Chimera Investment (CIM) 10-Q 31 Oct 19 2019 Q3 Quarterly report Financial data

Document and Entity Information

Document and Entity Information	9 Months Ended
	Sep. 30, 2019shares
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 30, 2019
Document Transition Report	false
Entity File Number	1-33796
Entity Registrant Name	CHIMERA INVESTMENT CORP
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-0630461
Entity Address, Address Line One	520 Madison Avenue 32nd Floor
Entity Address, City or Town	New York
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10022
City Area Code	212
Local Phone Number	626-2300
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding (in shares)	187,158,540
Entity Central Index Key	0001409493
Current Fiscal Year End Date	--12-31
Amendment Flag	false
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q3
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	CIM
Security Exchange Name	NYSE
Series A Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	CIM PRA
Security Exchange Name	NYSE
Series B Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
Trading Symbol	CIM PRB
Security Exchange Name	NYSE
Series C Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
Trading Symbol	CIM PRC
Security Exchange Name	NYSE
Series D Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock
Trading Symbol	CIM PRD
Security Exchange Name	NYSE

CONSOLIDATED STATEMENTS OF FINA

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands		Sep. 30, 2019	Dec. 31, 2018
Cash and cash equivalents		$ 160,894	$ 47,486
Non-Agency RMBS, at fair value		2,649,834	2,486,130
Agency MBS, at fair value		11,615,323	12,188,950
Loans held for investment, at fair value		13,101,728	12,572,581
Accrued interest receivable		125,601	123,442
Other assets		973,681	252,582
Derivatives, at fair value, net		5,228	37,468
Total assets	[1]	28,632,289	27,708,639
Liabilities:
Repurchase agreements ($17.0 billion and $15.8 billion pledged as collateral, respectively)		15,002,106	14,030,465
Securitized debt, collateralized by Non-Agency RMBS ($612 million and $1.0 billion pledged as collateral, respectively)		139,163	159,955
Securitized debt at fair value, collateralized by loans held for investment ($11.5 billion and $12.3 billion pledged as collateral, respectively)		7,800,786	8,455,376
Payable for investments purchased		1,484,572	1,136,157
Accrued interest payable		81,232	110,402
Dividends payable		98,006	95,986
Accounts payable and other liabilities		31,380	16,469
Total liabilities	[1]	24,637,245	24,004,810
Commitments and Contingencies (See Note 15)
Stockholders' Equity:
Common stock: par value $0.01 per share; 500,000,000 and 300,000,000 shares authorized, 187,158,540 and 187,052,398 shares issued and outstanding, respectively		1,872	1,871
Additional paid-in-capital		4,274,721	4,072,093
Accumulated other comprehensive income		769,070	626,832
Cumulative earnings		3,662,722	3,379,489
Cumulative distributions to stockholders		(4,713,713)	(4,376,748)
Total stockholders' equity		3,995,044	3,703,829
Total liabilities and stockholders' equity		28,632,289	27,708,639
Series A Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		58	58
Series B Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		130	130
Series C Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		104	104
Series D Preferred Stock
Stockholders' Equity:
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:		$ 80	$ 0
[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 September 30, 2019 and December 31, 2018 , total assets of consolidated VIEs were $12,356,439 and $13,392,951 , respectively, and total liabilities of consolidated VIEs were $7,972,942 and $8,652,158

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
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)	500,000,000	300,000,000
Common stock, shares issued (shares)	187,158,540	187,052,398
Common stock, shares outstanding (shares)	187,158,540	187,052,398
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral	$ 16,963,829,000	$ 15,831,008,000
Securitized Loans | Non-agency MBS
Securities pledged as collateral	612,000,000	1,000,000,000
Securitized Loans | Loans Held for Investment at Fair Value
Securities pledged as collateral	$ 11,500,000,000	$ 12,300,000,000
Series A Preferred Stock
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
Series B Preferred Stock
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
Series C Preferred Stock
Preferred stock, dividend rate (percent)	7.75%	7.75%
Preferred Stock, shares issued (shares)	10,400,000	10,400,000
Preferred Stock, shares outstanding (shares)	10,400,000	10,400,000
Preferred Stock, liquidation preference	$ 260,000	$ 260,000
Series D Preferred Stock
Preferred stock, dividend rate (percent)	8.00%	800.00%
Preferred Stock, shares issued (shares)	8,000,000	0
Preferred Stock, shares outstanding (shares)	8,000,000	0
Preferred Stock, liquidation preference	$ 200,000	$ 200,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Assets	12,356,439,000	13,392,951,000
Liabilities	$ 7,972,942,000	$ 8,652,158,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($)		3 Months Ended		9 Months Ended
		Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Net interest income:
Interest income	[1]	$ 330,144,000	$ 321,715,000	$ 1,020,448,000	$ 925,282,000
Interest expense	[2]	188,551,000	174,671,000	589,611,000	485,189,000
Net interest income		141,593,000	147,044,000	430,837,000	440,093,000
Other-than-temporary impairments:
Total other-than-temporary impairment losses		0	(772,000)	(801,000)	(1,871,000)
Portion of loss recognized in other comprehensive income		0	(6,461,000)	(4,052,000)	(15,651,000)
Net other-than-temporary credit impairment losses		0	(7,233,000)	(4,853,000)	(17,522,000)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		31,620,000	71,197,000	(189,865,000)	178,511,000
Realized gains (losses) on terminations of interest rate swaps		(148,114,000)	0	(351,372,000)	0
Net realized gains (losses) on derivatives		(20,178,000)	2,881,000	(37,151,000)	14,573,000
Net gains (losses) on derivatives		(136,672,000)	74,078,000	(578,388,000)	193,084,000
Net unrealized gains (losses) on financial instruments at fair value		130,825,000	(34,306,000)	522,386,000	(38,204,000)
Net realized gains (losses) on sales of investments		1,596,000	(6,123,000)	2,673,000	(3,956,000)
Gains (losses) on extinguishment of debt		0	9,263,000	(608,000)	19,320,000
Total other gains (losses)		(4,251,000)	42,912,000	(53,937,000)	170,244,000
Other expenses:
Compensation and benefits		12,191,000	8,642,000	38,675,000	25,741,000
General and administrative expenses		6,528,000	5,576,000	18,569,000	16,351,000
Servicing fees		8,881,000	9,766,000	27,125,000	31,044,000
Transaction expenses		3,415,000	1,411,000	4,289,000	5,168,000
Total other expenses		31,015,000	25,395,000	88,658,000	78,304,000
Income (loss) before income taxes		106,327,000	157,328,000	283,389,000	514,511,000
Income taxes		1,000	7,000	156,000	76,000
Net income (loss)		106,326,000	157,321,000	283,233,000	514,435,000
Dividends on preferred stock		18,438,000	9,960,000	54,267,000	28,760,000
Net income (loss) available to common shareholders		$ 87,888,000	$ 147,361,000	$ 228,966,000	$ 485,675,000
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 0.47	$ 0.79	$ 1.22	$ 2.59
Diluted (usd per share)		$ 0.47	$ 0.79	$ 1.22	$ 2.59
Weighted average number of common shares outstanding:
Basic (shares)		187,158,167	187,006,777	187,141,377	187,182,932
Diluted (shares)		188,440,171	187,584,958	188,331,109	187,705,831
[1]	Includes interest income of consolidated VIEs of $192,622 and $223,948 for the quarters ended September 30, 2019 and 2018 , respectively, and $600,436 and $688,720 for the nine months ended September 30, 2019 and 2018 , respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $82,234 and $99,622 for the quarters ended September 30, 2019 and 2018 , respectively, and $260,790 and $298,744 for the nine months ended September 30, 2019 and 2018 , respectively. See Note 8 to consolidated financial statements for further discussion.

CONSOLIDATED STATEMENTS OF OP_2

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		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Interest income, assets of consolidated VIEs	$ 192,622	$ 223,948	$ 600,436	$ 688,720
Interest expense, Non-recourse liabilities of VIEs	$ 82,234	$ 99,622	$ 260,790	$ 298,744

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Comprehensive income (loss):
Net income (loss)	$ 106,326	$ 157,321	$ 283,233	$ 514,435
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	29,980	(50,728)	115,198	(181,885)
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	0	7,233	4,853	17,522
Reclassification adjustment for net realized losses (gains) included in net income	0	(220)	22,187	(4,603)
Other comprehensive income (loss)	29,980	(43,715)	142,238	(168,966)
Comprehensive income (loss) before preferred stock dividends	136,306	113,606	425,471	345,469
Dividends on preferred stock	18,438	9,960	54,267	28,760
Comprehensive income (loss) available to common stock shareholders	$ 117,868	$ 103,646	$ 371,204	$ 316,709

