% -22% 0% -9% 35% -63% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of March 31, 2018 and December 31, 2017 follows: March 31, 2018 December 31, 2017 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4.2% 6% - 18% 0% - 7% 35% - 60% 4.1% 6% - 15% 0% - 6% 35% - 60% 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 – Loans held for investment The Loans held for investment are comprised primarily of loans collateralized by seasoned subprime residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The significant unobservable inputs used to estimate the fair value of the Loans held for investment collateralized by seasoned subprime residential mortgage loans, as of March 31, 2018 and December 31, 2017 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 Loans held for investment collateralized by seasoned subprime mortgages at fair value as of March 31, 2018 and December 31, 2017 follows: March 31, 2018 December 31, 2017 Factor: Coupon Base Rate 4.8% 4.8% Actual 6.9% 6.9% FICO Base Rate 636 636 Actual 628 627 Loan-to-value (LTV) Base Rate 89% 89% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 94% 95% Investor 2% 1% Secondary 4% 4% Property Type Single family 86% 87% Manufactured housing 3% 4% Multi-family/mixed use/other 11% 9% 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 March 31, 2018 and December 31, 2017 . March 31, 2018 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,202,924 7,222,536 Securitized debt, collateralized by Non-Agency RMBS 3 194,967 180,099 December 31, 2017 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,250,452 7,269,193 Securitized debt, collateralized by Non-Agency RMBS 3 205,780 192,259

Repurchase Agreements

Repurchase Agreements	3 Months Ended
	Mar. 31, 2018
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 March 31, 2018 and December 31, 2017 were: March 31, 2018 December 31, 2017 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,310,477 $ 3,202,056 Non-agency MBS and Loans held for investment (in thousands) 3,892,447 4,048,396 Total: $ 7,202,924 $ 7,250,452 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 3,253,529 $ 3,120,474 Non-agency MBS and Loans held for investment (in thousands) 4,003,519 3,203,700 Total: $ 7,257,048 $ 6,324,174 Average borrowing rate of Repurchase agreements secured by: Agency MBS 1.77 % 1.47 % Non-agency MBS and Loans held for investment 3.70 % 3.41 % Average remaining maturity of Repurchase agreements secured by: Agency MBS 32 Days 28 Days Non-agency MBS and Loans held for investment 90 Days 93 Days Average original maturity of Repurchase agreements secured by: Agency MBS 85 Days 87 Days Non-agency MBS and Loans held for investment 118 Days 123 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,573,750 $ 3,450,123 Non-agency MBS and Loans held for investment (in thousands) 5,129,316 5,338,557 Total: $ 8,703,066 $ 8,788,680 At March 31, 2018 and December 31, 2017 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. March 31, 2018 December 31, 2017 (dollars in thousands) Overnight $ — $ — 1 to 29 days 4,140,691 4,745,342 30 to 59 days 1,538,864 1,206,769 60 to 89 days 685,239 592,865 90 to 119 days — — Greater than or equal to 120 days 838,130 705,476 Total $ 7,202,924 $ 7,250,452 At March 31, 2018 , the Company had an amount at risk with Credit Suisse of 12% of its equity related to the collateral posted on repurchase agreements. As of March 31, 2018 the weighted average remaining maturity of the repurchase agreements with Credit Suisse was 27 days and the amount at risk was $429 million . At December 31, 2017 , the Company had an amount at risk with Credit Suisse of 12% of its equity related to the collateral posted on repurchase agreements. As of December 31, 2017 , the weighted average maturity of the repurchase agreements with Credit Suisse was 25 days and the amount at risk was $451 million . There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of March 31, 2018 and December 31, 2017 .

Securitized Debt

Securitized Debt	3 Months Ended
	Mar. 31, 2018
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 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 March 31, 2018 and December 31, 2017 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $209 million and $219 million , respectively. At March 31, 2018 and December 31, 2017 , the debt carried a weighted average cost of financing equal to 6.2% . The debt matures between the years 2035 and 2046 . None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. There were no securitized debt collateralized by Non-Agency RMBS acquisitions during the quarters ended March 31, 2018 and 2017 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at March 31, 2018 and December 31, 2017 , 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. March 31, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 36,807 $ 42,217 One to Three Years 41,072 45,916 Three to Five Years 15,048 16,524 Greater Than Five Years 5,775 4,867 Total $ 98,702 $ 109,524 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 Note 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At March 31, 2018 and December 31, 2017 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $9.3 billion and $9.4 billion , respectively. At March 31, 2018 and December 31, 2017 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 4.2% . The debt matures between the years 2023 and 2067 . During the quarter ended March 31, 2018 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $149 million for $139 million . This transaction resulted in a net gain on the extinguishment of debt of $10 million , which is reflected in earnings for the quarter ended March 31, 2018 . There were no securitized debt collateralized by loans acquisitions during the quarter ended March 31, 2017 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at March 31, 2018 and December 31, 2017 , 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. March 31, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 1,757,615 $ 1,819,018 One to Three Years 2,786,131 2,872,572 Three to Five Years 2,093,168 2,140,434 Greater Than Five Years 2,553,825 2,439,872 Total $ 9,190,739 $ 9,271,896 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 at the option of the Company. The following table presents the par value of the callable debt by year at March 31, 2018 . March 31, 2018 (dollars in thousands) Year Principal 2018 $ 755,709 2019 379,794 2020 4,609,773 2021 3,085,861 2022 313,067 Total $ 9,144,204

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	3 Months Ended
	Mar. 31, 2018
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 March 31, 2018 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $14.9 billion and liabilities with a carrying value of $9.6 billion . As of December 31, 2017 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $15.0 billion of and liabilities with a carrying value of $9.6 billion . 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 March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,525,337 $ 1,579,793 Loans held for investment, at fair value 13,220,008 13,263,338 Accrued interest receivable 74,501 75,489 Other assets 58,437 68,844 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 194,967 $ 205,780 Securitized debt at fair value, collateralized by loans held for investment 9,321,154 9,388,657 Accrued interest payable 34,300 33,870 Other liabilities 3,431 3,513 Income, OTTI and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters Ended March 31, 2018 March 31, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 235,026 $ 192,989 Interest expense, Non-recourse liabilities of VIEs 99,614 82,684 Net interest income $ 135,412 $ 110,305 Total other-than-temporary impairment losses $ — $ (413 ) Portion of loss recognized in other comprehensive income (loss) — (13,467 ) Net other-than-temporary credit impairment losses $ — $ (13,880 ) Servicing fees $ 10,411 $ 9,588 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 March 31, 2018 , ranged from less than $1 million to $52 million , with an aggregate amount of $1.2 billion . The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2017 , ranged from less than $1 million to $52 million , with an aggregate amount of $1.3 billion . The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.1 billion and $1.2 billion at March 31, 2018 and December 31, 2017 , 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	3 Months Ended
	Mar. 31, 2018
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. 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 March 31, 2018 and December 31, 2017 . March 31, 2018 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 $ 5,813,900 Derivatives, at fair value, net $ 89,071 Derivatives, at fair value, net $ — Swaptions 361,000 Derivatives, at fair value, net 4,100 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 6,794,600 $ 93,171 $ — December 31, 2017 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 3,816,400 Derivatives, at fair value, net $ 43,257 Derivatives, at fair value, net $ — Swaptions 391,000 Derivatives, at fair value, net 2,105 Derivatives, at fair value, net (320 ) Treasury Futures 619,700 Derivatives, at fair value, net 3,552 Derivatives, at fair value, net — Total $ 4,827,100 $ 48,914 $ (320 ) 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 March 31, 2018 March 31, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 84,964 $ 6,316 Interest Rate Swaps Net realized gains (losses) on derivatives (2,612 ) (4,106 ) Treasury Futures Net unrealized gains (losses) on derivatives (6,587 ) (2,568 ) Treasury Futures Net realized gains (losses) on derivatives 16,424 (2,084 ) Swaptions Net unrealized gains (losses) on derivatives 3,042 1,148 Swaptions Net realized gains (losses) on derivatives (727 ) (3,168 ) Total $ 94,504 $ (4,462 ) There were no swaps terminations during the quarters ended March 31, 2018 and 2017 . The weighted average pay rate on the Company’s interest rate swaps at March 31, 2018 was 2.14% and the weighted average receive rate was 2.10% . The weighted average pay rate on the Company’s interest rate swaps at December 31, 2017 was 1.93% and the weighted average receive rate was 1.53% . The weighted average maturity on the Company’s interest rate swaps at March 31, 2018 and December 31, 2017 was 5 years . 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 March 31, 2018 is approximately $119 million including accrued interest, which represents the maximum amount the Company would receive upon termination, which is fully collateralized.

Capital Stock

Capital Stock	3 Months Ended
	Mar. 31, 2018
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million , or $0.50 per preferred share during the quarter ended March 31, 2018 and 2017 . In February 2017, the Company issued 13,000,000 shares of 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series B Preferred Stock”), at a public offering price of $25.00 per share. The Series B 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 March 30, 2024, subject to the Company’s right, under limited circumstances, to redeem the Series B Preferred Stock prior to that date. The initial dividend rate for the Series B Preferred Stock, from and including February 27, 2017, to but not including March 30, 2024, will be equal to 8.00% per annum of the $25.00 liquidation preference per share (equivalent to the fixed annual rate of $2.00 per share). On and after March 30, 2024, dividends on the Series B Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the three-month LIBOR plus a spread of 5.791% per annum. The Series B 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 February 2017, pursuant to which the Company received proceeds, net of offering costs, of $314 million . The Company declared dividends to Series B preferred stockholders of $7 million , or $0.50 per preferred share during the quarter ended March 31, 2018 . Common Stock In February 2018, our Board of Directors reauthorized $100 million under our share repurchase program (the “Repurchase Program”). Such authorization does not have an expiration date and, at present, there is no intention to modify or otherwise rescind such authorization. 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, the Company intends to only consider repurchasing shares of our common stock when the purchase price is less than the last publicly reported book value per common share. In addition, the Company does not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate the Company 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 Repurchase Program, during the quarter ended March 31, 2018 , the Company repurchased approximately 883 thousand of its common stock at an average price of $16.81 per share for a total of $15 million . During the quarter ended March 31, 2018 , and 2017 , the Company declared regular dividends to common shareholders of $94 million , or $0.50 per share. Earnings per share for the quarter ended March 31, 2018 and 2017 , respectively, are computed as follows: For the Quarter Ended March 31, 2018 March 31, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 229,607 $ 157,524 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 229,607 $ 157,524 Denominator: Weighted average basic shares 187,553,281 187,761,748 Effect of dilutive securities 623,472 433,313 Weighted average dilutive shares 188,176,753 188,195,061 Net income per average share attributable to common stockholders - Basic $ 1.22 $ 0.84 Net income per average share attributable to common stockholders - Diluted $ 1.22 $ 0.84

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	3 Months Ended
	Mar. 31, 2018
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 quarters ended March 31, 2018 and 2017 : March 31, 2018 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2017 $ 796,902 $ 796,902 OCI before reclassifications (88,816 ) (88,816 ) Amounts reclassified from AOCI 1,158 1,158 Net current period OCI (87,658 ) (87,658 ) Balance as of March 31, 2018 $ 709,244 $ 709,244 March 31, 2017 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2016 $ 718,106 $ 718,106 OCI before reclassifications (3,910 ) (3,910 ) Amounts reclassified from AOCI 13,515 13,515 Net current period OCI 9,605 9,605 Balance as of March 31, 2017 $ 727,711 $ 727,711 The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2018 and 2017 : March 31, 2018 March 31, 2017 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 $ — $ 5,186 Net realized gains (losses) on sales of investments (1,158 ) (18,701 ) Net other-than-temporary credit impairment losses $ (1,158 ) $ (13,515 ) Income before income taxes — — Income taxes $ (1,158 ) $ (13,515 ) Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	3 Months Ended
	Mar. 31, 2018
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 three 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 6 million shares available for future grants under the Incentive Plan as of March 31, 2018 . During the first quarter of 2017 , 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 quarter ended March 31, 2018 and 2017 , 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. Generally, the RSU awards vest equally over a three -year period beginning 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 241 thousand and 112 thousand RSU awards during the quarter ended March 31, 2018 and 2017 , with a grant date fair value of $4 million and $2 million , respectively, which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the quarter ended March 31, 2018 and 2017 , the Company granted certain employees 133 thousand and 144 thousand Performance Share Units (“PSU”) awards, respectively. 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, 2020 and December 31, 2019 , respectively. The final number of shares that will vest will be between 0% to 150% of the total PSU awards 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 133 thousand PSU awards granted during 2018 had a grant date value of $2 million that will cliff vest on December 31, 2020. The 180 thousand PSU awards granted during 2017 had a grant date value of $3 million which will cliff vest on December 31, 2019. The Company recognized stock based compensation expenses of $2 million and $1 million for the quarters ended March 31, 2018 and 2017 , respectively. 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 quarters ended March 31, 2018 and 2017 was $114 thousand and $112 thousand , respectively.