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	Series C Preferred Stock Par Value	Series C Preferred Stock Par ValuePreferred Stock	Series D Preferred Stock Par Value	Series D Preferred Stock Par ValuePreferred Stock
Beginning Balance at Dec. 31, 2017	$ 3,634,977	$ 1,878	$ 3,826,691	$ 796,902	$ 2,967,852	$ (3,958,534)		$ 58		$ 130		$ 0		$ 0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	514,435				514,435
Other comprehensive income (loss)	(168,966)			(168,966)
Repurchase of common stock	(14,834)	(8)	(14,826)
Stock based compensation	6,571		6,571
Common dividends declared	(281,778)					(281,778)
Preferred dividends declared	(28,760)					(28,760)	$ (9,000)		$ (20,000)
Issuance of preferred stock			251,432									104	$ 251,536
Ending Balance at Sep. 30, 2018	3,913,181	1,870	4,069,868	627,936	3,482,287	(4,269,072)		58		130		104		0
Beginning Balance at Jun. 30, 2018	3,650,140	1,870	3,816,631	671,651	3,324,966	(4,165,166)		58		130		0		0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	157,321				157,321
Other comprehensive income (loss)	(43,715)			(43,715)
Stock based compensation	1,805		1,805
Common dividends declared	(93,946)					(93,946)
Preferred dividends declared	(9,960)					(9,960)	(3,000)		(7,000)
Issuance of preferred stock	251,536		251,432									104
Ending Balance at Sep. 30, 2018	3,913,181	1,870	4,069,868	627,936	3,482,287	(4,269,072)		58		130		104		0
Beginning Balance at Dec. 31, 2018	3,703,829	1,871	4,072,093	626,832	3,379,489	(4,376,748)		58		130		104		0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	283,233				283,233
Other comprehensive income (loss)	142,238			142,238
Stock based compensation	9,341	1	9,340
Common dividends declared	(282,698)					(282,698)
Preferred dividends declared	(54,267)					(54,267)	(9,000)		(20,000)		$ (15,000)		(11,000)
Issuance of preferred stock			193,288										193,368	80
Ending Balance at Sep. 30, 2019	3,995,044	1,872	4,274,721	769,070	3,662,722	(4,713,713)		58		130		104		80
Beginning Balance at Jun. 30, 2019	3,968,950	1,872	4,272,001	739,090	3,556,396	(4,600,781)		58		130		104		80
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	106,326				106,326
Other comprehensive income (loss)	29,980			29,980
Stock based compensation	2,720		2,720
Common dividends declared	(94,494)					(94,494)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Sep. 30, 2019	$ 3,995,044	$ 1,872	$ 4,274,721	$ 769,070	$ 3,662,722	$ (4,713,713)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Cash Flows From Operating Activities:
Net income	$ 283,233	$ 514,435
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	52,112	22,421
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	(22,207)	(9,957)
Amortization of swaption premium	635	1,316
Net unrealized losses (gains) on derivatives	189,865	(178,511)
Margin (paid) received on derivatives	(106,128)	27,653
Net unrealized losses (gains) on financial instruments at fair value	(522,386)	38,204
Net realized losses (gains) on sales of investments	(2,673)	3,956
Net other-than-temporary credit impairment losses	4,853	17,522
(Gain) loss on extinguishment of debt	608	(19,320)
Equity-based compensation expense	9,341	6,571
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	(2,160)	(14,009)
Decrease (increase) in other assets	(15,600)	24,568
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	14,912	6,468
Increase (decrease) in accrued interest payable, net	(29,172)	48,426
Net cash provided by (used in) operating activities	(144,767)	489,743
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	211,261	(3,723,703)
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	93,523,542	49,599,400
Payments on repurchase agreements	(92,552,568)	(45,705,850)
Net proceeds from preferred stock offerings	193,368	251,536
Payments on repurchase of common stock	0	(14,834)
Proceeds from securitized debt borrowings, collateralized by loans held for investment	374,600	1,434,765
Payments on securitized debt borrowings, collateralized by loans held for investment	(1,138,025)	(1,927,854)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(19,059)	(36,633)
Common dividends paid	(280,677)	(280,893)
Preferred dividends paid	(54,267)	(28,200)
Net cash provided by (used in) financing activities	46,914	3,291,437
Net increase (decrease) in cash and cash equivalents	113,408	57,477
Cash and cash equivalents at beginning of period	47,486	63,569
Cash and cash equivalents at end of period	160,894	121,046
Supplemental disclosure of cash flow information:
Interest received	1,070,399	933,693
Interest paid	640,990	446,806
Non-cash investing activities:
Payable for investments purchased	1,484,572	903,424
Net change in unrealized gain (loss) on available-for sale securities	142,238	(168,966)
Retained beneficial interests	124,150	39,844
Non-cash financing activities:
Dividends declared, not yet paid	98,006	96,809
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(2,598,807)	(5,319,958)
Sales	1,919,230	16,184
Principal payments	1,273,006	346,476
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(301,481)	(73,149)
Sales	38,603	19,928
Principal payments	304,487	440,722
Loans held for investment
Cash Flows From Investing Activities:
Sales	1,337,419	754,806
Principal payments	1,240,505	1,430,802
Purchases	$ (3,001,701)	$ (1,339,514)

Organization

Organization	9 Months Ended
	Sep. 30, 2019
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization	Organization Chimera Investment Corporation, or 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, or REIT, under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder, or the Code. The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries, or TRSs. 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 ten wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC, or CIM Trading, formed in July 2010; Chimera Funding TRS LLC, or 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; Chimera RR Holding LLC formed in April 2016, Anacostia LLC, a TRS formed in June 2018, and NYH Funding LLC, a TRS formed in May 2019.

Summary of the Significant Acco

Summary of the Significant Accounting Policies	9 Months Ended
	Sep. 30, 2019
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, or GAAP. In the opinion of management, all normal and recurring 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, or 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 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, or 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 Consolidated 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 Consolidated 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 (or 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, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans, valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7), derivative instruments (Notes 5 and 9) and compensation expense estimates (Note 12). 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, 2018 , other than the significant accounting policies disclosed below. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of September 30, 2019 or December 31, 2018 . Fair Value Disclosure The Company has elected to account for certain Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. 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 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 for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company does under the current OTTI model. This update also revises the accounting model for purchased credit-impaired debt securities. The changes in the allowances created in accordance with this update will be recorded in earnings. The update does not have any impact on financial instruments which are carried at fair value with changes in fair value recorded in earnings. As all Loans held for investment are carried at fair value, with changes in fair value recorded in earnings, the update will have no impact on the carrying value or revenue recognition of Loans held for investment. The update supersedes subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality. Upon the effective date of the update, all investments previously classified as AFS and accounted for under subtopic 310-30 will be accounted for under subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets. Under subtopic 310-30, when there is a significant increase in cash flows previously expected to be collected, the Company will increase the yield. When there is a significant decline in cash flows previously expected to be collected, and the fair value of the debt security has declined below its amortized cost basis, an OTTI is considered to have occurred and the amortized cost basis of the investment is reduced. The yield is not lowered under subtopic 310-30 as a result of declines in cash flows previously expected to be collected. Subtopic 325-40 differs from subtopic 310-30 in that the increase in cash flows previously expected to be collected does not have to be considered significant to potentially result in an increase in the yield. In addition, a significant decline in cash flows previously expected to be collected will result in either an increase in the credit allowance (if the decline is due to an increase in expected losses), or a reduction in the yield (if decline is a result of prepayments or other factors). With this change for AFS securities accounted for under subtopics 310-30 to subtopics 326-30 and 325-40 upon the effective date of the update, we expect a reduction in the yields on certain AFS investments previously accounted for under subtopic 310-30 for which there have been significant declines in cash flows expected to be collected but the fair values are in excess of the amortized cost basis of the investments at the transition date. The Company continues to analyze the impacts of adoption of the update. For further discussion of accounting for AFS investments under subtopic 310-30 and subtopic 325-40, see footnote 2, Summary of the Significant Accounting Policies, of the Company’s Form 10-K for the year ended December 31, 2018. 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. 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.