Income Taxes

Income Taxes	3 Months Ended
	Mar. 31, 2018
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the quarter ended March 31, 2018 and year ended December 31, 2017 , 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 quarter ended March 31, 2018 and the year ended December 31, 2017 . On December 22, 2017, H.R. 1, informally known as the Tax Cuts and Jobs Act (the "TCJA") was enacted. We continue to analyze and monitor the application of the TCJA to our business. 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 2016, 2015 and 2014 federal, state and local tax returns remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	3 Months Ended
	Mar. 31, 2018
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, borrowings under repurchase agreements and securitized debt. 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 financing. The Company attempts to minimize credit risk through due diligence, asset selection and 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. 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. The Company presents its 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 March 31, 2018 and December 31, 2017 . March 31, 2018 (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 $ (7,202,924 ) $ — $ (7,202,924 ) $ 8,703,066 $ 968 $ 1,501,110 Interest Rate Swaps - Gross Assets 130,763 (41,692 ) 89,071 — — 89,071 Interest Rate Swaps - Gross Liabilities (2,544 ) 2,544 — — — — Treasury Futures - Gross Assets — — — — — — Treasury Futures - Gross Liabilities (3,035 ) 3,035 — — 4,168 4,168 Swaptions - Gross Assets 4,100 — 4,100 — — 4,100 Swaptions - Gross Liabilities — — — — — — Total Liabilities $ (7,073,640 ) $ (36,113 ) $ (7,109,753 ) $ 8,703,066 $ 5,136 $ 1,598,449 (1) Included in other assets December 31, 2017 (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 $ (7,250,452 ) $ — $ (7,250,452 ) $ 8,788,680 $ 1,156 $ 1,539,384 Interest Rate Swaps - Gross Assets 44,874 (1,617 ) 43,257 — 11,570 54,827 Interest Rate Swaps - Gross Liabilities (1,617 ) 1,617 — — — — Treasury Futures - Gross Assets 3,552 — 3,552 — 376 3,928 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 2,105 — 2,105 — — 2,105 Swaptions - Gross Liabilities (320 ) — (320 ) — — (320 ) Total Liabilities $ (7,201,858 ) $ — $ (7,201,858 ) $ 8,788,680 $ 13,102 $ 1,599,924 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2018
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.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2018
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events None.