Mortgage-Backed Securities

Mortgage-Backed Securities	9 Months Ended
	Sep. 30, 2019
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 Agency residential, commercial and IO 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 September 30, 2019 and December 31, 2018 . September 30, 2019 (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 $ 2,105,577 $ 1,336 $ (994,843 ) $ 1,112,070 $ 1,752,045 $ 640,293 $ (318 ) $ 639,975 Senior, interest-only 7,795,886 309,533 — 309,533 296,916 47,593 (60,210 ) (12,617 ) Subordinated 808,647 10,609 (310,055 ) 509,201 589,955 81,147 (393 ) 80,754 Subordinated, interest-only 195,807 9,050 — 9,050 10,918 2,089 (221 ) 1,868 Agency MBS Residential 7,790,386 180,508 — 7,970,894 8,137,984 170,596 (3,506 ) 167,090 Commercial 3,031,643 62,600 (5,029 ) 3,089,214 3,298,306 209,372 (280 ) 209,092 Interest-only 3,206,236 182,652 — 182,652 179,033 2,212 (5,831 ) (3,619 ) Total $ 24,934,182 $ 756,288 $ (1,309,927 ) $ 13,182,614 $ 14,265,157 $ 1,153,302 $ (70,759 ) $ 1,082,543 December 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 $ 2,386,049 $ 537 $ (1,112,368 ) $ 1,274,218 $ 1,943,124 $ 669,356 $ (450 ) $ 668,906 Senior, interest-only 5,667,198 286,942 — 286,942 254,890 31,123 (63,175 ) (32,052 ) Subordinated 394,037 8,642 (179,669 ) 223,010 276,467 53,702 (245 ) 53,457 Subordinated, interest-only 221,549 9,932 — 9,932 11,649 2,000 (283 ) 1,717 Agency MBS Residential 8,984,249 221,606 — 9,205,855 9,174,382 51,986 (83,459 ) (31,473 ) Commercial 2,895,679 61,727 (4,469 ) 2,952,937 2,881,222 6,303 (78,018 ) (71,715 ) Interest-only 3,028,572 136,026 — 136,026 133,346 1,986 (4,666 ) (2,680 ) Total $ 23,577,333 $ 725,412 $ (1,296,506 ) $ 14,088,920 $ 14,675,080 $ 816,456 $ (230,296 ) $ 586,160 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 For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) (dollars in thousands) Balance at beginning of period $ 1,181,373 $ 1,266,640 $ 1,248,309 $ 1,303,590 Purchases — 4,444 — 10,178 Yield income earned (53,636 ) (57,078 ) (165,228 ) (174,595 ) Reclassification (to) from non-accretable difference (8,921 ) 32,022 36,241 113,517 Sales and deconsolidation (11,010 ) (1,733 ) (11,516 ) (8,395 ) Balance at end of period $ 1,107,806 $ 1,244,295 $ 1,107,806 $ 1,244,295 The table below presents the outstanding principal balance and related amortized cost at September 30, 2019 and December 31, 2018 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to ASC 310-30 guidance. For the Nine Months Ended For the Year Ended September 30, 2019 December 31, 2018 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,325,154 $ 2,673,350 End of period $ 2,070,603 $ 2,325,154 Amortized cost: Beginning of period $ 1,158,291 $ 1,381,839 End of period $ 1,020,791 $ 1,158,291 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 September 30, 2019 and December 31, 2018 . All available for sale securities in an unrealized loss position have been evaluated by the Company for OTTI. September 30, 2019 (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 Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 31,980 $ (318 ) 1 $ 31,980 $ (318 ) 1 Senior, interest-only 65,646 (22,863 ) 43 65,254 (37,347 ) 68 130,900 (60,210 ) 111 Subordinated 19,229 (198 ) 5 1,828 (195 ) 11 21,057 (393 ) 16 Subordinated, interest-only 2,499 (221 ) 3 — — — 2,499 (221 ) 3 Agency MBS Residential 367 (3 ) 1 582,810 (3,503 ) 18 583,177 (3,506 ) 19 Commercial — — — 45,391 (280 ) 4 45,391 (280 ) 4 Interest-only 102,161 (3,433 ) 18 10,738 (2,398 ) 7 112,899 (5,831 ) 25 Total $ 189,902 $ (26,718 ) 70 $ 738,001 $ (44,041 ) 109 $ 927,903 $ (70,759 ) 179 December 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 Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 33,303 $ (450 ) 1 $ 33,303 $ (450 ) 1 Senior, interest-only 34,236 (4,276 ) 29 95,108 (58,899 ) 91 129,344 (63,175 ) 120 Subordinated 13,404 (245 ) 7 — — 8 13,404 (245 ) 15 Subordinated, interest-only 2,104 (158 ) 2 303 (125 ) 1 2,407 (283 ) 3 Agency MBS Residential 779,322 (6,220 ) 17 1,809,566 (77,239 ) 114 2,588,888 (83,459 ) 131 Commercial 1,697,555 (56,382 ) 548 504,570 (21,636 ) 183 2,202,125 (78,018 ) 731 Interest-only 5,769 (48 ) 2 41,659 (4,618 ) 17 47,428 (4,666 ) 19 Total $ 2,532,390 $ (67,329 ) 605 $ 2,484,509 $ (162,967 ) 415 $ 5,016,899 $ (230,296 ) 1,020 At September 30, 2019 , the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of September 30, 2019 . 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 $1 million and $95 million as of September 30, 2019 and December 31, 2018 , 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 September 30, 2019 and December 31, 2018 , unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS which are reported at fair value with changes in fair value recorded in earnings) were $379 thousand and $601 thousand at September 30, 2019 and December 31, 2018 , respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the OTTI included in earnings for the quarters and nine months ended September 30, 2019 and 2018 are presented below. For the Quarters Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) (dollars in thousands) Total other-than-temporary impairment losses $ — $ (772 ) $ (801 ) $ (1,871 ) Portion of loss recognized in other comprehensive income (loss) — (6,461 ) (4,052 ) (15,651 ) Net other-than-temporary credit impairment losses $ — $ (7,233 ) $ (4,853 ) $ (17,522 ) 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 For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) Cumulative credit loss beginning balance $ 587,778 $ 582,661 $ 587,199 $ 591,521 Additions: Other-than-temporary impairments not previously recognized — 4,929 1,479 6,069 Reductions for securities sold or deconsolidated during the period — (1,032 ) — (5,980 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments — 2,304 3,375 11,453 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (266 ) (2,237 ) (4,541 ) (16,438 ) Cumulative credit impairment loss ending balance $ 587,512 $ 586,625 $ 587,512 $ 586,625 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 Nine Months Ended September 30, 2019 September 30, 2018 Loss Severity Weighted Average 69% 63% Range 53% - 102% 34% - 132% 60+ days delinquent Weighted Average 8% 21% Range 2% - 18% 13% - 30% Credit Enhancement (1) Weighted Average 0% 24% Range 0% - 0% 0% - 55% 3 Month CPR Weighted Average 8% 12% Range 3% - 21% 0% - 39% 12 Month CPR Weighted Average 9% 12% Range 3% - 12% 1% - 28% (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 September 30, 2019 and December 31, 2018 . September 30, 2019 (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 $ 640,293 $ — $ 640,293 $ (318 ) $ — $ (318 ) Senior, interest-only — 47,593 47,593 — (60,210 ) (60,210 ) Subordinated 59,702 21,445 81,147 (61 ) (332 ) (393 ) Subordinated, interest-only — 2,089 2,089 — (221 ) (221 ) Agency MBS Residential 7,659 162,937 170,596 (586 ) (2,920 ) (3,506 ) Commercial 62,661 146,711 209,372 (280 ) — (280 ) Interest-only — 2,212 2,212 — (5,831 ) (5,831 ) Total $ 770,315 $ 382,987 $ 1,153,302 $ (1,245 ) $ (69,514 ) $ (70,759 ) December 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 $ 669,356 $ — $ 669,356 $ (450 ) $ — $ (450 ) Senior, interest-only — 31,123 31,123 — (63,175 ) (63,175 ) Subordinated 50,235 3,467 53,702 (151 ) (94 ) (245 ) Subordinated, interest-only — 2,000 2,000 — (283 ) (283 ) Agency MBS Residential 1,708 50,278 51,986 (59,552 ) (23,907 ) (83,459 ) Commercial 811 5,492 6,303 (35,125 ) (42,893 ) (78,018 ) Interest-only — 1,986 1,986 — (4,666 ) (4,666 ) Total $ 722,110 $ 94,346 $ 816,456 $ (95,278 ) $ (135,018 ) $ (230,296 ) 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 September 30, 2019 and December 31, 2018 . September 30, 2019 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,105,577 $ 52.82 83.21 5.0 % 20.5 % Senior, interest-only 7,795,886 3.97 3.81 1.0 % 7.9 % Subordinated 808,647 62.97 72.96 3.8 % 7.5 % Subordinated, interest-only 195,807 4.62 5.58 0.9 % 15.1 % Agency MBS Residential pass-through 7,790,386 102.32 104.46 4.0 % 3.2 % Commercial pass-through 3,031,643 101.90 108.80 3.7 % 3.5 % Interest-only 3,206,236 5.70 5.58 1.1 % 3.9 % (1) Bond Equivalent Yield at period end. December 31, 2018 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 $ 2,386,049 $ 53.40 $ 81.44 5.0 % 19.5 % Senior, interest-only 5,667,198 5.06 4.50 1.2 % 8.4 % Subordinated 394,037 56.60 70.16 4.0 % 9.9 % Subordinated, interest-only 221,549 4.48 5.26 1.1 % 16.4 % Agency MBS Residential pass-through 8,984,249 102.47 102.12 4.0 % 3.6 % Commercial pass-through 2,895,679 101.98 99.50 3.6 % 3.4 % Interest-only 3,028,572 4.49 4.40 0.8 % 4.3 % (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 September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 AAA 0.6 % 0.5 % AA 0.1 % 0.1 % A 0.9 % 0.3 % BBB 1.6 % 0.4 % BB 3.8 % 3.6 % B 1.6 % 1.1 % Below B or not rated 91.4 % 94.0 % 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 September 30, 2019 and December 31, 2018 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. September 30, 2019 (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 $ 5,763 $ 297,033 $ 855,174 $ 594,075 $ 1,752,045 Senior interest-only 6 72,833 87,014 137,063 296,916 Subordinated — 40,185 111,390 438,380 589,955 Subordinated interest-only — — 8,927 1,991 10,918 Agency MBS Residential — 7,735,996 401,621 367 8,137,984 Commercial 15,995 — 29,729 3,252,582 3,298,306 Interest-only — 25,419 153,614 — 179,033 Total fair value $ 21,764 $ 8,171,466 $ 1,647,469 $ 4,424,458 $ 14,265,157 Amortized cost Non-Agency RMBS Senior $ 5,731 $ 223,022 $ 525,205 $ 358,112 $ 1,112,070 Senior interest-only — 94,064 88,549 126,920 309,533 Subordinated — 26,215 95,919 387,067 509,201 Subordinated interest-only — — 6,969 2,081 9,050 Agency MBS Residential — 7,576,086 394,438 370 7,970,894 Commercial 15,958 — 29,089 3,044,167 3,089,214 Interest-only — 27,447 155,205 — 182,652 Total amortized cost $ 21,689 $ 7,946,834 $ 1,295,374 $ 3,918,717 $ 13,182,614 December 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 $ 7,611 $ 357,543 $ 946,536 $ 631,434 $ 1,943,124 Senior interest-only 1,189 38,407 96,401 118,893 254,890 Subordinated — 39,825 43,744 192,898 276,467 Subordinated interest-only — 303 9,321 2,025 11,649 Agency MBS Residential — 640,713 8,524,211 9,458 9,174,382 Commercial — 15,468 28,205 2,837,549 2,881,222 Interest-only 48,580 84,766 — 133,346 Total fair value $ 8,800 $ 1,140,839 $ 9,733,184 $ 3,792,257 $ 14,675,080 Amortized cost Non-Agency RMBS Senior $ 7,522 $ 277,025 $ 585,187 $ 404,484 $ 1,274,218 Senior interest-only 2,250 46,944 111,538 126,210 286,942 Subordinated — 29,487 26,036 167,487 223,010 Subordinated interest-only — 428 7,358 2,146 9,932 Agency MBS Residential — 645,368 8,550,766 9,721 9,205,855 Commercial — 15,543 29,447 2,907,947 2,952,937 Interest-only 53,076 82,950 — 136,026 Total amortized cost $ 9,772 $ 1,067,871 $ 9,393,282 $ 3,617,995 $ 14,088,920 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 September 30, 2019 and December 31, 2018 , 57% and 64% of the Non-Agency RMBS collateral was classified as Alt-A, respectively, based on fair value. At September 30, 2019 and December 31, 2018 , 14% and 12% of the Non-Agency RMBS collateral was classified as prime, respectively, based on fair value. Previously issued financial statement filings were based on current face. We believe fair value provides improved representation of the credit quality of the Company's Non-Agency RMBS portfolio. The remaining Non-Agency RMBS collateral is classified as subprime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 Weighted average maturity (years) 23.6 21.3 Weighted average amortized loan to value (1) 63.0 % 62.9 % Weighted average FICO (2) 717 708 Weighted average loan balance (in thousands) $ 325 $ 308 Weighted average percentage owner occupied 87.7 % 85.7 % Weighted average percentage single family residence 61.1 % 63.8 % Weighted average current credit enhancement 1.0 % 1.4 % Weighted average geographic concentration of top four states CA 34.2 % CA 33.8 % FL 6.6 % FL 7.7 % NY 5.9 % NY 7.4 % TX 2.5 % NJ 2.1 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at September 30, 2019 and December 31, 2018 . Origination Year September 30, 2019 December 31, 2018 2003 and prior 1.4 % 1.3 % 2004 1.5 % 1.7 % 2005 11.0 % 12.9 % 2006 50.9 % 49.8 % 2007 28.2 % 31.0 % 2008 and later 7.0 % 3.3 % 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 and nine months ended September 30, 2019 and 2018 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) (dollars in thousands) Proceeds from sales $ 33,437 $ 32,050 $ 1,968,906 $ 64,601 Gross realized gains 24 1,489 27,449 5,872 Gross realized losses (17 ) (7,713 ) (26,366 ) (9,929 ) Net realized gain (loss) $ 7 $ (6,224 ) $ 1,083 $ (4,057 ) Included in the gross realized gains for the quarter and nine months ended September 30, 2018 in the table above are exchanges of securities with a fair value of $7 million and $28 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 $114 thousand and $2 million , respectively, reflected in earnings for the quarter and nine months ended September 30, 2018 . There were no such exchanges during the quarter and nine months ended September 30, 2019 .