Summary of the Significant Ac25

Summary of the Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2018
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 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 structure 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 only be satisfied from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage backed securities (“RMBS”) or residential mortgage loans.
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.
Income Taxes	Income Taxes The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure.
Recent Accounting Pronouncements	Recent Accounting Pronouncements Income Statement - Reporting Comprehensive Income - (Topic 220) In February 2018, the FASB issued ASU No. 2018-02, I ncome Statement - Reporting Comprehensive Income - Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The amendments in this update allow a reclassification from accumulated other comprehensive income to retained earnings for stranded tax effects resulting from the Tax Cuts and Jobs Act. Consequently, the amendments eliminate the stranded tax effects resulting from the Tax Cuts and Jobs Act and will improve the usefulness of information reported to financial statement users. However, because the amendments only relate to the reclassification of the income tax effects of the Tax Cuts and Jobs Act, the underlying guidance that requires that the effect of a change in tax laws or rates be included in income from continuing operations is not affected. The amendments in this Update also require certain disclosures about stranded tax effects. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities (Topic 815) In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities. This update is issued with the objective of improving the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. In addition, the amendments in this update make certain targeted improvements to simplify the application of the hedge accounting guidance in current GAAP. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Business Combinations - (Topic 805) In January 2017, the FASB issued ASU No. 2017-01, Business Combinations - Clarifying the Definition of a Business. This update clarifies the definition of a business with the objective of adding guidance to assist entities with evaluating whether transactions should be accounted for as acquisitions (or disposals) of assets or businesses. Under the current implementation guidance in Topic 805, there are three elements of a business-inputs, processes, and outputs. While an integrated set of assets and activities (collectively referred to as a “set”) that is a business usually has outputs, outputs are not required to be present. The amendments in this update provide a screen to determine when a set is not a business. The screen requires that when substantially all of the fair value of the gross assets acquired (or disposed of) is concentrated in a single identifiable asset or a group of similar identifiable assets, the set is not a business. This screen reduces the number of transactions that need to be further evaluated. The Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's consolidated financial statements. 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 Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's 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 Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's consolidated Statements of Cash Flows. 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 the Company does 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 is currently evaluating what impact this update will have on the consolidated 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 Company has adopted this guidance as of January 1, 2018. The adoption of this guidance did not have a significant impact on the Company's consolidated financial statements.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	3 Months Ended
	Mar. 31, 2018
Investments, Debt and Equity Securities [Abstract]
Schedule of present amortized cost, fair value and unrealized gain/losses of Company's MBS investments	The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2018 and December 31, 2017 . March 31, 2018 (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 $ 2,627,375 $ 867 $ (1,210,583 ) $ 1,417,659 $ 2,153,327 $ 736,149 $ (481 ) $ 735,668 Senior, interest-only 4,646,297 251,692 — 251,692 197,593 16,197 (70,296 ) (54,099 ) Subordinated 495,128 10,319 (172,024 ) 333,423 401,699 68,452 (176 ) 68,276 Subordinated, interest-only 196,208 7,225 — 7,225 8,092 1,388 (521 ) 867 Agency MBS Residential 2,265,632 125,940 — 2,391,572 2,312,635 3,201 (82,138 ) (78,937 ) Commercial 2,153,980 50,889 (4,600 ) 2,200,269 2,147,644 3,042 (55,667 ) (52,625 ) Interest-only 2,960,181 104,603 — 104,603 97,520 827 (7,910 ) (7,083 ) Total $ 15,344,801 $ 551,535 $ (1,387,207 ) $ 6,706,443 $ 7,318,510 $ 829,256 $ (217,189 ) $ 612,067 December 31, 2017 (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 $ 2,733,926 $ 540 $ (1,257,103 ) $ 1,477,363 $ 2,231,415 $ 754,234 $ (182 ) $ 754,052 Senior, interest-only 4,862,461 262,996 — 262,996 210,850 15,761 (67,907 ) (52,146 ) Subordinated 501,455 10,571 (177,206 ) 334,820 401,225 66,704 (299 ) 66,405 Subordinated, interest-only 201,378 7,369 — 7,369 7,826 902 (445 ) 457 Agency MBS Residential 2,227,128 123,245 — 2,350,373 2,322,180 5,706 (33,899 ) (28,193 ) Commercial 1,894,594 47,430 (4,685 ) 1,937,339 1,938,281 17,041 (16,099 ) 942 Interest-only 3,021,840 111,277 — 111,277 104,367 834 (7,744 ) (6,910 ) Total $ 15,442,782 $ 563,428 $ (1,438,994 ) $ 6,481,537 $ 7,216,144 $ 861,182 $ (126,575 ) $ 734,607
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 Quarters Ended March 31, 2018 March 31, 2017 (dollars in thousands) Balance at beginning of period $ 1,303,590 $ 1,550,110 Purchases — 8,216 Yield income earned (59,732 ) (68,827 ) Reclassification (to) from non-accretable difference 50,026 23,952 Sales and deconsolidation 112 (35 ) Balance at end of period $ 1,293,996 $ 1,513,416
Schedule of non-agency RMBS having deteriorated credit when acquired	The table below presents the outstanding principal balance and related amortized cost at March 31, 2018 and December 31, 2017 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Quarter Ended For the Year Ended March 31, 2018 December 31, 2017 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,673,350 $ 3,138,265 End of period $ 2,581,229 $ 2,673,350 Amortized cost: Beginning of period $ 1,381,839 $ 1,695,079 End of period $ 1,334,327 $ 1,381,839
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 March 31, 2018 and December 31, 2017 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d) of 2017, Form 10-K. March 31, 2018 (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 $ 35,069 $ (481 ) 1 $ — $ — — $ 35,069 $ (481 ) 1 Senior, interest-only 27,994 (2,206 ) 20 109,181 (68,090 ) 118 137,175 (70,296 ) 138 Subordinated 1,857 (85 ) 11 4,186 (91 ) 3 6,043 (176 ) 14 Subordinated, interest-only — — — 819 (521 ) 3 819 (521 ) 3 Agency MBS Residential 746,346 (19,528 ) 32 1,383,334 (62,610 ) 94 2,129,680 (82,138 ) 126 Commercial 1,584,221 (50,604 ) 402 113,327 (5,063 ) 55 1,697,548 (55,667 ) 457 Interest-only 13,338 (683 ) 7 52,347 (7,227 ) 23 65,685 (7,910 ) 30 Total $ 2,408,825 $ (73,587 ) 473 $ 1,663,194 $ (143,602 ) 296 $ 4,072,019 $ (217,189 ) 769 December 31, 2017 (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 $ 35,229 $ (182 ) 1 $ — $ — — $ 35,229 $ (182 ) 1 Senior, interest-only 28,129 (1,724 ) 27 120,120 (66,183 ) 120 148,249 (67,907 ) 147 Subordinated 235 (38 ) 7 6,261 (261 ) 5 6,496 (299 ) 12 Subordinated, interest-only — — — 945 (445 ) 3 945 (445 ) 3 Agency MBS Residential 660,103 (5,197 ) 21 1,471,464 (28,702 ) 93 2,131,567 (33,899 ) 114 Commercial 830,889 (11,695 ) 176 161,980 (4,404 ) 91 992,869 (16,099 ) 267 Interest-only 15,142 (641 ) 7 57,875 (7,103 ) 24 73,017 (7,744 ) 31 Total $ 1,569,727 $ (19,477 ) 239 $ 1,818,645 $ (107,098 ) 336 $ 3,388,372 $ (126,575 ) 575
Other than temporary impairment, credit losses recognized in earnings	A summary of the OTTI included in earnings for the quarters ended March 31, 2018 and 2017 are presented below. For the Quarter Ended March 31, 2018 March 31, 2017 (dollars in thousands) Total other-than-temporary impairment losses $ (294 ) $ (2,713 ) Portion of loss recognized in other comprehensive income (loss) (864 ) (15,988 ) Net other-than-temporary credit impairment losses $ (1,158 ) $ (18,701 ) 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 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 Quarters Ended March 31, 2018 March 31, 2017 (dollars in thousands) Cumulative credit loss beginning balance $ 591,521 $ 556,485 Additions: Other-than-temporary impairments not previously recognized 1,140 — Reductions for securities sold or deconsolidated during the period (173 ) (7,443 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 18 16,726 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (6,450 ) (7,539 ) Cumulative credit impairment loss ending balance $ 586,056 $ 558,229
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 for the periods reported are summarized as follows: For the Quarter Ended March 31, 2018 March 31, 2017 Loss Severity Weighted Average 100% 64% Range 34% - 132% 63% - 64% 60+ days delinquent Weighted Average 18% 19% Range 16% - 19% 11% - 25% Credit Enhancement (1) Weighted Average 17% 22% Range 0% - 51% 0% - 37% 3 Month CPR Weighted Average 27% 12% Range 3% - 39% 4% - 24% 12 Month CPR Weighted Average 15% 10% Range 3% - 20% 4% - 19% (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 March 31, 2018 and December 31, 2017 . March 31, 2018 (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 $ 736,149 $ — $ 736,149 $ (481 ) $ — $ (481 ) Senior, interest-only — 16,197 16,197 — (70,296 ) (70,296 ) Subordinated 65,248 3,204 68,452 (91 ) (85 ) (176 ) Subordinated, interest-only — 1,388 1,388 — (521 ) (521 ) Agency MBS Residential 3,142 59 3,201 (64,913 ) (17,225 ) (82,138 ) Commercial 2,762 280 3,042 (32,572 ) (23,095 ) (55,667 ) Interest-only — 827 827 — (7,910 ) (7,910 ) Total $ 807,301 $ 21,955 $ 829,256 $ (98,057 ) $ (119,132 ) $ (217,189 ) December 31, 2017 (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 $ 754,234 $ — $ 754,234 $ (182 ) $ — $ (182 ) Senior, interest-only — 15,761 15,761 — (67,907 ) (67,907 ) Subordinated 62,989 3,715 66,704 (102 ) (197 ) (299 ) Subordinated, interest-only — 902 902 — (445 ) (445 ) Agency MBS Residential 5,706 — 5,706 (29,083 ) (4,816 ) (33,899 ) Commercial 15,462 1,579 17,041 (12,122 ) (3,977 ) (16,099 ) Interest-only — 834 834 — (7,744 ) (7,744 ) Total $ 838,391 $ 22,791 $ 861,182 $ (41,489 ) $ (85,086 ) $ (126,575 )
Residential mortgage backed securities collateral characteristics	The following tables provide a summary of the Company’s MBS portfolio at March 31, 2018 and December 31, 2017 . March 31, 2018 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,627,375 $ 53.96 $ 81.96 4.6 % 17.1 % Senior, interest-only 4,646,297 5.42 4.25 1.3 % 7.0 % Subordinated 495,128 67.34 81.13 4.1 % 9.3 % Subordinated, interest-only 196,208 3.68 4.12 0.8 % 12.4 % Agency MBS Residential pass-through 2,265,632 105.56 102.07 3.9 % 3.0 % Commercial pass-through 2,153,980 102.15 99.71 3.6 % 3.3 % Interest-only 2,960,181 3.53 3.29 0.7 % 3.2 % (1) Bond Equivalent Yield at period end. December 31, 2017 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,733,926 $ 54.04 $ 81.62 4.6 % 16.7 % Senior, interest-only 4,862,461 5.41 4.34 1.3 % 8.0 % Subordinated 501,455 66.77 80.01 4.1 % 9.6 % Subordinated, interest-only 201,378 3.66 3.89 0.8 % 11.8 % Agency MBS Residential pass-through 2,227,128 105.53 104.27 3.8 % 2.9 % Commercial pass-through 1,894,594 102.26 102.31 3.6 % 3.2 % Interest-only 3,021,840 3.68 3.45 0.7 % 3.4 % (1) Bond Equivalent Yield at period end.
Credit ratings of residential MBS	The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 AAA 0.3 % 0.3 % AA 0.5 % 0.3 % A 0.5 % 0.6 % BBB 1.7 % 1.9 % BB 2.2 % 2.5 % B 2.3 % 2.3 % Below B 58.2 % 59.6 % Not Rated 34.3 % 32.5 % Total 100.0 % 100.0 %
Schedule of MBS 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 March 31, 2018 and December 31, 2017 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. March 31, 2018 (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 $ 164 $ 545,119 $ 979,210 $ 628,834 $ 2,153,327 Senior interest-only 28 32,448 84,826 80,291 197,593 Subordinated — 70,172 128,691 202,836 401,699 Subordinated interest-only — 408 7,684 — 8,092 Agency MBS Residential — — 2,288,702 23,933 2,312,635 Commercial — 15,764 19,377 2,112,503 2,147,644 Interest-only — 68,737 24,227 4,556 97,520 Total fair value $ 192 $ 732,648 $ 3,532,717 $ 3,052,953 $ 7,318,510 Amortized cost Non-Agency RMBS Senior $ 162 $ 400,387 $ 613,201 $ 403,909 $ 1,417,659 Senior interest-only 243 45,734 113,981 91,734 251,692 Subordinated — 57,559 97,904 177,960 333,423 Subordinated interest-only — 493 6,732 — 7,225 Agency MBS Residential — — 2,366,843 24,729 2,391,572 Commercial — 15,887 20,490 2,163,892 2,200,269 Interest-only — 74,005 26,341 4,257 104,603 Total amortized cost $ 405 $ 594,065 $ 3,245,492 $ 2,866,481 $ 6,706,443 December 31, 2017 (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 $ 2,179 $ 681,086 $ 910,234 $ 637,916 $ 2,231,415 Senior interest-only 19 54,107 72,702 84,022 210,850 Subordinated — 75,495 121,555 204,175 401,225 Subordinated interest-only — 7,165 661 — 7,826 Agency MBS Residential — 21,777 2,300,403 — 2,322,180 Commercial — 45,770 16,559 1,875,952 1,938,281 Interest-only — 74,490 25,271 4,606 104,367 Total fair value $ 2,198 $ 959,890 $ 3,447,385 $ 2,806,671 $ 7,216,144 Amortized cost Non-Agency RMBS Senior $ 2,124 $ 493,965 $ 569,458 $ 411,816 $ 1,477,363 Senior interest-only 1,271 73,758 94,145 93,822 262,996 Subordinated — 61,987 91,044 181,789 334,820 Subordinated interest-only — 6,355 1,014 — 7,369 Agency MBS Residential — 22,069 2,328,304 — 2,350,373 Commercial — 47,170 17,176 1,872,993 1,937,339 Interest-only — 79,356 27,582 4,339 111,277 Total amortized cost $ 3,395 $ 784,660 $ 3,128,723 $ 2,564,759 $ 6,481,537
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 March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 Weighted average maturity (years) 20.5 20.7 Weighted average amortized loan to value (1) 64.3 % 64.4 % Weighted average FICO (2) 697 697 Weighted average loan balance (in thousands) $ 316 $ 314 Weighted average percentage owner occupied 83.9 % 84.4 % Weighted average percentage single family residence 65.6 % 66.3 % Weighted average current credit enhancement 2.3 % 2.2 % Weighted average geographic concentration of top four states CA 31.6 % CA 31.7 % NY 8.8 % NY 8.5 % FL 8.4 % FL 8.3 % NJ 2.7 % NJ 2.7 % (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 March 31, 2018 and December 31, 2017 . Origination Year March 31, 2018 December 31, 2017 2003 and prior 5.1 % 3.6 % 2004 5.8 % 4.3 % 2005 18.9 % 20.8 % 2006 43.1 % 38.2 % 2007 25.8 % 30.4 % 2008 0.4 % 1.8 % 2009 and later 0.9 % 0.9 % Total 100.0 % 100.0 %
Schedule of gains and losses from sales of investments	The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2018 and 2017 are as follows: For the Quarter Ended March 31, 2018 March 31, 2017 (dollars in thousands) Proceeds from sales $ — $ 20,063 Gross realized gains — 5,187 Gross realized losses — (20 ) Net realized gain (loss) $ — $ 5,167