Loans Held for Investment

Loans Held for Investment	9 Months Ended
	Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Loans Held for Investment	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. At September 30, 2019 , 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 $12.5 billion and $12.2 billion as of September 30, 2019 and December 31, 2018 , respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at September 30, 2019 and December 31, 2018 : For the Nine Months Ended For the Year Ended September 30, 2019 December 31, 2018 (dollars in thousands) Balance, beginning of period $ 12,572,581 $ 13,678,263 Purchases 3,002,897 1,671,330 Principal paydowns (1,240,505 ) (1,859,155 ) Sales and settlements (1,467,110 ) (807,364 ) Net periodic accretion (amortization) (64,664 ) (83,393 ) Realized gains (losses) on sales and settlements 1,589 101 Change in fair value 296,940 (27,201 ) Balance, end of period $ 13,101,728 $ 12,572,581 The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. The above table includes loan purchases of $1.5 billion during the nine months ended September 30, 2019 , which were subsequently sold to a trust and securitized but not consolidated, with the Company retaining $124 million of beneficial interests. During the year ended December 31, 2018, the Company purchased $415 million of loans which were subsequently sold to a trust and securitized but not consolidated, with the Company retaining $40 million of beneficial interests. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year September 30, 2019 December 31, 2018 2002 and prior 7.1 % 7.3 % 2003 6.2 % 6.6 % 2004 13.2 % 13.6 % 2005 19.2 % 19.5 % 2006 23.0 % 22.7 % 2007 20.3 % 19.5 % 2008 6.2 % 6.2 % 2009 1.1 % 1.0 % 2010 and later 3.7 % 3.6 % Total 100.0 % 100.0 % The following table presents a summary of key characteristics of the residential loan portfolio at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 Number of loans 136,969 140,345 Weighted average maturity (years) 18.8 18.6 Weighted average loan to value (1) 87.2 % 87.5 % Weighted average FICO (1) 630 629 Weighted average loan balance (in thousands) $ 92 $ 89 Weighted average percentage owner occupied 89.2 % 90.1 % Weighted average percentage single family residence 85.4 % 86.3 % Weighted average geographic concentration of top five states CA 10.9 % CA 9.0 % FL 7.4 % FL 7.3 % NY 6.6 % OH 5.9 % OH 5.5 % NY 5.7 % PA 5.4 % PA 5.6 % (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 September 30, 2019 and December 31, 2018 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal/Notional (dollars in thousands) September 30, 2019 $847,165 $254,827 $259,859 $289,187 $301,664 $59,669 $2,012,371 $12,650,790 % of Unpaid Principal Balance 6.7% 2.0% 2.1% 2.3% 2.4% 0.5% 15.9% December 31, 2018 $855,423 $278,953 $342,944 $266,034 $292,307 $47,055 $2,082,716 $12,432,582 % of Unpaid Principal Balance 6.9% 2.2% 2.8% 2.1% 2.4% 0.4% 16.8% The fair value of residential mortgage loans 90 days or more past due was $577 million and $606 million as of September 30, 2019 and December 31, 2018 , respectively. Real estate owned and other assets. Real estate owned, or 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 gain or 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 September 30, 2019 and December 31, 2018 was $23 million and $17 million , respectively, and were recorded in Other Assets on the Company’s Consolidated Statements of Financial Condition. During the third quarter of 2019, we entered into commitments to acquire up to $752 million of residential mortgage loans most of which we expect will settle during the fourth quarter. We may ultimately settle on less loans than we committed to purchase as the loans are subject to our diligence and review of loan level detail and definitive transaction agreements as well as payoffs and other events. These commitments are reflected in Other Assets on the Company's Consolidated Statements of Financial Condition.

Fair Value Measurements

Fair Value Measurements	9 Months Ended
	Sep. 30, 2019
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, or 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 September 30, 2019 , seven investment holdings with an internally developed fair value of $103 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 $9 million higher than the third party prices provided of $94 million . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at September 30, 2019 in excess of the derived predetermined threshold for the period. At December 31, 2018, nineteen investment holdings with an internally developed fair value of $127 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 $4 million higher than the third party prices provided of $123 million . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2018 in excess of the derived predetermined threshold for the period. 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. 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 September 30, 2019 , the internally developed fair value of four loan pools of $1.89 billion had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $45 million lower than the third party price provided of $1.94 billion . After review and discussion, the Company affirmed and valued the investment at the lower internally developed price. At December 31, 2018, the internally developed fair value of three loan pools of $489 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 higher than the third party price provided of $486 million . After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. 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, or a 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. For disclosure purposes, 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 primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. 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 September 30, 2019 and December 31, 2018 , respectively: September 30, 2019 (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 Senior — — (620 ) — Subordinated 471,602 358,716 10,643 17,742 Senior, interest-only 7,795,886 296,916 (16,280 ) 19,436 Subordinated, interest-only 195,807 10,918 (726 ) 150 Agency MBS Residential Pass-through 7,224,907 7,541,881 26,052 133,649 Commercial Pass-through 1,758,796 1,932,748 58,663 184,111 Interest-only 3,206,236 179,033 (1,055 ) (939 ) Loans held for investment, at fair value 12,650,790 13,101,728 70,556 296,939 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 7,791,509 7,800,786 (16,408 ) (128,702 ) December 31, 2018 (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 $ 12,014 $ 404 $ (145 ) Senior, interest-only 5,667,198 254,890 22,924 20,095 Subordinated, interest-only 221,549 11,649 (270 ) 1,261 Agency MBS Residential Pass-through 7,573,835 7,739,382 78,203 31,185 Commercial Pass-through 1,607,626 1,595,681 15,019 (35,002 ) Interest-only 3,028,572 133,346 1,441 4,230 Loans held for investment, at fair value 12,432,582 12,572,581 (44,253 ) (27,201 ) Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,561,319 8,455,376 11,368 52,209 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, receivable for investments sold 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 September 30, 2019 and December 31, 2018 are presented below. September 30, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,649,834 $ — $ 2,649,834 Agency MBS, at fair value — 11,615,323 — — 11,615,323 Loans held for investment, at fair value — — 13,101,728 — 13,101,728 Derivatives 5,173 55 — — 5,228 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 7,800,786 — 7,800,786 Derivatives — 289,772 — (289,772 ) — December 31, 2018 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,486,130 $ — $ 2,486,130 Agency MBS, at fair value — 12,188,950 — — 12,188,950 Loans held for investment, at fair value — — 12,572,581 — 12,572,581 Derivatives — 89,121 — (51,653 ) 37,468 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,455,376 — 8,455,376 Derivatives 13,375 169,790 — (183,165 ) — The table below provides a summary of the changes in the fair value of securities classified as Level 3 at September 30, 2019 and December 31, 2018 . Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2019 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 Transfers in to Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 425,632 3,002,897 374,600 Principal payments (304,487 ) (1,240,505 ) (1,138,025 ) Sales and Settlements (38,605 ) (1,467,110 ) — Net accretion (amortization) 69,151 (64,664 ) (19,867 ) Gains (losses) included in net income Other than temporary credit impairment losses (4,853 ) — — Realized gains (losses) on sales and settlements (1,088 ) 1,589 — Net unrealized gains (losses) included in income 37,328 296,940 128,702 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (19,374 ) — — Ending balance Level 3 $ 2,649,834 $ 13,101,728 $ 7,800,786 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2018 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,851,316 $ 13,678,263 $ 9,388,657 Transfers in to Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 253,952 1,671,330 1,769,539 Principal payments (521,109 ) (1,859,155 ) (1,778,625 ) Sales and Settlements (100,786 ) (807,364 ) (834,414 ) Net accretion (amortization) 101,088 (83,393 ) (11,197 ) Gains (losses) included in net income Other than temporary credit impairment losses (21,791 ) — — Realized gains (losses) on sales and settlements 201 101 (26,375 ) Net unrealized gains (losses) included in income 21,208 (27,201 ) (52,209 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (97,949 ) — — Ending balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 There were no transfers in or out from Level 3, during the nine months ended September 30, 2019 and during the year ended December 31, 2018 . 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, or CPR, cumulative default rate, and the loss severity. 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. 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 Constant default rates represent an annualized rate of default on a group of mortgages. The constant default rate, or 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. 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 Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases, a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The 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 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. 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 – 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 September 30, 2019 and December 31, 2018 follows: September 30, 2019 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -9% 3.7% 2% -18% 6.7% 0% -17% 4.3% 35% -95% 48.0% Senior interest-only 0% -100% 12.7% 4% -45% 14.5% 0% -58% 3.2% 30% -95% 41.5% Subordinated 3% -10% 5.3% 3% -30% 9.9% 0% -58% 1.9% 10% -63% 36.3% Subordinated interest-only 9% -100% 12.8% 4% -30% 9.4% 0% -5% 2.3% 30% -52% 42.4% December 31, 2018 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 4.5% 1% -25% 6.7% 0% -60% 6.1% 35% -95% 48.0% Senior interest-only 8% -100% 11.1% 3% -32% 10.9% 0% -60% 4.5% 30% -95% 44.5% Subordinated 4% -20% 5.8% 1% -19% 7.5% 0% -34% 2.9% 10% -70% 42.5% Subordinated interest-only 9% -100% 12.0% 4% -25% 12.8% 0% -24% 5.6% 35% -68% 41.2% 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 September 30, 2019 and December 31, 2018 follows: September 30, 2019 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 3.3% 6% - 15% 9.1% 0% - 26% 1.4% 30% - 75% 60.7% December 31, 2018 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 4.3% 6% - 18% 9.3% 0% - 23% 1.4% 30% - 65% 58.7% 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. 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 September 30, 2019 and December 31, 2018 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 primarily by seasoned subprime mortgages at fair value as of September 30, 2019 and December 31, 2018 follows: September 30, 2019 December 31, 2018 Factor: Coupon Base Rate 4.3% 5.2% Actual 6.7% 6.9% FICO Base Rate 636 638 Actual 627 626 Loan-to-value (LTV) Base Rate 88% 88% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 90% 90% Investor 1% 1% Secondary 9% 9% Property Type Single family 86% 86% Manufactured housing 3% 4% Multi-family/mixed use/other 11% 10% 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 one to four family units. 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