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	3 Months Ended
	Mar. 31, 2018
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 Loans held for investment at fair value at March 31, 2018 and December 31, 2017 : For the Quarter Ended For the Year Ended March 31, 2018 December 31, 2017 (dollars in thousands) Balance, beginning of period $ 13,678,263 $ 8,753,653 Purchases 369,583 6,539,765 Principal paydowns (443,755 ) (1,788,409 ) Sales and settlements (6,865 ) 2,876 Net periodic accretion (amortization) (18,826 ) (35,803 ) Change in fair value 41,595 206,181 Balance, end of period $ 13,619,995 $ 13,678,263
Schedule of percentage of securitized loans held for investment carried at fair value by year originated	The loan portfolio for all residential mortgages were originated during the following years: Origination Year March 31, 2018 December 31, 2017 2002 and prior 7.4 % 7.5 % 2003 6.7 % 6.7 % 2004 14.5 % 14.6 % 2005 20.1 % 20.4 % 2006 23.1 % 23.1 % 2007 18.8 % 19.0 % 2008 6.0 % 6.0 % 2009 0.8 % 0.7 % 2010 and later 2.6 % 2.0 % Total 100.0 % 100.0 %
Schedule of securitized loans held for investment types and characteristics of underlying collateral	The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at March 31, 2018 and December 31, 2017 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal/Notional (dollars in thousands) March 31, 2018 $957,935 $327,238 $443,963 $280,238 $225,306 $31,888 $2,266,568 $13,424,680 % of Unpaid Principal Balance 7.1% 2.4% 3.3% 2.1% 1.7% 0.2% 16.9% December 31, 2017 $888,535 $353,810 $435,876 $272,778 $200,376 $31,008 $2,182,383 $13,525,820 % of Unpaid Principal Balance 6.6% 2.6% 3.2% 2.0% 1.5% 0.2% 16.1%
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Schedule of securitized loans held for investment carried at fair value key characteristics of underlying collateral	The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2018 and December 31, 2017 : March 31, 2018 December 31, 2017 Number of loans 147,720 149,172 Weighted average maturity (years) 19.2 18.8 Weighted average loan to value (1) 87.7 % 88.0 % Weighted average FICO (1) 631 631 Weighted average loan balance (in thousands) $ 91 $ 91 Weighted average percentage owner occupied 94.2 % 95.0 % Weighted average percentage single family residence 86.2 % 86.0 % Weighted average geographic concentration of top five states CA 9.1 % CA 9.0 % FL 7.2 % FL 7.2 % OH 6.0 % OH 6.1 % PA 5.6 % PA 5.6 % NY 5.6 % VA 5.5 % (1) As provided by the Trustee.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	3 Months Ended
	Mar. 31, 2018
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Schedule of unpaid principal, fair value and impact of change in fair value	The table below shows the unpaid principal, fair value and impact of change in fair value on each of the financial instruments carried with fair value option as of March 31, 2018 and December 31, 2017 respectively: March 31, 2018 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 13,330 $ (398 ) Senior, interest-only 4,646,297 197,593 (1,953 ) Subordinated, interest-only 196,208 8,092 411 Agency MBS Residential Pass-through 683,046 698,410 (12,351 ) Commercial Pass-through 855,065 845,779 (20,415 ) Interest-only 2,960,181 97,520 (173 ) Loans held for investment, at fair value 13,424,680 13,619,995 41,596 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,345,920 9,321,154 7,749 December 31, 2017 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 13,993 $ (545 ) $ 1,246 Senior, interest-only 4,862,461 210,850 3,156 (13,290 ) Subordinated, interest-only 201,378 7,826 1,836 2,311 Agency MBS Residential Pass-through 577,522 602,829 (2,359 ) (4,816 ) Commercial Pass-through 564,379 570,105 (546 ) (2,398 ) Interest-only 3,021,840 104,367 (367 ) 465 Loans held for investment, at fair value 13,525,820 13,678,263 (65,643 ) 206,181 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,395,854 9,388,657 16,831 (78,289 )
Schedule of 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 March 31, 2018 and December 31, 2017 are presented below. March 31, 2018 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,760,711 $ — $ 2,760,711 Agency MBS, at fair value — 4,557,799 — — 4,557,799 Loans held for investment, at fair value — — 13,619,995 — 13,619,995 Derivatives — 134,863 — (41,692 ) 93,171 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,321,154 — 9,321,154 Derivatives 3,034 2,544 — (5,578 ) — December 31, 2017 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,851,316 $ — $ 2,851,316 Agency MBS, at fair value — 4,364,828 — — 4,364,828 Loans held for investment, at fair value — — 13,678,263 — 13,678,263 Derivatives 3,553 46,978 — (1,617 ) 48,914 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,388,657 — 9,388,657 Derivatives — 1,937 — (1,617 ) 320
Summary of the changes in the fair value of securities classified as Level 3	The table below provides a summary of the changes in the fair value of securities classified as Level 3 at March 31, 2018 and December 31, 2017 . Fair Value Reconciliation, Level 3 For the Quarter Ended, March 31, 2018 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 Transfers in to Level 3 assets — — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt — 369,583 509,065 Principal payments (96,988 ) (443,755 ) (419,670 ) Sales and Settlements — (6,865 ) (139,246 ) Accretion (amortization) of purchase discounts 25,597 (18,826 ) (232 ) Gains (losses) included in net income Other than temporary credit impairment losses (1,158 ) — — Realized gains (losses) on sales and settlements — — (9,670 ) Net unrealized gains (losses) included in income (1,940 ) 41,595 (7,750 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (16,116 ) — — Ending balance Level 3 assets $ 2,760,711 $ 13,619,995 $ 9,321,154 Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2017 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 3,330,063 $ 8,753,653 $ 6,941,097 Transfers in to Level 3 assets 6,112 — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt 78,400 6,539,765 5,173,430 Principal payments (568,339 ) (1,788,409 ) (1,787,368 ) Sales and Settlements (68,162 ) 2,876 (1,056,765 ) Accretion (amortization) of purchase discounts 120,119 (35,803 ) 4,701 Gains (losses) included in net income Other than temporary credit impairment losses (59,881 ) — — Realized gains (losses) on sales and settlements 12,031 — 35,273 Net unrealized gains (losses) included in income (9,733 ) 206,181 78,289 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period 10,706 — — Ending balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment	A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of March 31, 2018 and December 31, 2017 follows: March 31, 2018 December 31, 2017 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4.2% 6% - 18% 0% - 7% 35% - 60% 4.1% 6% - 15% 0% - 6% 35% - 60%
Schedule of carrying value and fair value of financial instruments not carried at fair value on a recurring basis	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 March 31, 2018 and December 31, 2017 . March 31, 2018 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,202,924 7,222,536 Securitized debt, collateralized by Non-Agency RMBS 3 194,967 180,099 December 31, 2017 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,250,452 7,269,193 Securitized debt, collateralized by Non-Agency RMBS 3 205,780 192,259
Non-agency MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized by seasoned subprime mortgages	A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of March 31, 2018 and December 31, 2017 follows: March 31, 2018 December 31, 2017 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 4.4% 1% -30% 0% -60% 35% -95% 4.4% 1% -45% 0% -55% 35% -89% Senior interest-only 11.2% 3% -35% 0% -55% 35% -95% 11.2% 3% -25% 0% -50% 35% -95% Subordinated 5.8% 1% -20% 0% -30% 10% -70% 5.8% 1% -20% 0% -33% 35% -69% Subordinated interest-only 12.0% 6% -18% 0% -11% 35% -62% 12.0% 6% -22% 0% -9% 35% -63%
Loans Held for Investment at Fair Value
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized by seasoned subprime mortgages	A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized by seasoned subprime mortgages at fair value as of March 31, 2018 and December 31, 2017 follows: March 31, 2018 December 31, 2017 Factor: Coupon Base Rate 4.8% 4.8% Actual 6.9% 6.9% FICO Base Rate 636 636 Actual 628 627 Loan-to-value (LTV) Base Rate 89% 89% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 94% 95% Investor 2% 1% Secondary 4% 4% Property Type Single family 86% 87% Manufactured housing 3% 4% Multi-family/mixed use/other 11% 9%

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	3 Months Ended
	Mar. 31, 2018
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 March 31, 2018 and December 31, 2017 were: March 31, 2018 December 31, 2017 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,310,477 $ 3,202,056 Non-agency MBS and Loans held for investment (in thousands) 3,892,447 4,048,396 Total: $ 7,202,924 $ 7,250,452 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 3,253,529 $ 3,120,474 Non-agency MBS and Loans held for investment (in thousands) 4,003,519 3,203,700 Total: $ 7,257,048 $ 6,324,174 Average borrowing rate of Repurchase agreements secured by: Agency MBS 1.77 % 1.47 % Non-agency MBS and Loans held for investment 3.70 % 3.41 % Average remaining maturity of Repurchase agreements secured by: Agency MBS 32 Days 28 Days Non-agency MBS and Loans held for investment 90 Days 93 Days Average original maturity of Repurchase agreements secured by: Agency MBS 85 Days 87 Days Non-agency MBS and Loans held for investment 118 Days 123 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,573,750 $ 3,450,123 Non-agency MBS and Loans held for investment (in thousands) 5,129,316 5,338,557 Total: $ 8,703,066 $ 8,788,680 At March 31, 2018 and December 31, 2017 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. March 31, 2018 December 31, 2017 (dollars in thousands) Overnight $ — $ — 1 to 29 days 4,140,691 4,745,342 30 to 59 days 1,538,864 1,206,769 60 to 89 days 685,239 592,865 90 to 119 days — — Greater than or equal to 120 days 838,130 705,476 Total $ 7,202,924 $ 7,250,452

Securitized Debt (Tables)

Securitized Debt (Tables)	3 Months Ended
	Mar. 31, 2018
Debt Instrument [Line Items]
Schedule of callable debt	The following table presents the par value of the callable debt by year at March 31, 2018 . March 31, 2018 (dollars in thousands) Year Principal 2018 $ 755,709 2019 379,794 2020 4,609,773 2021 3,085,861 2022 313,067 Total $ 9,144,204
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 March 31, 2018 and December 31, 2017 , 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. March 31, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 36,807 $ 42,217 One to Three Years 41,072 45,916 Three to Five Years 15,048 16,524 Greater Than Five Years 5,775 4,867 Total $ 98,702 $ 109,524
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 March 31, 2018 and December 31, 2017 , 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. March 31, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 1,757,615 $ 1,819,018 One to Three Years 2,786,131 2,872,572 Three to Five Years 2,093,168 2,140,434 Greater Than Five Years 2,553,825 2,439,872 Total $ 9,190,739 $ 9,271,896

Consolidated Securitization V31

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	3 Months Ended
	Mar. 31, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Schedule of assets and liabilities related to the consolidated VIEs	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of March 31, 2018 and December 31, 2017 . March 31, 2018 December 31, 2017 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,525,337 $ 1,579,793 Loans held for investment, at fair value 13,220,008 13,263,338 Accrued interest receivable 74,501 75,489 Other assets 58,437 68,844 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 194,967 $ 205,780 Securitized debt at fair value, collateralized by loans held for investment 9,321,154 9,388,657 Accrued interest payable 34,300 33,870 Other liabilities 3,431 3,513
Schedule of Income, OTTI and expense amounts related to consolidated VIEs	Income, OTTI and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters Ended March 31, 2018 March 31, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 235,026 $ 192,989 Interest expense, Non-recourse liabilities of VIEs 99,614 82,684 Net interest income $ 135,412 $ 110,305 Total other-than-temporary impairment losses $ — $ (413 ) Portion of loss recognized in other comprehensive income (loss) — (13,467 ) Net other-than-temporary credit impairment losses $ — $ (13,880 ) Servicing fees $ 10,411 $ 9,588

Derivative Instruments (Tables)

Derivative Instruments (Tables)	3 Months Ended
	Mar. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of location and fair value of the derivatives	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 March 31, 2018 and December 31, 2017 . March 31, 2018 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 $ 5,813,900 Derivatives, at fair value, net $ 89,071 Derivatives, at fair value, net $ — Swaptions 361,000 Derivatives, at fair value, net 4,100 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 6,794,600 $ 93,171 $ — December 31, 2017 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 3,816,400 Derivatives, at fair value, net $ 43,257 Derivatives, at fair value, net $ — Swaptions 391,000 Derivatives, at fair value, net 2,105 Derivatives, at fair value, net (320 ) Treasury Futures 619,700 Derivatives, at fair value, net 3,552 Derivatives, at fair value, net — Total $ 4,827,100 $ 48,914 $ (320 )
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 March 31, 2018 March 31, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 84,964 $ 6,316 Interest Rate Swaps Net realized gains (losses) on derivatives (2,612 ) (4,106 ) Treasury Futures Net unrealized gains (losses) on derivatives (6,587 ) (2,568 ) Treasury Futures Net realized gains (losses) on derivatives 16,424 (2,084 ) Swaptions Net unrealized gains (losses) on derivatives 3,042 1,148 Swaptions Net realized gains (losses) on derivatives (727 ) (3,168 ) Total $ 94,504 $ (4,462 )

Capital Stock (Tables)

Capital Stock (Tables)	3 Months Ended
	Mar. 31, 2018
Equity [Abstract]
Schedule of earnings per share	Earnings per share for the quarter ended March 31, 2018 and 2017 , respectively, are computed as follows: For the Quarter Ended March 31, 2018 March 31, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 229,607 $ 157,524 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 229,607 $ 157,524 Denominator: Weighted average basic shares 187,553,281 187,761,748 Effect of dilutive securities 623,472 433,313 Weighted average dilutive shares 188,176,753 188,195,061 Net income per average share attributable to common stockholders - Basic $ 1.22 $ 0.84 Net income per average share attributable to common stockholders - Diluted $ 1.22 $ 0.84

Accumulated Other Comprehensi34

Accumulated Other Comprehensive Income (Tables)	3 Months Ended
	Mar. 31, 2018
Equity [Abstract]
Schedule of components of AOCI	The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the quarters ended March 31, 2018 and 2017 : March 31, 2018 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2017 $ 796,902 $ 796,902 OCI before reclassifications (88,816 ) (88,816 ) Amounts reclassified from AOCI 1,158 1,158 Net current period OCI (87,658 ) (87,658 ) Balance as of March 31, 2018 $ 709,244 $ 709,244 March 31, 2017 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2016 $ 718,106 $ 718,106 OCI before reclassifications (3,910 ) (3,910 ) Amounts reclassified from AOCI 13,515 13,515 Net current period OCI 9,605 9,605 Balance as of March 31, 2017 $ 727,711 $ 727,711
Schedule of reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2018 and 2017 : March 31, 2018 March 31, 2017 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 $ — $ 5,186 Net realized gains (losses) on sales of investments (1,158 ) (18,701 ) Net other-than-temporary credit impairment losses $ (1,158 ) $ (13,515 ) Income before income taxes — — Income taxes $ (1,158 ) $ (13,515 ) Net of tax