Repurchase Agreements

Repurchase Agreements	9 Months Ended
	Sep. 30, 2019
Banking and Thrift [Abstract]
Repurchase Agreements	Repurchase Agreements The interest rates of the Company’s repurchase agreements are generally indexed to the one-month and three-month LIBOR rates and re-price accordingly. The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of collateral pledged as of September 30, 2019 and December 31, 2018 were: September 30, 2019 December 31, 2018 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 9,964,848 $ 10,193,272 Non-agency MBS and Loans held for investment (in thousands) 5,037,258 3,837,193 Total: $ 15,002,106 $ 14,030,465 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 10,354,580 $ 6,085,643 Non-agency MBS and Loans held for investment (in thousands) 4,193,970 3,730,527 Total: $ 14,548,550 $ 9,816,170 Average borrowing rate of Repurchase agreements secured by: Agency MBS 2.28 % 2.55 % Non-agency MBS and Loans held for investment 3.50 % 4.04 % Average remaining maturity of Repurchase agreements secured by: Agency MBS 16 Days 30 Days Non-agency MBS and Loans held for investment 295 Days 231 Days Average original maturity of Repurchase agreements secured by: Agency MBS 38 Days 88 Days Non-agency MBS and Loans held for investment 317 Days 259 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 10,498,244 $ 10,832,018 Non-agency MBS and Loans held for investment (in thousands) 6,465,585 4,998,990 Total: $ 16,963,829 $ 15,831,008 At September 30, 2019 and December 31, 2018 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. September 30, 2019 December 31, 2018 (dollars in thousands) Overnight $ 35,252 $ — 1 to 29 days 10,204,493 6,326,232 30 to 59 days 1,236,687 4,620,656 60 to 89 days 619,035 1,504,695 90 to 119 days 120,465 169,244 Greater than or equal to 120 days 2,786,174 1,409,638 Total $ 15,002,106 $ 14,030,465 At September 30, 2019 and December 31, 2018 , there was no amount at risk with any counterparty greater than 10%

Securitized Debt

Securitized Debt	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $157 million and $175 million , respectively. At September 30, 2019 and December 31, 2018 , the debt carried a weighted average coupon equal to 6.5% and 6.4% , respectively. As of September 30, 2019 , the maturities of the debt range between the years 2035 and 2037 . None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. The Company did not acquire any securitized debt collateralized by Non-Agency RMBS during the quarter ended September 30, 2019 . During the nine months ended September 30, 2019 , the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $2.9 million for $3.5 million . This transaction resulted in a net loss on extinguishment of debt of $608 thousand . The Company did no t acquire any securitized debt collateralized by Non-Agency RMBS during the quarter and nine months ended September 30, 2018 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at September 30, 2019 and December 31, 2018 , 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. September 30, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 17,633 $ 23,602 One to Three Years 22,414 30,803 Three to Five Years 6,208 8,047 Greater Than Five Years 1,493 3,605 Total $ 47,748 $ 66,057 Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying collateral. The estimate of their repayment is based on scheduled principal payments on the underlying collateral. This estimate will differ from actual amounts to the extent prepayments or 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 September 30, 2019 and December 31, 2018 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $7.8 billion and $8.6 billion , respectively. At September 30, 2019 and December 31, 2018 the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 4.5% and 6.4% , respectively. As of September 30, 2019 , the maturities of the debt range between the years 2023 and 2067 . The Company did not acquire any securitized debt collateralized by loans during the quarters and nine months ended September 30, 2019 . During the quarter ended September 30, 2018 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $277 million for $268 million . This transaction resulted in a net gain on the extinguishment of debt of $9 million , which is reflected in earnings for the quarter ended September 30, 2018 . During the nine months ended September 30, 2018 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $580 million for $561 million . These transactions resulted in a net gain on the extinguishment of debt of $19 million , which is reflected in earnings for the nine months ended September 30, 2018 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at September 30, 2019 and December 31, 2018 , 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. September 30, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 1,531,084 $ 1,608,381 One to Three Years 2,497,564 2,587,635 Three to Five Years 1,759,899 1,949,060 Greater Than Five Years 1,896,946 2,237,259 Total $ 7,685,493 $ 8,382,335 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 September 30, 2019 . September 30, 2019 (dollars in thousands) Year Principal 2019 $ 276,174 2020 3,708,949 2021 2,996,962 2022 531,179 2023 111,746 Total $ 7,625,010

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.4 billion and liabilities with a carrying value of $8.0 billion . As of December 31, 2018 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $13.4 billion and liabilities with a carrying value of $8.7 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 September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 611,801 $ 1,017,442 Loans held for investment, at fair value 11,642,447 12,263,265 Accrued interest receivable 67,185 72,389 Other assets 35,006 39,855 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 139,163 $ 159,955 Securitized debt at fair value, collateralized by loans held for investment 7,800,786 8,455,376 Accrued interest payable 30,117 33,541 Other liabilities 2,876 3,286 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 September 30, 2019 September 30, 2018 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 192,622 $ 223,948 Interest expense, Non-recourse liabilities of VIEs 82,234 99,622 Net interest income $ 110,388 $ 124,326 Total other-than-temporary impairment losses $ — $ (665 ) Portion of loss recognized in other comprehensive income (loss) — (6,518 ) Net other-than-temporary credit impairment losses $ — $ (7,183 ) Servicing fees $ 8,444 $ 9,541 For the Nine Months Ended September 30, 2019 September 30, 2018 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 600,436 $ 688,720 Interest expense, Non-recourse liabilities of VIEs 260,790 298,744 Net interest income $ 339,646 $ 389,976 Total other-than-temporary impairment losses $ (424 ) $ (1,016 ) Portion of loss recognized in other comprehensive income (loss) (3,831 ) (15,079 ) Net other-than-temporary credit impairment losses $ (4,255 ) $ (16,095 ) Servicing fees of consolidated VIES $ 26,046 $ 29,674 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 September 30, 2019 , ranged from less than $1 million to $195 million , with an aggregate amount of $2.0 billion . The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2018 , ranged from less than $1 million to $52 million , with an aggregate amount of $1.5 billion . The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.6 billion , and $1.2 billion at September 30, 2019 and December 31, 2018

Derivative Instruments

Derivative Instruments	9 Months Ended
	Sep. 30, 2019
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, or pay rate, in exchange for the right to receive a floating rate of interest, or 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 delivering 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 September 30, 2019 and December 31, 2018 . September 30, 2019 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,390,700 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 25,000 Derivatives, at fair value, net 55 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net 5,173 Derivatives, at fair value, net — Total $ 5,035,400 $ 5,228 $ — December 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 $ 10,906,700 Derivatives, at fair value, net $ 35,798 Derivatives, at fair value, net $ — Swaptions 53,000 Derivatives, at fair value, net 1,670 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 11,579,400 $ 37,468 $ — 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 September 30, 2019 September 30, 2018 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 17,281 $ 67,422 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (149,078 ) 242 Treasury Futures Net unrealized gains (losses) on derivatives 14,420 3,285 Treasury Futures Net realized gains (losses) on derivatives (19,138 ) 2,799 Swaptions Net unrealized gains (losses) on derivatives (81 ) 490 Swaptions Net realized gains (losses) on derivatives (76 ) (160 ) Total $ (136,672 ) $ 74,078 (1) Includes loss on termination of interest rate swaps of $148 million during the quarter ended September 30, 2019 . There were no swaps terminations during the quarter ended September 30, 2018 . Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income September 30, 2019 September 30, 2018 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (207,432 ) $ 173,550 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (342,951 ) (1,125 ) Treasury Futures Net unrealized gains (losses) on derivatives 18,548 2,682 Treasury Futures Net realized gains (losses) on derivatives (45,261 ) 17,014 Swaptions Net unrealized gains (losses) on derivatives (981 ) 2,279 Swaptions Net realized gains (losses) on derivatives (311 ) (1,316 ) Total $ (578,388 ) $ 193,084 (1) Includes loss on termination of interest rate swaps of $351 million during the nine months ended September 30, 2019 . There were no swaps terminations during the nine months ended September 30, 2018 . The company paid $148 million and $351 million to terminate interest rate swaps with a notional value of $3.3 billion and $6.2 billion during the quarter and nine months ended September 30, 2019 , respectively. The terminated swaps had original maturities of 2019 to 2029 . There were no swap terminations during the quarter and nine months ended September 30, 2018 . The weighted average pay rate on the Company’s interest rate swaps at September 30, 2019 was 2.60% and the weighted average receive rate was 2.22% . The weighted average pay rate on the Company’s interest rate swaps at December 31, 2018 was 2.58% and the weighted average receive rate was 2.69% . The weighted average maturity on the Company’s interest rate swaps at September 30, 2019 and December 31, 2018 was 6 years and 7 years , respectively. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange, or 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 International Swaps and Derivative Association, or ISDA, 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 are in a net liability position at September 30, 2019 is approximately $311 million including accrued interest, which represents the maximum amount the Company would pay upon termination, which is fully collateralized.

Capital Stock

Capital Stock	9 Months Ended
	Sep. 30, 2019
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock In January 2019, the Company issued 8,000,000 shares of 8.00% Series D Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, or the Series D Preferred Stock, at a public offering price of $25.00 per share and for net proceeds to us of $193 million . The Series D 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 D Preferred Stock prior to that date. The initial dividend rate for the Series D Preferred Stock, from and including January 23, 2019, 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 D 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 5.379% per annum. The Series D Preferred Stock is entitled to receive, when and as declared, a dividend at a rate of 8.00% 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. The Company declared dividends to Series A preferred stockholders of $3 million and $9 million , or $0.50 and $1.50 , respectively, per preferred share, during the quarters and nine months ended September 30, 2019 and 2018 , respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $20 million , or $0.50 and $1.50 , respectively, per preferred share during the quarters and nine months ended September 30, 2019 and 2018 , respectively. The Company declared dividends to Series C preferred stockholders of $5 million and $15 million , or $0.48 and $1.45 , respectively, per preferred share during the quarter and nine months ended September 30, 2019 . The Company declared dividends to Series D preferred stockholders of $4 million and $11 million , or $0.50 and $1.37 , respectively, per preferred share during the quarter and nine months ended September 30, 2019 . Common Stock In February 2018, our Board of Directors reauthorized $100 million under our share repurchase program, or 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, or the Exchange Act. 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, the Company repurchased approximately 883 thousand shares of its common stock at an average price of $16.81 per share for a total of $15 million during the nine months ended September 30, 2018 . The Company did not repurchase any of its common stock during the quarter and nine months ended September 30, 2019 . The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $85 million as of September 30, 2019 . During the quarter and nine months ended September 30, 2019 , the Company declared dividends to common shareholders of $94 million and $283 million , or $0.50 and $1.50 , per share, respectively. During the quarter and nine months ended September 30, 2018 , the Company declared dividends to common shareholders of $94 million and $282 million , or $0.50 and $1.50 , per share, respectively. Earnings per share for the quarters and nine months ended September 30, 2019 and 2018 respectively, are computed as follows: For the Quarters Ended September 30, 2019 September 30, 2018 (dollars in thousands) Numerator: Net income available to common shareholders $ 87,888 $ 147,361 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 87,888 $ 147,361 Denominator: Weighted average basic shares 187,158,167 187,006,777 Effect of dilutive securities 1,282,004 578,181 Weighted average dilutive shares 188,440,171 187,584,958 Net income per average share attributable to common stockholders - Basic $ 0.47 $ 0.79 Net income per average share attributable to common stockholders - Diluted $ 0.47 $ 0.79 For the Nine Months Ended September 30, 2019 September 30, 2018 (dollars in thousands) Numerator: Net income $ 228,966 $ 485,675 Effect of dilutive securities: — — Dilutive net income available to stockholders $ 228,966 $ 485,675 Denominator: Weighted average basic shares 187,141,377 187,182,932 Effect of dilutive securities 1,189,732 522,899 Weighted average dilutive shares 188,331,109 187,705,831 Net income per average share attributable to common stockholders - Basic $ 1.22 $ 2.59 Net income per average share attributable to common stockholders - Diluted $ 1.22 $ 2.59