Credit Risk and Interest Rate35

Credit Risk and Interest Rate Risk (Tables)	3 Months Ended
	Mar. 31, 2018
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 March 31, 2018 and December 31, 2017 . March 31, 2018 (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 $ (7,202,924 ) $ — $ (7,202,924 ) $ 8,703,066 $ 968 $ 1,501,110 Interest Rate Swaps - Gross Assets 130,763 (41,692 ) 89,071 — — 89,071 Interest Rate Swaps - Gross Liabilities (2,544 ) 2,544 — — — — Treasury Futures - Gross Assets — — — — — — Treasury Futures - Gross Liabilities (3,035 ) 3,035 — — 4,168 4,168 Swaptions - Gross Assets 4,100 — 4,100 — — 4,100 Swaptions - Gross Liabilities — — — — — — Total Liabilities $ (7,073,640 ) $ (36,113 ) $ (7,109,753 ) $ 8,703,066 $ 5,136 $ 1,598,449 (1) Included in other assets December 31, 2017 (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 $ (7,250,452 ) $ — $ (7,250,452 ) $ 8,788,680 $ 1,156 $ 1,539,384 Interest Rate Swaps - Gross Assets 44,874 (1,617 ) 43,257 — 11,570 54,827 Interest Rate Swaps - Gross Liabilities (1,617 ) 1,617 — — — — Treasury Futures - Gross Assets 3,552 — 3,552 — 376 3,928 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 2,105 — 2,105 — — 2,105 Swaptions - Gross Liabilities (320 ) — (320 ) — — (320 ) Total Liabilities $ (7,201,858 ) $ — $ (7,201,858 ) $ 8,788,680 $ 13,102 $ 1,599,924 (1) Included in other assets

Organization - Narrative (Detai

Organization - Narrative (Detail)	3 Months Ended
	Mar. 31, 2018subsidiary
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of wholly owned direct subsidiaries	8

Summary of the Significant Ac37

Summary of the Significant Accounting Policies (Details) - USD ($)	Mar. 31, 2018	Dec. 31, 2017
Accounting Policies [Abstract]
Penalties and interest accrued	$ 0	$ 0

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Investment Holdings [Line Items]
Principal or Notional Value	$ 15,344,801	$ 15,442,782
Total Premium	551,535	563,428
Total Discount	(1,387,207)	(1,438,994)
Amortized Cost	6,706,443	6,481,537
Fair Value	7,318,510	7,216,144
Gross Unrealized Gains	829,256	861,182
Gross Unrealized Losses	(217,189)	(126,575)
Net Unrealized Gain/(Loss)	612,067	734,607
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	2,627,375	2,733,926
Total Premium	867	540
Total Discount	(1,210,583)	(1,257,103)
Amortized Cost	1,417,659	1,477,363
Fair Value	2,153,327	2,231,415
Gross Unrealized Gains	736,149	754,234
Gross Unrealized Losses	(481)	(182)
Net Unrealized Gain/(Loss)	735,668	754,052
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	4,646,297	4,862,461
Total Premium	251,692	262,996
Total Discount	0	0
Amortized Cost	251,692	262,996
Fair Value	197,593	210,850
Gross Unrealized Gains	16,197	15,761
Gross Unrealized Losses	(70,296)	(67,907)
Net Unrealized Gain/(Loss)	(54,099)	(52,146)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	495,128	501,455
Total Premium	10,319	10,571
Total Discount	(172,024)	(177,206)
Amortized Cost	333,423	334,820
Fair Value	401,699	401,225
Gross Unrealized Gains	68,452	66,704
Gross Unrealized Losses	(176)	(299)
Net Unrealized Gain/(Loss)	68,276	66,405
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value	196,208	201,378
Total Premium	7,225	7,369
Total Discount	0	0
Amortized Cost	7,225	7,369
Fair Value	8,092	7,826
Gross Unrealized Gains	1,388	902
Gross Unrealized Losses	(521)	(445)
Net Unrealized Gain/(Loss)	867	457
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	2,265,632	2,227,128
Total Premium	125,940	123,245
Total Discount	0	0
Amortized Cost	2,391,572	2,350,373
Fair Value	2,312,635	2,322,180
Gross Unrealized Gains	3,201	5,706
Gross Unrealized Losses	(82,138)	(33,899)
Net Unrealized Gain/(Loss)	(78,937)	(28,193)
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	2,153,980	1,894,594
Total Premium	50,889	47,430
Total Discount	(4,600)	(4,685)
Amortized Cost	2,200,269	1,937,339
Fair Value	2,147,644	1,938,281
Gross Unrealized Gains	3,042	17,041
Gross Unrealized Losses	(55,667)	(16,099)
Net Unrealized Gain/(Loss)	(52,625)	942
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	2,960,181	3,021,840
Total Premium	104,603	111,277
Total Discount	0	0
Amortized Cost	104,603	111,277
Fair Value	97,520	104,367
Gross Unrealized Gains	827	834
Gross Unrealized Losses	(7,910)	(7,744)
Net Unrealized Gain/(Loss)	$ (7,083)	$ (6,910)

Mortgage-Backed Securities - Ac

Mortgage-Backed Securities - Accretable Yield (Detail) - Available-for-sale Securities - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Accretable Yield Movement Schedule [Roll Forward]
Balance at beginning of period	$ 1,303,590	$ 1,550,110
Purchases	0	8,216
Yield income earned	(59,732)	(68,827)
Reclassification (to) from non-accretable difference	50,026	23,952
Sales and deconsolidation	112	(35)
Balance at end of period	$ 1,293,996	$ 1,513,416

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	Mar. 31, 2018	Dec. 31, 2017
Outstanding principal balance:
Beginning of period	$ 2,673,350	$ 3,138,265
End of period	2,581,229	2,673,350
Amortized cost:
Beginning of period	1,381,839	1,695,079
End of period	$ 1,334,327	$ 1,381,839

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Mar. 31, 2018USD ($)security	Dec. 31, 2017USD ($)security
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 2,408,825	$ 1,569,727
Unrealized Loss Position for 12 Months or More	1,663,194	1,818,645
Total	4,072,019	3,388,372
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(73,587)	(19,477)
Unrealized Loss Position for 12 Months or More	(143,602)	(107,098)
Total	$ (217,189)	$ (126,575)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	473	239
Unrealized Loss Position for 12 Months or More | security	296	336
Total | security	769	575
Non-Agency RMBS - Senior
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 35,069	$ 35,229
Unrealized Loss Position for 12 Months or More	0	0
Total	35,069	35,229
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(481)	(182)
Unrealized Loss Position for 12 Months or More	0	0
Total	$ (481)	$ (182)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	1	1
Unrealized Loss Position for 12 Months or More | security	0	0
Total | security	1	1
Non-Agency RMBS - Senior interest-only
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 27,994	$ 28,129
Unrealized Loss Position for 12 Months or More	109,181	120,120
Total	137,175	148,249
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(2,206)	(1,724)
Unrealized Loss Position for 12 Months or More	(68,090)	(66,183)
Total	$ (70,296)	$ (67,907)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	20	27
Unrealized Loss Position for 12 Months or More | security	118	120
Total | security	138	147
Non-Agency RMBS - Subordinated
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 1,857	$ 235
Unrealized Loss Position for 12 Months or More	4,186	6,261
Total	6,043	6,496
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(85)	(38)
Unrealized Loss Position for 12 Months or More	(91)	(261)
Total	$ (176)	$ (299)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	11	7
Unrealized Loss Position for 12 Months or More | security	3	5
Total | security	14	12
Non-Agency RMBS - Subordinated interest-only
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 0	$ 0
Unrealized Loss Position for 12 Months or More	819	945
Total	819	945
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	0	0
Unrealized Loss Position for 12 Months or More	(521)	(445)
Total	$ (521)	$ (445)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	0	0
Unrealized Loss Position for 12 Months or More | security	3	3
Total | security	3	3
Agency MBS - Residential
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 746,346	$ 660,103
Unrealized Loss Position for 12 Months or More	1,383,334	1,471,464
Total	2,129,680	2,131,567
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(19,528)	(5,197)
Unrealized Loss Position for 12 Months or More	(62,610)	(28,702)
Total	$ (82,138)	$ (33,899)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	32	21
Unrealized Loss Position for 12 Months or More | security	94	93
Total | security	126	114
Agency MBS - Commercial
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 1,584,221	$ 830,889
Unrealized Loss Position for 12 Months or More	113,327	161,980
Total	1,697,548	992,869
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(50,604)	(11,695)
Unrealized Loss Position for 12 Months or More	(5,063)	(4,404)
Total	$ (55,667)	$ (16,099)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	402	176
Unrealized Loss Position for 12 Months or More | security	55	91
Total | security	457	267
Agency MBS - Interest-only
Estimated Fair Value
Unrealized Loss Position for Less than 12 Months	$ 13,338	$ 15,142
Unrealized Loss Position for 12 Months or More	52,347	57,875
Total	65,685	73,017
Unrealized Losses
Unrealized Loss Position for Less than 12 Months	(683)	(641)
Unrealized Loss Position for 12 Months or More	(7,227)	(7,103)
Total	$ (7,910)	$ (7,744)
Number of Securities
Unrealized Loss Position for Less than 12 Months | security	7	7
Unrealized Loss Position for 12 Months or More | security	23	24
Total | security	30	31

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2018USD ($)	Mar. 31, 2017USD ($)security	Dec. 31, 2017USD ($)
Agency MBS portfolio
Investment Holdings [Line Items]
Number of positions intended for sale | security		10
Total unrealized loss on available for sale securities		$ 2,000
Agency RMBS - Pass-through
Investment Holdings [Line Items]
Gross unrealized loss	$ 97,000		$ 41,000
Non-agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 572		$ 283
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality
Investment Holdings [Line Items]
Percentage in Alt-A collateral	67.00%		66.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality
Investment Holdings [Line Items]
Percentage in prime collateral	11.00%		13.00%
Re-REMIC Security
Investment Holdings [Line Items]
Fair value of securities exchanged		20,000
Gain (loss) on sale of investments		$ 5,000
Minimum | Alt-A
Investment Holdings [Line Items]
FICO Score	680
Maximum | Alt-A
Investment Holdings [Line Items]
FICO Score	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) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Total other-than-temporary impairment losses	$ (294)	$ (2,713)
Portion of loss recognized in other comprehensive income	(864)	(15,988)
Net other-than-temporary credit impairment losses	(1,158)	(18,701)
Residential Mortgage-Backed Securities
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items]
Total other-than-temporary impairment losses	(294)	(2,713)
Portion of loss recognized in other comprehensive income	(864)	(15,988)
Net other-than-temporary credit impairment losses	$ (1,158)	$ (18,701)

Mortgage-Backed Securities - 44

Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss beginning balance	$ 591,521	$ 556,485
Additions:
Other-than-temporary impairments not previously recognized	1,140	0
Reductions for securities sold or deconsolidated during the period	(173)	(7,443)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	18	16,726
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(6,450)	(7,539)
Cumulative credit impairment loss ending balance	$ 586,056	$ 558,229

Mortgage-Backed Securities - OT

Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Weighted Average
Investment Holdings [Line Items]
Loss Severity	100.00%	64.00%
60 days delinquent	18.00%	19.00%
Credit Enhancement	17.00%	22.00%
3 Month CPR	27.00%	12.00%
12 Month CPR	15.00%	10.00%
Minimum
Investment Holdings [Line Items]
Loss Severity	34.00%	63.00%
60 days delinquent	16.00%	11.00%
Credit Enhancement	0.00%	0.00%
3 Month CPR	3.00%	4.00%
12 Month CPR	3.00%	4.00%
Maximum
Investment Holdings [Line Items]
Loss Severity	132.00%	64.00%
60 days delinquent	19.00%	25.00%
Credit Enhancement	51.00%	37.00%
3 Month CPR	39.00%	24.00%
12 Month CPR	20.00%	19.00%

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 807,301	$ 838,391
Gross Unrealized Gain Included in Cumulative Earnings	21,955	22,791
Total Gross Unrealized Gain	829,256	861,182
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(98,057)	(41,489)
Gross Unrealized Loss Included in Cumulative Earnings	(119,132)	(85,086)
Total Gross Unrealized Loss	(217,189)	(126,575)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	736,149	754,234
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	736,149	754,234
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(481)	(182)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	(481)	(182)
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	16,197	15,761
Total Gross Unrealized Gain	16,197	15,761
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(70,296)	(67,907)
Total Gross Unrealized Loss	(70,296)	(67,907)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	65,248	62,989
Gross Unrealized Gain Included in Cumulative Earnings	3,204	3,715
Total Gross Unrealized Gain	68,452	66,704
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(91)	(102)
Gross Unrealized Loss Included in Cumulative Earnings	(85)	(197)
Total Gross Unrealized Loss	(176)	(299)
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	1,388	902
Total Gross Unrealized Gain	1,388	902
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(521)	(445)
Total Gross Unrealized Loss	(521)	(445)
Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	3,142	5,706
Gross Unrealized Gain Included in Cumulative Earnings	59	0
Total Gross Unrealized Gain	3,201	5,706
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(64,913)	(29,083)
Gross Unrealized Loss Included in Cumulative Earnings	(17,225)	(4,816)
Total Gross Unrealized Loss	(82,138)	(33,899)
Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	2,762	15,462
Gross Unrealized Gain Included in Cumulative Earnings	280	1,579
Total Gross Unrealized Gain	3,042	17,041
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(32,572)	(12,122)
Gross Unrealized Loss Included in Cumulative Earnings	(23,095)	(3,977)
Total Gross Unrealized Loss	(55,667)	(16,099)
Agency MBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	827	834
Total Gross Unrealized Gain	827	834
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(7,910)	(7,744)
Total Gross Unrealized Loss	$ (7,910)	$ (7,744)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Mar. 31, 2018USD ($)$ / security	Dec. 31, 2017USD ($)$ / security
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 15,344,801	$ 15,442,782
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 2,627,375	$ 2,733,926
Weighted Average Amortized Cost Basis	53.96	54.04
Weighted Average Fair Value	81.96	81.62
Weighted Average Coupon	4.60%	4.60%
Weighted Average Yield at Period-End	17.10%	16.70%
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 4,646,297	$ 4,862,461
Weighted Average Amortized Cost Basis	5.42	5.41
Weighted Average Fair Value	4.25	4.34
Weighted Average Coupon	1.30%	1.30%
Weighted Average Yield at Period-End	7.00%	8.00%
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 495,128	$ 501,455
Weighted Average Amortized Cost Basis	67.34	66.77
Weighted Average Fair Value	81.13	80.01
Weighted Average Coupon	4.10%	4.10%
Weighted Average Yield at Period-End	9.30%	9.60%
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 196,208	$ 201,378
Weighted Average Amortized Cost Basis	3.68	3.66
Weighted Average Fair Value	4.12	3.89
Weighted Average Coupon	0.80%	0.80%
Weighted Average Yield at Period-End	12.40%	11.80%
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 2,265,632	$ 2,227,128
Weighted Average Amortized Cost Basis	105.56	105.53
Weighted Average Fair Value	102.07	104.27
Weighted Average Coupon	3.90%	3.80%
Weighted Average Yield at Period-End	3.00%	2.90%
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 2,153,980	$ 1,894,594
Weighted Average Amortized Cost Basis	102.15	102.26
Weighted Average Fair Value	99.71	102.31
Weighted Average Coupon	3.60%	3.60%
Weighted Average Yield at Period-End	3.30%	3.20%
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End | $	$ 2,960,181	$ 3,021,840
Weighted Average Amortized Cost Basis	3.53	3.68
Weighted Average Fair Value	3.29	3.45
Weighted Average Coupon	0.70%	0.70%
Weighted Average Yield at Period-End	3.20%	3.40%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS	Mar. 31, 2018	Dec. 31, 2017
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%	0.30%
AA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.50%	0.30%
A
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.50%	0.60%
BBB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.70%	1.90%
BB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	2.20%	2.50%
B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	2.30%	2.30%
Below B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	58.20%	59.60%
Not Rated
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	34.30%	32.50%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Fair value
Less than one year, at fair value	$ 192	$ 2,198
Greater than one year and less than five years, at fair value	732,648	959,890
Greater than five years and less than ten years, at fair value	3,532,717	3,447,385
Greater than ten years, at fair value	3,052,953	2,806,671
Total maturities, at fair value	7,318,510	7,216,144
Amortized cost
Less than one year, at amortized cost	405	3,395
Greater than one year and less than five years, at amortized cost	594,065	784,660
Greater than five years and less than ten years, at amortized cost	3,245,492	3,128,723
Greater than ten years, at amortized cost	2,866,481	2,564,759
Amortized Cost	6,706,443	6,481,537
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	164	2,179
Greater than one year and less than five years, at fair value	545,119	681,086
Greater than five years and less than ten years, at fair value	979,210	910,234
Greater than ten years, at fair value	628,834	637,916
Total maturities, at fair value	2,153,327	2,231,415
Amortized cost
Less than one year, at amortized cost	162	2,124
Greater than one year and less than five years, at amortized cost	400,387	493,965
Greater than five years and less than ten years, at amortized cost	613,201	569,458
Greater than ten years, at amortized cost	403,909	411,816
Amortized Cost	1,417,659	1,477,363
Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	28	19
Greater than one year and less than five years, at fair value	32,448	54,107
Greater than five years and less than ten years, at fair value	84,826	72,702
Greater than ten years, at fair value	80,291	84,022
Total maturities, at fair value	197,593	210,850
Amortized cost
Less than one year, at amortized cost	243	1,271
Greater than one year and less than five years, at amortized cost	45,734	73,758
Greater than five years and less than ten years, at amortized cost	113,981	94,145
Greater than ten years, at amortized cost	91,734	93,822
Amortized Cost	251,692	262,996
Non-Agency RMBS - Subordinated
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	70,172	75,495
Greater than five years and less than ten years, at fair value	128,691	121,555
Greater than ten years, at fair value	202,836	204,175
Total maturities, at fair value	401,699	401,225
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	57,559	61,987
Greater than five years and less than ten years, at amortized cost	97,904	91,044
Greater than ten years, at amortized cost	177,960	181,789
Amortized Cost	333,423	334,820
Non-Agency RMBS - Subordinated interest-only
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	408	7,165
Greater than five years and less than ten years, at fair value	7,684	661
Greater than ten years, at fair value	0	0
Total maturities, at fair value	8,092	7,826
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	493	6,355
Greater than five years and less than ten years, at amortized cost	6,732	1,014
Greater than ten years, at amortized cost	0	0
Amortized Cost	7,225	7,369
Agency MBS - Residential
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	0	21,777
Greater than five years and less than ten years, at fair value	2,288,702	2,300,403
Greater than ten years, at fair value	23,933	0
Total maturities, at fair value	2,312,635	2,322,180
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	0	22,069
Greater than five years and less than ten years, at amortized cost	2,366,843	2,328,304
Greater than ten years, at amortized cost	24,729	0
Amortized Cost	2,391,572	2,350,373
Agency MBS - Commercial
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	15,764	45,770
Greater than five years and less than ten years, at fair value	19,377	16,559
Greater than ten years, at fair value	2,112,503	1,875,952
Total maturities, at fair value	2,147,644	1,938,281
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	15,887	47,170
Greater than five years and less than ten years, at amortized cost	20,490	17,176
Greater than ten years, at amortized cost	2,163,892	1,872,993
Amortized Cost	2,200,269	1,937,339
Agency MBS - Interest-only
Fair value
Less than one year, at fair value	0	0
Greater than one year and less than five years, at fair value	68,737	74,490
Greater than five years and less than ten years, at fair value	24,227	25,271
Greater than ten years, at fair value	4,556	4,606
Total maturities, at fair value	97,520	104,367
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	74,005	79,356
Greater than five years and less than ten years, at amortized cost	26,341	27,582
Greater than ten years, at amortized cost	4,257	4,339
Amortized Cost	$ 104,603	$ 111,277

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Investment Holdings [Line Items]
Weighted average maturity (years)	20 years 6 months	20 years 8 months 12 days
Weighted average amortized loan to value	64.30%	64.40%
Weighted average FICO	697	697
Weighted average loan balance (in thousands)	$ 316	$ 314
Weighted average percentage owner occupied	83.90%	84.40%
Weighted average percentage single family residence	65.60%	66.30%
Weighted average current credit enhancement	2.30%	2.20%
California
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	31.60%	31.70%
New York
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	8.80%	8.50%
Florida
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	8.40%	8.30%
New Jersey
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	2.70%	2.70%

Mortgage-Backed Securities - Ye

Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS	Mar. 31, 2018	Dec. 31, 2017
Origination Year as a Percentage of Outstanding Principal Balance:
2003 (and prior)	5.10%	3.60%
2,004	5.80%	4.30%
2,005	18.90%	20.80%
2,006	43.10%	38.20%
2,007	25.80%	30.40%
2,008	0.40%	1.80%
2009 and later	0.90%	0.90%
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
	Mar. 31, 2018	Mar. 31, 2017
Investments, Debt and Equity Securities [Abstract]
Proceeds from sales	$ 0	$ 20,063
Gross realized gains	0	5,187
Gross realized losses	0	(20)
Net realized gain (loss)	$ 0	$ 5,167

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Detail) - USD ($) $ in Millions	Mar. 31, 2018	Dec. 31, 2017
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 13,200	$ 13,300
Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and over days delinquent	$ 585	577
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
REO		$ 10

Loans Held for Investment - Rol

Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Loans Held for Investment at Fair Value - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 13,678,263	$ 8,753,653
Purchases	369,583	6,539,765
Principal paydowns	(443,755)	(1,788,409)
Sales and settlements	(6,865)	2,876
Net periodic accretion (amortization)	(18,826)	(35,803)
Change in fair value	41,595	206,181
Balance, end of period	$ 13,619,995	$ 13,678,263

Loans Held for Investment - Yea

Loans Held for Investment - Year Originated (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans	Mar. 31, 2018	Dec. 31, 2017
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	7.40%	7.50%
2,003	6.70%	6.70%
2,004	14.50%	14.60%
2,005	20.10%	20.40%
2,006	23.10%	23.10%
2,007	18.80%	19.00%
2,008	6.00%	6.00%
2,009	0.80%	0.70%
2010 and later	2.60%	2.00%
Total	100.00%	100.00%