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	9 Months Ended
	Sep. 30, 2019
Equity [Abstract]
Accumulated Other Comprehensive Income	Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2019 and 2018 : September 30, 2019 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2018 $ 626,832 $ 626,832 OCI before reclassifications 115,198 115,198 Amounts reclassified from AOCI 27,040 27,040 Net current period OCI 142,238 142,238 Balance as of September 30, 2019 $ 769,070 $ 769,070 September 30, 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 (181,885 ) (181,885 ) Amounts reclassified from AOCI 12,919 12,919 Net current period OCI (168,966 ) (168,966 ) Balance as of September 30, 2018 $ 627,936 $ 627,936 The following table presents the details of the reclassifications from AOCI for the nine months ended September 30, 2019 and 2018 : September 30, 2019 September 30, 2018 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 $ (22,187 ) $ 4,603 Net realized gains (losses) on sales of investments (4,853 ) (17,522 ) Net other-than-temporary credit impairment losses $ (27,040 ) $ (12,919 ) Income before income taxes — — Income taxes $ (27,040 ) $ (12,919 ) Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	9 Months Ended
	Sep. 30, 2019
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), or the Incentive Plan, directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a vesting period lasting three years . During the vesting period, these shares may not be sold. There were approximately 4 million shares available for future grants under the Incentive Plan as of September 30, 2019 . The Compensation Committee of the Board of Directors of the Company has approved a Stock Award Deferral Program, or 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. Grants of Restricted Stock Units or, RSUs During the first quarters of 2019 and 2018 , the Company granted RSU awards to senior management. These RSU awards are designed to reward senior management of the Company for services provided to the Company. Generally, the RSU awards vest equally over a three-year period beginning from the grant date and will fully vest after three years . For employees whose years of service to the Company plus age is equal to or greater than 65, the service period is considered to be fulfilled and all grants are expensed immediately. The RSU awards are valued at the market price of the Company’s common stock on the grant date and generally the employees must be employed by the Company on the vesting dates to receive the RSU awards. There were no RSU award grants during the quarter ended September 30, 2019 . The Company granted 447 thousand RSU awards during the nine months ended September 30, 2019 , with a grant date fair value of $8 million for the 2018 and 2019 performance years. The Company granted 241 thousand RSU awards during the first quarter of 2018 with a grant date fair value $4 million for the 2017 performance year. Grants of Performance Share Units or, PSUs PSU awards are designed to align compensation with the Company’s future performance. The PSU awards granted during the first quarter of 2019, include a three-year performance period ending on December 31, 2021. The final number of shares awarded will be between 0% and 200% of the PSUs granted based on the Company Economic Return compared to a peer group. The Company’s three-year Company Economic Return is equal to the Company’s change in book value per common share plus common stock dividends. Compensation expense will be recognized on a straight-line basis over the three-year vesting period based on an estimate of the Company Economic Return in relation to the entities in the peer group and will be adjusted each period based on the Company’s best estimate of the actual number of shares which will vest. During the first quarter of 2019, the Company granted 152 thousand PSU awards to senior management with a grant date fair value of $3 million . The 2018 PSU awards include a three years performance period ending on December 31, 2020. The final number of shares that will vest will be between 0% to 150% of the total PSU awards granted based on the total shareholder return 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 the first quarter of 2018, had a grant date fair value of $2 million which will cliff vest on December 31, 2020. The Company recognized stock based compensation expenses of $3 million and $2 million , respectively and $11 million and $5 million , respectively for the quarters and nine months ended September 30, 2019 and 2018 . 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 $19,000 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) expenses related to the Company’s qualified plan for the quarters ended September 30, 2019 and 2018 , were $88 thousand and $101 thousand , respectively. For the nine months ended September 30, 2019 and 2018 , the 401(k) expenses were $356 thousand and $352 thousand , respectively.

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2019
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the quarter ended September 30, 2019 and the year ended December 31, 2018 , the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to U.S. 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 (subject to certain adjustments) 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 September 30, 2019 and the year ended December 31, 2018 . The Company’s effective tax rate differs from its combined U.S. 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 2018, 2017 and 2016 U.S. federal, state and local tax returns remain open for examination.

Credit Risk and Interest Rate R

Credit Risk and Interest Rate Risk	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 . September 30, 2019 (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 $ (15,002,106 ) $ — $ (15,002,106 ) $ 16,963,829 $ (450 ) $ 1,961,273 Interest Rate Swaps - Gross Assets — — — — 148,490 148,490 Interest Rate Swaps - Gross Liabilities (289,772 ) 289,772 — — — — Treasury Futures - Gross Assets 5,173 — 5,173 — 711 5,884 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 55 — 55 — — 55 Swaptions - Gross Liabilities — — — — — — Total $ (15,286,650 ) $ 289,772 $ (14,996,878 ) $ 16,963,829 $ 148,751 $ 2,115,702 (1) Included in other assets December 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 $ (14,030,465 ) $ — $ (14,030,465 ) $ 15,831,008 $ — $ 1,800,543 Interest Rate Swaps - Gross Assets 87,451 (51,653 ) 35,798 — 198,112 233,910 Interest Rate Swaps - Gross Liabilities (169,790 ) 169,790 — — — — Treasury Futures - Gross Assets — — — — 3,220 3,220 Treasury Futures - Gross Liabilities (13,375 ) 13,375 — — — — Swaptions - Gross Assets 1,670 — 1,670 — — 1,670 Swaptions - Gross Liabilities — — — — — — Total $ (14,124,509 ) $ 131,512 $ (13,992,997 ) $ 15,831,008 $ 201,332 $ 2,039,343 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2019
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. During the third quarter of 2018, Anacostia LLC, a TRS, acquired a 24.9% ownership interest in KAH Capital Management LLC, or KAH Capital, for $25 thousand . KAH Capital was formed to sponsor and manage one or more funds or accounts that focus on investments in U.S. housing related assets including reperforming and distressed loans, structured transactions and securities sourced from Government Sponsored Enterprises (GSEs) and private sellers, as well as other investments related to U.S. mortgage finance. KAH Capital will generate advisory and fee income and accordingly our investment is indirectly held through Anacostia LLC, a taxable REIT subsidiary. In addition to the investment in KAH Capital, the Company has made a $150 million capital commitment to Hains Point, LLC (Hains Point), which is KAH Capital’s initial fund which is consolidated by the Company as the sole investor in the fund. As of September 30, 2019 , the Company has funded $61 million towards that commitment. KAH Capital will manage the investments in Hains Point including asset selection, repurchase and other financing arrangements as well as hedging transactions. Capital calls for investments made in Hains Point are subject to our consent and approval. KAH Capital will earn $6.5 million over approximately 3 years for its investment advisory services.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2019
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Subsequent to September 30, 2019, the Company exercised its call option to retire securitized debt, collateralized by loans held for investment with an unpaid principal amount of $276 million at par.