Loans Held for Investment - Col

Loans Held for Investment - Collateral Characteristics (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2018USD ($)loan	Dec. 31, 2017USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	147,720	149,172
Weighted average maturity (years)	19 years 2 months	18 years 9 months 18 days
Weighted average loan to value	87.70%	88.00%
Weighted average FICO	631	631
Weighted average loan balance (in thousands) | $	$ 91	$ 91
Weighted average percentage owner occupied	94.20%	95.00%
Weighted average percentage single family residence	86.20%	86.00%
California
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	9.10%	9.00%
Florida
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	7.20%	7.20%
Ohio
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	6.00%	6.10%
Pennsylvania
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	5.60%	5.60%
Virginia
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top four states	5.60%	5.50%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Total Principal	$ 13,424,680	$ 13,525,820
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 2,266,568	$ 2,182,383
Outstanding balance past due, percent of total balance (percent)	16.90%	16.10%
Bankruptcy | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 280,238	$ 272,778
Outstanding balance past due, percent of total balance (percent)	2.10%	2.00%
Foreclosure | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 225,306	$ 200,376
Outstanding balance past due, percent of total balance (percent)	1.70%	1.50%
REO | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 31,888	$ 31,008
Outstanding balance past due, percent of total balance (percent)	0.20%	0.20%
30 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 957,935	$ 888,535
Outstanding balance past due, percent of total balance (percent)	7.10%	6.60%
60 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 327,238	$ 353,810
Outstanding balance past due, percent of total balance (percent)	2.40%	2.60%
90 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 443,963	$ 435,876
Outstanding balance past due, percent of total balance (percent)	3.30%	3.20%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) - Investments with Difference Between Model Price and Third-Party Price	Mar. 31, 2018USD ($)loan	Dec. 31, 2017USD ($)loan
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	14	4
Excess (deficit) of third party prices over internally developed price	$ (6,000,000)	$ (3,000,000)
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	(23,000,000)
Internal Assessment | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	177,000,000	25,000,000
Internal Assessment | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	753,000,000	0
Third Party Assessment | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	183,000,000	$ 28,000,000
Third Party Assessment | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 776,000,000

Fair Value Measurements - Sched

Fair Value Measurements - Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017	Dec. 31, 2017
Assets:
Loans held for investment, at fair value	$ 13,619,995	$ 13,678,263	$ 13,678,263
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, fair value	9,321,154	9,388,657	9,388,657
Non-agency RMBS | Subordinated
Assets:
Fair Value	13,330	13,993	13,993
Gain (Loss) on Change in Fair Value	(398)	(545)	1,246
Non-agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	4,646,297	4,862,461	4,862,461
Fair Value	197,593	210,850	210,850
Gain (Loss) on Change in Fair Value	(1,953)	3,156	(13,290)
Non-agency RMBS | Subordinated, interest-only
Assets:
Unpaid Principal/ Notional	196,208	201,378	201,378
Fair Value	8,092	7,826	7,826
Gain (Loss) on Change in Fair Value	411	1,836	2,311
Agency MBS | Residential Pass-through
Assets:
Unpaid Principal/ Notional	683,046	577,522	577,522
Fair Value	698,410	602,829	602,829
Gain (Loss) on Change in Fair Value	(12,351)	(2,359)	(4,816)
Agency MBS | Commercial Pass-through
Assets:
Unpaid Principal/ Notional	855,065	564,379	564,379
Fair Value	845,779	570,105	570,105
Gain (Loss) on Change in Fair Value	(20,415)	(546)	(2,398)
Agency MBS | Interest-only
Assets:
Unpaid Principal/ Notional	2,960,181	3,021,840	3,021,840
Fair Value	97,520	104,367	104,367
Gain (Loss) on Change in Fair Value	(173)	(367)	465
Loans held for investment
Assets:
Gain (Loss) on Change in Fair Value	41,596	(65,643)	206,181
Loans held for investment, Unpaid Principal/Notional	13,424,680	13,525,820	13,525,820
Loans held for investment, at fair value	13,619,995	13,678,263	13,678,263
Securitized debt
Assets:
Gain (Loss) on Change in Fair Value	7,749	16,831	(78,289)
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	9,345,920	9,395,854	9,395,854
Securitized debt at fair value, collateralized by loans held for investment, fair value	$ 9,321,154	$ 9,388,657	$ 9,388,657

Fair Value Measurements - Level

Fair Value Measurements - Level of Fair Value (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Assets:
Non-Agency RMBS, at fair value	$ 2,760,711	$ 2,851,316
Agency MBS, at fair value	4,557,799	4,364,828
Loans held for investment, at fair value	13,619,995	13,678,263
Net Amounts Offset in the Consolidated Statements of Financial Position	93,171	48,914
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	9,321,154	9,388,657
Derivatives, at fair value	0	320
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	2,760,711	2,851,316
Agency MBS, at fair value	4,557,799	4,364,828
Loans held for investment, at fair value	13,619,995	13,678,263
Counterparty and Cash Collateral, netting	(41,692)	(1,617)
Net Amounts Offset in the Consolidated Statements of Financial Position	93,171	48,914
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	9,321,154	9,388,657
Counterparty and Cash Collateral, netting	(5,578)	(1,617)
Derivatives, at fair value	0	320
Fair Value, Measurements, Recurring | Level 1
Assets:
Non-Agency RMBS, at fair value	0	0
Agency MBS, at fair value	0	0
Loans held for investment, at fair value	0	0
Derivatives	0	3,553
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	3,034	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value	0	0
Agency MBS, at fair value	4,557,799	4,364,828
Loans held for investment, at fair value	0	0
Derivatives	134,863	46,978
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	2,544	1,937
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	2,760,711	2,851,316
Agency MBS, at fair value	0	0
Loans held for investment, at fair value	13,619,995	13,678,263
Derivatives	0	0
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	9,321,154	9,388,657
Derivatives	$ 0	$ 0

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Securitized Debt | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Other than temporary credit impairment losses	$ 0	$ 0
Realized gains (losses) on sales and settlements	(9,670)	35,273
Net unrealized gains (losses) included in income	(7,750)	78,289
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3	9,388,657	6,941,097
Securitized Debt, Transfers in to Level 3 assets	0	0
Securitized Debt, Transfers out of Level 3 assets	0	0
Securitized Debt, Purchases	509,065	5,173,430
Securitized Debt, Principal payments	(419,670)	(1,787,368)
Securitized Debt, Sales and Settlements	(139,246)	(1,056,765)
Securitized Debt, Accretion (amortization) of purchase discounts	(232)	4,701
Securitized Debt, Gains (losses) included in other comprehensive income	0	0
Securitized Debt, Ending balance, Level 3	9,321,154	9,388,657
Non-agency MBS
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3 assets	2,851,316	3,330,063
Transfers in to Level 3 assets	0	6,112
Transfers out of Level 3 assets	0	0
Purchases of assets/ issuance of debt	0	78,400
Principal payments	(96,988)	(568,339)
Sales and settlements	0	(68,162)
Accretion (amortization) of purchase discounts	25,597	120,119
Other than temporary credit impairment losses	(1,158)	(59,881)
Realized gains (losses) on sales and settlements	0	12,031
Net unrealized gains (losses) included in income	(1,940)	(9,733)
Total unrealized gains (losses) for the period	(16,116)	10,706
Ending balance Level 3 assets	2,760,711	2,851,316
Loans held for investment | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3 assets	13,678,263	8,753,653
Transfers in to Level 3 assets	0	0
Transfers out of Level 3 assets	0	0
Purchases of assets/ issuance of debt	369,583	6,539,765
Principal payments	(443,755)	(1,788,409)
Sales and settlements	(6,865)	2,876
Accretion (amortization) of purchase discounts	(18,826)	(35,803)
Other than temporary credit impairment losses	0	0
Realized gains (losses) on sales and settlements	0	0
Net unrealized gains (losses) included in income	41,595	206,181
Total unrealized gains (losses) for the period	0	0
Ending balance Level 3 assets	$ 13,619,995	$ 13,678,263

Fair Value Measurements - Uno62

Fair Value Measurements - Unobservable Input Reconciliation - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Non-agency MBS
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]
Transfers in to Level 3 assets	$ 0	$ 6,112

Fair Value Measurements - Uno63

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3	Mar. 31, 2018	Dec. 31, 2017
Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted Average Discount Rate	4.40%	4.40%
Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted Average Discount Rate	11.20%	11.20%
Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted Average Discount Rate	5.80%	5.80%
Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted Average Discount Rate	12.00%	12.00%
Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	1.00%	1.00%
CDR	0.00%	0.00%
Loss Severity	35.00%	35.00%
Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	3.00%	3.00%
CDR	0.00%	0.00%
Loss Severity	35.00%	35.00%
Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	1.00%	1.00%
CDR	0.00%	0.00%
Loss Severity	10.00%	35.00%
Minimum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	6.00%	6.00%
CDR	0.00%	0.00%
Loss Severity	35.00%	35.00%
Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	30.00%	45.00%
CDR	60.00%	55.00%
Loss Severity	95.00%	89.00%
Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	35.00%	25.00%
CDR	55.00%	50.00%
Loss Severity	95.00%	95.00%
Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	20.00%	20.00%
CDR	30.00%	33.00%
Loss Severity	70.00%	69.00%
Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
CPR	18.00%	22.00%
CDR	11.00%	9.00%
Loss Severity	62.00%	63.00%

Fair Value Measurements - Uno64

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail)	Mar. 31, 2018	Dec. 31, 2017	Mar. 31, 2018	Dec. 31, 2017
Minimum | Level 3 | Securitized Debt at Fair Value, Collateralized by Loans Held for Investment
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Securitized debt at fair value, collateralized by loans held for investment, CPR Range	6.00%	6.00%
Securitized debt at fair value, collateralized by loans held for investment, CDR Range	0.00%	0.00%
Securitized debt at fair value, collateralized by loans held for investment, Loss Severity Range	35.00%	35.00%
Maximum | Level 3 | Securitized Debt at Fair Value, Collateralized by Loans Held for Investment
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Securitized debt at fair value, collateralized by loans held for investment, CPR Range	18.00%	15.00%
Securitized debt at fair value, collateralized by loans held for investment, CDR Range	7.00%	6.00%
Securitized debt at fair value, collateralized by loans held for investment, Loss Severity Range	60.00%	60.00%
Loans held for investment | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized Loans
Fair Value Inputs, Liabilities, Quantitative Information [Line Items]
Weighted Average Discount Rate			4.20%	4.10%

Fair Value Measurements - Uno65

Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Detail) - Loans Held for Investment at Fair Value - Level 3	Mar. 31, 2018	Dec. 31, 2017
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.90%	6.90%
FICO	628	627
Loan-to-value (LTV)	88.00%	88.00%
Weighted Average | Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	86.00%	87.00%
Weighted Average | Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	3.00%	4.00%
Weighted Average | Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	11.00%	9.00%
Weighted Average | Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	94.00%	95.00%
Weighted Average | Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	2.00%	1.00%
Weighted Average | Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	4.00%	4.00%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	4.80%	4.80%
FICO	636	636
Loan-to-value (LTV)	89.00%	89.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 194,967	$ 205,780
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	7,202,924	7,250,452
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	194,967	205,780
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	7,222,536	7,269,193
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 180,099	$ 192,259

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	Mar. 31, 2018	Dec. 31, 2017
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	$ 7,202,924	$ 7,250,452
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	3,310,477	3,202,056
Average balance of Repurchase agreements secured by:	$ 3,253,529	$ 3,120,474
Average borrowing rate of Repurchase agreements secured by:	1.77%	1.47%
Average remaining maturity of Repurchase agreements secured by:	32 days	28 days
Average original maturity of Repurchase agreements secured by:	85 days	87 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 3,573,750	$ 3,450,123
Repurchase Agreements | Non-agency MBS and Loans held for investment (in thousands)
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	3,892,447	4,048,396
Average balance of Repurchase agreements secured by:	$ 4,003,519	$ 3,203,700
Average borrowing rate of Repurchase agreements secured by:	3.70%	3.41%
Average remaining maturity of Repurchase agreements secured by:	90 days	93 days
Average original maturity of Repurchase agreements secured by:	118 days	123 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 5,129,316	$ 5,338,557
Repurchase Agreements | Residential Mortgage-Backed Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	7,202,924	7,250,452
Average balance of Repurchase agreements secured by:	7,257,048	6,324,174
MBS pledged as collateral at fair value on Repurchase agreements:	$ 8,703,066	$ 8,788,680