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2019
Accounting Policies [Abstract]
Basis of Presentation and Consolidation and Statements of Financial Condition Presentation	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, or GAAP. In the opinion of management, all normal and recurring 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, or 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 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, or 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 Consolidated 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 Consolidated Statements of Financial Condition, are non-recourse to the Company, and can only be satisfied from each securitization vehicle’s respective asset pool.
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, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans, valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4 and 5), securitized debt (Note 5 and 7), derivative instruments (Notes 5 and 9) and compensation expense estimates (Note 12). Actual results could differ materially from those estimates.
Income Taxes	Income Taxes
Fair Value Disclosure	Fair Value Disclosure The Company has elected to account for certain Non-Agency RMBS investments acquired on or after January 1, 2019 under the fair value option. Under the fair value option, these investments will be carried at fair value, with changes in fair value reported in earnings (included as part of “Net unrealized gains (losses) on financial instruments at fair value”). Consistent with all other investments for which the Company has elected the fair value option, the Company will recognize revenue on a prospective basis in accordance with guidance in ASC 325-40. The Company carries the majority of its financial instruments at fair value. The Company has elected fair value option on certain Non-Agency RMBS, Agency MBS, Loans held for investments and Securitized debt, collateralized by loans held for investment. The Company believes the fair value option election will provide its financial statements user with reduced complexity, greater consistency, understandability and comparability. 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.
Recent Accounting Pronouncements	Recent Accounting Pronouncements Financial Instruments - Credit Losses - (Topic 326) In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company does under the current OTTI model. This update also revises the accounting model for purchased credit-impaired debt securities. The changes in the allowances created in accordance with this update will be recorded in earnings. The update does not have any impact on financial instruments which are carried at fair value with changes in fair value recorded in earnings. As all Loans held for investment are carried at fair value, with changes in fair value recorded in earnings, the update will have no impact on the carrying value or revenue recognition of Loans held for investment. The update supersedes subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality. Upon the effective date of the update, all investments previously classified as AFS and accounted for under subtopic 310-30 will be accounted for under subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets. Under subtopic 310-30, when there is a significant increase in cash flows previously expected to be collected, the Company will increase the yield. When there is a significant decline in cash flows previously expected to be collected, and the fair value of the debt security has declined below its amortized cost basis, an OTTI is considered to have occurred and the amortized cost basis of the investment is reduced. The yield is not lowered under subtopic 310-30 as a result of declines in cash flows previously expected to be collected. Subtopic 325-40 differs from subtopic 310-30 in that the increase in cash flows previously expected to be collected does not have to be considered significant to potentially result in an increase in the yield. In addition, a significant decline in cash flows previously expected to be collected will result in either an increase in the credit allowance (if the decline is due to an increase in expected losses), or a reduction in the yield (if decline is a result of prepayments or other factors). With this change for AFS securities accounted for under subtopics 310-30 to subtopics 326-30 and 325-40 upon the effective date of the update, we expect a reduction in the yields on certain AFS investments previously accounted for under subtopic 310-30 for which there have been significant declines in cash flows expected to be collected but the fair values are in excess of the amortized cost basis of the investments at the transition date. The Company continues to analyze the impacts of adoption of the update. For further discussion of accounting for AFS investments under subtopic 310-30 and subtopic 325-40, see footnote 2, Summary of the Significant Accounting Policies, of the Company’s Form 10-K for the year ended December 31, 2018. 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. 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.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 . September 30, 2019 (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 $ 2,105,577 $ 1,336 $ (994,843 ) $ 1,112,070 $ 1,752,045 $ 640,293 $ (318 ) $ 639,975 Senior, interest-only 7,795,886 309,533 — 309,533 296,916 47,593 (60,210 ) (12,617 ) Subordinated 808,647 10,609 (310,055 ) 509,201 589,955 81,147 (393 ) 80,754 Subordinated, interest-only 195,807 9,050 — 9,050 10,918 2,089 (221 ) 1,868 Agency MBS Residential 7,790,386 180,508 — 7,970,894 8,137,984 170,596 (3,506 ) 167,090 Commercial 3,031,643 62,600 (5,029 ) 3,089,214 3,298,306 209,372 (280 ) 209,092 Interest-only 3,206,236 182,652 — 182,652 179,033 2,212 (5,831 ) (3,619 ) Total $ 24,934,182 $ 756,288 $ (1,309,927 ) $ 13,182,614 $ 14,265,157 $ 1,153,302 $ (70,759 ) $ 1,082,543 December 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 $ 2,386,049 $ 537 $ (1,112,368 ) $ 1,274,218 $ 1,943,124 $ 669,356 $ (450 ) $ 668,906 Senior, interest-only 5,667,198 286,942 — 286,942 254,890 31,123 (63,175 ) (32,052 ) Subordinated 394,037 8,642 (179,669 ) 223,010 276,467 53,702 (245 ) 53,457 Subordinated, interest-only 221,549 9,932 — 9,932 11,649 2,000 (283 ) 1,717 Agency MBS Residential 8,984,249 221,606 — 9,205,855 9,174,382 51,986 (83,459 ) (31,473 ) Commercial 2,895,679 61,727 (4,469 ) 2,952,937 2,881,222 6,303 (78,018 ) (71,715 ) Interest-only 3,028,572 136,026 — 136,026 133,346 1,986 (4,666 ) (2,680 ) Total $ 23,577,333 $ 725,412 $ (1,296,506 ) $ 14,088,920 $ 14,675,080 $ 816,456 $ (230,296 ) $ 586,160
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 For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) (dollars in thousands) Balance at beginning of period $ 1,181,373 $ 1,266,640 $ 1,248,309 $ 1,303,590 Purchases — 4,444 — 10,178 Yield income earned (53,636 ) (57,078 ) (165,228 ) (174,595 ) Reclassification (to) from non-accretable difference (8,921 ) 32,022 36,241 113,517 Sales and deconsolidation (11,010 ) (1,733 ) (11,516 ) (8,395 ) Balance at end of period $ 1,107,806 $ 1,244,295 $ 1,107,806 $ 1,244,295
Schedule of non-agency RMBS having deteriorated credit when acquired	The table below presents the outstanding principal balance and related amortized cost at September 30, 2019 and December 31, 2018 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to ASC 310-30 guidance. For the Nine Months Ended For the Year Ended September 30, 2019 December 31, 2018 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,325,154 $ 2,673,350 End of period $ 2,070,603 $ 2,325,154 Amortized cost: Beginning of period $ 1,158,291 $ 1,381,839 End of period $ 1,020,791 $ 1,158,291
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 September 30, 2019 and December 31, 2018 . All available for sale securities in an unrealized loss position have been evaluated by the Company for OTTI. September 30, 2019 (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 Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 31,980 $ (318 ) 1 $ 31,980 $ (318 ) 1 Senior, interest-only 65,646 (22,863 ) 43 65,254 (37,347 ) 68 130,900 (60,210 ) 111 Subordinated 19,229 (198 ) 5 1,828 (195 ) 11 21,057 (393 ) 16 Subordinated, interest-only 2,499 (221 ) 3 — — — 2,499 (221 ) 3 Agency MBS Residential 367 (3 ) 1 582,810 (3,503 ) 18 583,177 (3,506 ) 19 Commercial — — — 45,391 (280 ) 4 45,391 (280 ) 4 Interest-only 102,161 (3,433 ) 18 10,738 (2,398 ) 7 112,899 (5,831 ) 25 Total $ 189,902 $ (26,718 ) 70 $ 738,001 $ (44,041 ) 109 $ 927,903 $ (70,759 ) 179 December 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 Positions Estimated Fair Value Unrealized Losses Number of Positions Estimated Fair Value Unrealized Losses Number of Positions Non-Agency RMBS Senior $ — $ — — $ 33,303 $ (450 ) 1 $ 33,303 $ (450 ) 1 Senior, interest-only 34,236 (4,276 ) 29 95,108 (58,899 ) 91 129,344 (63,175 ) 120 Subordinated 13,404 (245 ) 7 — — 8 13,404 (245 ) 15 Subordinated, interest-only 2,104 (158 ) 2 303 (125 ) 1 2,407 (283 ) 3 Agency MBS Residential 779,322 (6,220 ) 17 1,809,566 (77,239 ) 114 2,588,888 (83,459 ) 131 Commercial 1,697,555 (56,382 ) 548 504,570 (21,636 ) 183 2,202,125 (78,018 ) 731 Interest-only 5,769 (48 ) 2 41,659 (4,618 ) 17 47,428 (4,666 ) 19 Total $ 2,532,390 $ (67,329 ) 605 $ 2,484,509 $ (162,967 ) 415 $ 5,016,899 $ (230,296 ) 1,020
Other than temporary impairment, credit losses recognized in earnings	A summary of the OTTI included in earnings for the quarters and nine months ended September 30, 2019 and 2018 are presented below. For the Quarters Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) (dollars in thousands) Total other-than-temporary impairment losses $ — $ (772 ) $ (801 ) $ (1,871 ) Portion of loss recognized in other comprehensive income (loss) — (6,461 ) (4,052 ) (15,651 ) Net other-than-temporary credit impairment losses $ — $ (7,233 ) $ (4,853 ) $ (17,522 ) 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 For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) Cumulative credit loss beginning balance $ 587,778 $ 582,661 $ 587,199 $ 591,521 Additions: Other-than-temporary impairments not previously recognized — 4,929 1,479 6,069 Reductions for securities sold or deconsolidated during the period — (1,032 ) — (5,980 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments — 2,304 3,375 11,453 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (266 ) (2,237 ) (4,541 ) (16,438 ) Cumulative credit impairment loss ending balance $ 587,512 $ 586,625 $ 587,512 $ 586,625
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 Nine Months Ended September 30, 2019 September 30, 2018 Loss Severity Weighted Average 69% 63% Range 53% - 102% 34% - 132% 60+ days delinquent Weighted Average 8% 21% Range 2% - 18% 13% - 30% Credit Enhancement (1) Weighted Average 0% 24% Range 0% - 0% 0% - 55% 3 Month CPR Weighted Average 8% 12% Range 3% - 21% 0% - 39% 12 Month CPR Weighted Average 9% 12% Range 3% - 12% 1% - 28% (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 September 30, 2019 and December 31, 2018 . September 30, 2019 (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 $ 640,293 $ — $ 640,293 $ (318 ) $ — $ (318 ) Senior, interest-only — 47,593 47,593 — (60,210 ) (60,210 ) Subordinated 59,702 21,445 81,147 (61 ) (332 ) (393 ) Subordinated, interest-only — 2,089 2,089 — (221 ) (221 ) Agency MBS Residential 7,659 162,937 170,596 (586 ) (2,920 ) (3,506 ) Commercial 62,661 146,711 209,372 (280 ) — (280 ) Interest-only — 2,212 2,212 — (5,831 ) (5,831 ) Total $ 770,315 $ 382,987 $ 1,153,302 $ (1,245 ) $ (69,514 ) $ (70,759 ) December 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 $ 669,356 $ — $ 669,356 $ (450 ) $ — $ (450 ) Senior, interest-only — 31,123 31,123 — (63,175 ) (63,175 ) Subordinated 50,235 3,467 53,702 (151 ) (94 ) (245 ) Subordinated, interest-only — 2,000 2,000 — (283 ) (283 ) Agency MBS Residential 1,708 50,278 51,986 (59,552 ) (23,907 ) (83,459 ) Commercial 811 5,492 6,303 (35,125 ) (42,893 ) (78,018 ) Interest-only — 1,986 1,986 — (4,666 ) (4,666 ) Total $ 722,110 $ 94,346 $ 816,456 $ (95,278 ) $ (135,018 ) $ (230,296 )
Residential mortgage backed securities collateral characteristics	The following tables provide a summary of the Company’s MBS portfolio at September 30, 2019 and December 31, 2018 . September 30, 2019 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,105,577 $ 52.82 83.21 5.0 % 20.5 % Senior, interest-only 7,795,886 3.97 3.81 1.0 % 7.9 % Subordinated 808,647 62.97 72.96 3.8 % 7.5 % Subordinated, interest-only 195,807 4.62 5.58 0.9 % 15.1 % Agency MBS Residential pass-through 7,790,386 102.32 104.46 4.0 % 3.2 % Commercial pass-through 3,031,643 101.90 108.80 3.7 % 3.5 % Interest-only 3,206,236 5.70 5.58 1.1 % 3.9 % (1) Bond Equivalent Yield at period end. December 31, 2018 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 $ 2,386,049 $ 53.40 $ 81.44 5.0 % 19.5 % Senior, interest-only 5,667,198 5.06 4.50 1.2 % 8.4 % Subordinated 394,037 56.60 70.16 4.0 % 9.9 % Subordinated, interest-only 221,549 4.48 5.26 1.1 % 16.4 % Agency MBS Residential pass-through 8,984,249 102.47 102.12 4.0 % 3.6 % Commercial pass-through 2,895,679 101.98 99.50 3.6 % 3.4 % Interest-only 3,028,572 4.49 4.40 0.8 % 4.3 % (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 September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 AAA 0.6 % 0.5 % AA 0.1 % 0.1 % A 0.9 % 0.3 % BBB 1.6 % 0.4 % BB 3.8 % 3.6 % B 1.6 % 1.1 % Below B or not rated 91.4 % 94.0 % 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 September 30, 2019 and December 31, 2018 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. September 30, 2019 (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 $ 5,763 $ 297,033 $ 855,174 $ 594,075 $ 1,752,045 Senior interest-only 6 72,833 87,014 137,063 296,916 Subordinated — 40,185 111,390 438,380 589,955 Subordinated interest-only — — 8,927 1,991 10,918 Agency MBS Residential — 7,735,996 401,621 367 8,137,984 Commercial 15,995 — 29,729 3,252,582 3,298,306 Interest-only — 25,419 153,614 — 179,033 Total fair value $ 21,764 $ 8,171,466 $ 1,647,469 $ 4,424,458 $ 14,265,157 Amortized cost Non-Agency RMBS Senior $ 5,731 $ 223,022 $ 525,205 $ 358,112 $ 1,112,070 Senior interest-only — 94,064 88,549 126,920 309,533 Subordinated — 26,215 95,919 387,067 509,201 Subordinated interest-only — — 6,969 2,081 9,050 Agency MBS Residential — 7,576,086 394,438 370 7,970,894 Commercial 15,958 — 29,089 3,044,167 3,089,214 Interest-only — 27,447 155,205 — 182,652 Total amortized cost $ 21,689 $ 7,946,834 $ 1,295,374 $ 3,918,717 $ 13,182,614 December 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 $ 7,611 $ 357,543 $ 946,536 $ 631,434 $ 1,943,124 Senior interest-only 1,189 38,407 96,401 118,893 254,890 Subordinated — 39,825 43,744 192,898 276,467 Subordinated interest-only — 303 9,321 2,025 11,649 Agency MBS Residential — 640,713 8,524,211 9,458 9,174,382 Commercial — 15,468 28,205 2,837,549 2,881,222 Interest-only 48,580 84,766 — 133,346 Total fair value $ 8,800 $ 1,140,839 $ 9,733,184 $ 3,792,257 $ 14,675,080 Amortized cost Non-Agency RMBS Senior $ 7,522 $ 277,025 $ 585,187 $ 404,484 $ 1,274,218 Senior interest-only 2,250 46,944 111,538 126,210 286,942 Subordinated — 29,487 26,036 167,487 223,010 Subordinated interest-only — 428 7,358 2,146 9,932 Agency MBS Residential — 645,368 8,550,766 9,721 9,205,855 Commercial — 15,543 29,447 2,907,947 2,952,937 Interest-only 53,076 82,950 — 136,026 Total amortized cost $ 9,772 $ 1,067,871 $ 9,393,282 $ 3,617,995 $ 14,088,920
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 September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 Weighted average maturity (years) 23.6 21.3 Weighted average amortized loan to value (1) 63.0 % 62.9 % Weighted average FICO (2) 717 708 Weighted average loan balance (in thousands) $ 325 $ 308 Weighted average percentage owner occupied 87.7 % 85.7 % Weighted average percentage single family residence 61.1 % 63.8 % Weighted average current credit enhancement 1.0 % 1.4 % Weighted average geographic concentration of top four states CA 34.2 % CA 33.8 % FL 6.6 % FL 7.7 % NY 5.9 % NY 7.4 % TX 2.5 % NJ 2.1 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
Schedule of 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 September 30, 2019 and December 31, 2018 . Origination Year September 30, 2019 December 31, 2018 2003 and prior 1.4 % 1.3 % 2004 1.5 % 1.7 % 2005 11.0 % 12.9 % 2006 50.9 % 49.8 % 2007 28.2 % 31.0 % 2008 and later 7.0 % 3.3 % 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 and nine months ended September 30, 2019 and 2018 are as follows: For the Quarters Ended For the Nine Months Ended September 30, 2019 September 30, 2018 September 30, 2019 September 30, 2018 (dollars in thousands) (dollars in thousands) Proceeds from sales $ 33,437 $ 32,050 $ 1,968,906 $ 64,601 Gross realized gains 24 1,489 27,449 5,872 Gross realized losses (17 ) (7,713 ) (26,366 ) (9,929 ) Net realized gain (loss) $ 7 $ (6,224 ) $ 1,083 $ (4,057 )