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 7,202,924	$ 7,250,452
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	4,140,691	4,745,342
30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	1,538,864	1,206,769
60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	685,239	592,865
90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	0
Greater than or equal to 120 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 838,130	$ 705,476

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Detail) - Repurchase Agreements - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Credit Suisse First Boston
Short-term Debt [Line Items]
Amount at risk	$ 429	$ 451
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	12.00%
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		12.00%
Weighted average maturity	27 days	25 days

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - USD ($)	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 9,670,000	$ 0
Securitized Loans | Non-agency MBS
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance	0	0
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS
Debt Instrument [Line Items]
Principal balance of debt	$ 209,000,000		$ 219,000,000
Weighted average cost of financing	6.20%		6.20%
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Loans held for investment
Debt Instrument [Line Items]
Principal balance of debt	$ 9,300,000,000		$ 9,400,000,000
Weighted average cost of financing	4.20%
Securitized Loans | Variable Interest Entities, Primary Beneficiary | Loans held for investment
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance	$ 149,000,000	$ 0
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS	139,000,000
Gains (losses) on extinguishment of debt	$ 10,000,000
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
Debt Instrument [Line Items]
REO			$ 10,000,000

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Non-agency MBS
Debt Instrument [Line Items]
Within One Year	$ 36,807	$ 42,217
One to Three Years	41,072	45,916
Three to Five Years	15,048	16,524
Greater Than Five Years	5,775	4,867
Total	98,702	109,524
Loans held for investment
Debt Instrument [Line Items]
Within One Year	1,757,615	1,819,018
One to Three Years	2,786,131	2,872,572
Three to Five Years	2,093,168	2,140,434
Greater Than Five Years	2,553,825	2,439,872
Total	$ 9,190,739	$ 9,271,896

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands	Mar. 31, 2018USD ($)
Debt Instrument, Redemption [Line Items]
2,018	$ 755,709
2,019	379,794
2,020	4,609,773
2,021	3,085,861
2,022	313,067
Total	$ 9,144,204

Consolidated Securitization V73

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Non-agency MBS
Variable Interest Entity [Line Items]
Unconsolidated VIEs, aggregate investment	$ 1,200,000	$ 1,300,000
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)	52,000	52,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Assets	14,878,283	14,987,464
Liabilities	9,553,852	9,631,820
Variable Interest Entities, Not Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 1,100,000	$ 1,200,000

Consolidated Securitization V74

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Assets:
Non-Agency RMBS, at fair value	$ 2,760,711	$ 2,851,316
Loans held for investment, at fair value	13,619,995	13,678,263
Accrued interest receivable	98,669	100,789
Other Assets	99,631	114,391
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	194,967	205,780
Securitized debt at fair value, collateralized by loans held for investment	9,321,154	9,388,657
Accrued interest payable	69,929	61,888
Other liabilities	9,426	17,191
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value	1,525,337	1,579,793
Loans held for investment, at fair value	13,220,008	13,263,338
Accrued interest receivable	74,501	75,489
Other Assets	58,437	68,844
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	194,967	205,780
Securitized debt at fair value, collateralized by loans held for investment	9,321,154	9,388,657
Accrued interest payable	34,300	33,870
Other liabilities	$ 3,431	$ 3,513

Consolidated Securitization V75

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Variable Interest Entity [Line Items]
Net interest income	$ 147,881	$ 141,113
Total other-than-temporary impairment losses	(294)	(2,713)
Portion of loss recognized in other comprehensive income (loss)	(864)	(15,988)
Net other-than-temporary credit impairment losses	(1,158)	(18,701)
Servicing fees	11,334	9,588
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Total other-than-temporary impairment losses	0	(413)
Portion of loss recognized in other comprehensive income (loss)	0	(13,467)
Net other-than-temporary credit impairment losses	0	(13,880)
Servicing fees	10,411	9,588
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs	235,026	192,989
Interest expense, Non-recourse liabilities of VIEs	99,614	82,684
Net interest income	$ 135,412	$ 110,305

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($)	Mar. 31, 2018	Dec. 31, 2017
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 6,794,600,000	$ 4,827,100,000
Derivatives, at fair value, net	93,171,000	48,914,000
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	(320,000)
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	5,813,900,000	3,816,400,000
Derivatives, at fair value, net	89,071,000	43,257,000
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	361,000,000	391,000,000
Derivatives, at fair value, net	4,100,000	2,105,000
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	(320,000)
Treasury Futures
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	619,700,000	619,700,000
Derivatives, at fair value, net	0	3,552,000
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	$ 0	$ 0

Derivative Instruments - Effe77

Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 81,419	$ 4,896
Net gains (losses) on derivatives	94,504	(4,462)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	84,964	6,316
Net realized gains (losses) on derivatives	(2,612)	(4,106)
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	(6,587)	(2,568)
Net realized gains (losses) on derivatives	16,424	(2,084)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	3,042	1,148
Net realized gains (losses) on derivatives	$ (727)	$ (3,168)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2018	Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
The weighted average pay rate on the Company's interest rate swaps	2.14%	1.93%
The weighted average receive rate on the Company's interest rate swaps	2.10%	1.53%
The weighted average maturity on the Company's interest rate swaps	5 years	5 years
Fair value of credit risk derivative instruments in a net liability position	$ 119

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	1 Months Ended	3 Months Ended		12 Months Ended
	Feb. 28, 2017	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Class of Stock [Line Items]
Dividends on preferred stock		$ 9,400	$ 5,283
Preferred Stock, shares authorized (shares)		100,000,000		100,000,000
Preferred Stock, par value (usd per share)		$ 0.01		$ 0.01
Issuance of preferred stock			314,429
Preferred Class A
Class of Stock [Line Items]
Dividends on preferred stock		$ 3,000	$ 3,000
Preferred stock dividends declared (in USD per share)		$ 0.5	$ 0.50
Preferred Stock, dividend rate (percent)	8.00%	8.00%		8.00%
Preferred Stock, par value (usd per share)	$ 0.01
Price per share (in dollars per share)	25
Redemption price (in dollars per share)	25
Dividend rate, per-dollar-amount (in dollars per share)	$ 2
Preferred Class B
Class of Stock [Line Items]
Dividends on preferred stock		$ 7,000
Preferred stock dividends declared (in USD per share)		$ 0.5
Preferred Stock, shares authorized (shares)	13,000,000
Preferred Stock, dividend rate (percent)	8.00%	8.00%		8.00%
Price per share (in dollars per share)	$ 25
Redemption price (in dollars per share)	$ 25
London Interbank Offered Rate (LIBOR) | Preferred Class A
Class of Stock [Line Items]
Basis spread on variable rate	5.791%
Additional Paid-in Capital
Class of Stock [Line Items]
Issuance of preferred stock	$ 314,000		$ 314,299

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Detail) - USD ($) $ / shares in Units, shares in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Aug. 31, 2015
Class of Stock [Line Items]
Stock repurchase program, authorized amount			$ 100,000,000
Stock repurchased during period (in shares)	883
Stock repurchased during period, average price (in dollars per share)	$ 16.81
Stock repurchased during period	$ 14,834,000	$ 0
Common dividends declared	$ 93,875,000	$ 94,123,000
Dividends declared per share of common stock (usd per share)	$ 0.50	$ 0.50
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 94,000,000	$ 94,000,000
Dividends declared per share of common stock (usd per share)	$ 0.50	$ 0.50

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
Numerator:
Net income available to common shareholders	$ 229,607	$ 157,524
Effect of dilutive securities:	0	0
Dilutive net income available to common shareholders	$ 229,607	$ 157,524
Denominator:
Weighted average basic shares (shares)	187,553,281	187,761,748
Effect of dilutive securities (shares)	623,472	433,313
Weighted average dilutive shares (shares)	188,176,753	188,195,061
Net income per average share attributable to common stockholders - Basic (usd per share)	$ 1.22	$ 0.84
Net income per average share attributable to common stockholders - Diluted (usd per share)	$ 1.22	$ 0.84

Accumulated Other Comprehensi82

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2018	Mar. 31, 2017
AOCI [Roll Forward]
Beginning Balance	$ 3,634,977	$ 3,123,533
OCI before reclassifications	(88,816)	(3,910)
Amounts reclassified from AOCI	1,158	13,515
Net current period OCI	(87,658)	9,605
Ending Balance	3,670,743	3,512,088
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	796,902	718,106
OCI before reclassifications	(88,816)	(3,910)
Amounts reclassified from AOCI	1,158	13,515
Net current period OCI	(87,658)	9,605
Ending Balance	709,244	727,711
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	796,902	718,106
Ending Balance	$ 709,244	$ 727,711

Accumulated Other Comprehensi83

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 0	$ 5,167
Net other-than-temporary credit impairment losses	(1,158)	(18,701)
Income before income taxes	239,041	162,823
Income taxes	(34)	(16)	$ 0
Net income (loss)	239,007	162,807
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	0	5,186
Net other-than-temporary credit impairment losses	(1,158)	(18,701)
Income before income taxes	(1,158)	(13,515)
Income taxes	0	0
Net income (loss)	$ (1,158)	$ (13,515)

Equity Compensation, Employme84

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) shares in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018USD ($)shares	Mar. 31, 2017USD ($)installmentshares	Dec. 31, 2017USD ($)shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common dividends declared	$ 2,000,000	$ 1,000,000
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	$ 114,000	$ 112,000
Maximum | 401(k) Plan
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%
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	6,000
Restricted Stock | 2007 Equity Incentive Plan | Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period	3 years
Restricted Stock | 2007 Equity Incentive Plan | Maximum
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	241	112
Grant date fair value	$ 4,000,000	$ 2,000,000
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	$ 2,000,000		$ 3,000,000
Granted shares (shares) | shares	133	144	180
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%

Income Taxes Income Taxes (Deta

Income Taxes Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2018	Mar. 31, 2017	Dec. 31, 2017
Income Tax Disclosure [Abstract]
Income tax expense	$ 34	$ 16	$ 0

Credit Risk and Interest Rate86

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2018	Dec. 31, 2017
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (7,202,924)	$ (7,250,452)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(7,202,924)	(7,250,452)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	8,703,066	8,788,680
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	968	1,156
Net Amount	1,501,110	1,539,384
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	93,171	48,914
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	(320)
Total Liabilities
Gross Amounts of Recognized Assets (Liabilities)	(7,073,640)	(7,201,858)
Gross Amounts Offset in the Consolidated Statements of Financial Position	(36,113)	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(7,109,753)	(7,201,858)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	8,703,066	8,788,680
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	5,136	13,102
Net Amount	1,598,449	1,599,924
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)	130,763	44,874
Gross Amounts Offset in the Consolidated Statements of Financial Position	(41,692)	(1,617)
Net Amounts Offset in the Consolidated Statements of Financial Position	89,071	43,257
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	11,570
Net Amount	89,071	54,827
Derivative Liability
Gross Amounts of Recognized Assets (Liabilities)	(2,544)	(1,617)
Gross Amounts Offset in the Consolidated Statements of Financial Position	2,544	1,617
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	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	0
Treasury Futures
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)	0	3,552
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	0	3,552
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	376
Net Amount	0	3,928
Derivative Liability
Gross Amounts of Recognized Assets (Liabilities)	(3,035)	0
Gross Amounts Offset in the Consolidated Statements of Financial Position	3,035	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	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	4,168	0
Net Amount	4,168	0
Swaptions
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)	4,100	2,105
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	4,100	2,105
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	4,100	2,105
Derivative Liability
Gross Amounts of Recognized Assets (Liabilities)	0	(320)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	0	(320)
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	$ (320)