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 : For the Nine Months Ended For the Year Ended September 30, 2019 December 31, 2018 (dollars in thousands) Balance, beginning of period $ 12,572,581 $ 13,678,263 Purchases 3,002,897 1,671,330 Principal paydowns (1,240,505 ) (1,859,155 ) Sales and settlements (1,467,110 ) (807,364 ) Net periodic accretion (amortization) (64,664 ) (83,393 ) Realized gains (losses) on sales and settlements 1,589 101 Change in fair value 296,940 (27,201 ) Balance, end of period $ 13,101,728 $ 12,572,581
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 periods: Origination Year September 30, 2019 December 31, 2018 2002 and prior 7.1 % 7.3 % 2003 6.2 % 6.6 % 2004 13.2 % 13.6 % 2005 19.2 % 19.5 % 2006 23.0 % 22.7 % 2007 20.3 % 19.5 % 2008 6.2 % 6.2 % 2009 1.1 % 1.0 % 2010 and later 3.7 % 3.6 % 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 September 30, 2019 and December 31, 2018 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal/Notional (dollars in thousands) September 30, 2019 $847,165 $254,827 $259,859 $289,187 $301,664 $59,669 $2,012,371 $12,650,790 % of Unpaid Principal Balance 6.7% 2.0% 2.1% 2.3% 2.4% 0.5% 15.9% December 31, 2018 $855,423 $278,953 $342,944 $266,034 $292,307 $47,055 $2,082,716 $12,432,582 % of Unpaid Principal Balance 6.9% 2.2% 2.8% 2.1% 2.4% 0.4% 16.8%
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 September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 Number of loans 136,969 140,345 Weighted average maturity (years) 18.8 18.6 Weighted average loan to value (1) 87.2 % 87.5 % Weighted average FICO (1) 630 629 Weighted average loan balance (in thousands) $ 92 $ 89 Weighted average percentage owner occupied 89.2 % 90.1 % Weighted average percentage single family residence 85.4 % 86.3 % Weighted average geographic concentration of top five states CA 10.9 % CA 9.0 % FL 7.4 % FL 7.3 % NY 6.6 % OH 5.9 % OH 5.5 % NY 5.7 % PA 5.4 % PA 5.6 % (1) As provided by the Trustee.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 , respectively: September 30, 2019 (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 Senior — — (620 ) — Subordinated 471,602 358,716 10,643 17,742 Senior, interest-only 7,795,886 296,916 (16,280 ) 19,436 Subordinated, interest-only 195,807 10,918 (726 ) 150 Agency MBS Residential Pass-through 7,224,907 7,541,881 26,052 133,649 Commercial Pass-through 1,758,796 1,932,748 58,663 184,111 Interest-only 3,206,236 179,033 (1,055 ) (939 ) Loans held for investment, at fair value 12,650,790 13,101,728 70,556 296,939 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 7,791,509 7,800,786 (16,408 ) (128,702 ) December 31, 2018 (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 $ 12,014 $ 404 $ (145 ) Senior, interest-only 5,667,198 254,890 22,924 20,095 Subordinated, interest-only 221,549 11,649 (270 ) 1,261 Agency MBS Residential Pass-through 7,573,835 7,739,382 78,203 31,185 Commercial Pass-through 1,607,626 1,595,681 15,019 (35,002 ) Interest-only 3,028,572 133,346 1,441 4,230 Loans held for investment, at fair value 12,432,582 12,572,581 (44,253 ) (27,201 ) Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,561,319 8,455,376 11,368 52,209
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 September 30, 2019 and December 31, 2018 are presented below. September 30, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,649,834 $ — $ 2,649,834 Agency MBS, at fair value — 11,615,323 — — 11,615,323 Loans held for investment, at fair value — — 13,101,728 — 13,101,728 Derivatives 5,173 55 — — 5,228 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 7,800,786 — 7,800,786 Derivatives — 289,772 — (289,772 ) — December 31, 2018 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,486,130 $ — $ 2,486,130 Agency MBS, at fair value — 12,188,950 — — 12,188,950 Loans held for investment, at fair value — — 12,572,581 — 12,572,581 Derivatives — 89,121 — (51,653 ) 37,468 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,455,376 — 8,455,376 Derivatives 13,375 169,790 — (183,165 ) —
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 September 30, 2019 and December 31, 2018 . Fair Value Reconciliation, Level 3 For the Nine Months Ended September 30, 2019 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376 Transfers in to Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 425,632 3,002,897 374,600 Principal payments (304,487 ) (1,240,505 ) (1,138,025 ) Sales and Settlements (38,605 ) (1,467,110 ) — Net accretion (amortization) 69,151 (64,664 ) (19,867 ) Gains (losses) included in net income Other than temporary credit impairment losses (4,853 ) — — Realized gains (losses) on sales and settlements (1,088 ) 1,589 — Net unrealized gains (losses) included in income 37,328 296,940 128,702 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (19,374 ) — — Ending balance Level 3 $ 2,649,834 $ 13,101,728 $ 7,800,786 Fair Value Reconciliation, Level 3 For the Year Ended December 31, 2018 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,851,316 $ 13,678,263 $ 9,388,657 Transfers in to Level 3 — — — Transfers out of Level 3 — — — Purchases of assets/ issuance of debt 253,952 1,671,330 1,769,539 Principal payments (521,109 ) (1,859,155 ) (1,778,625 ) Sales and Settlements (100,786 ) (807,364 ) (834,414 ) Net accretion (amortization) 101,088 (83,393 ) (11,197 ) Gains (losses) included in net income Other than temporary credit impairment losses (21,791 ) — — Realized gains (losses) on sales and settlements 201 101 (26,375 ) Net unrealized gains (losses) included in income 21,208 (27,201 ) (52,209 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (97,949 ) — — Ending balance Level 3 $ 2,486,130 $ 12,572,581 $ 8,455,376
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 Non-Agency RMBS held for investment at fair value as of September 30, 2019 and December 31, 2018 follows: September 30, 2019 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -9% 3.7% 2% -18% 6.7% 0% -17% 4.3% 35% -95% 48.0% Senior interest-only 0% -100% 12.7% 4% -45% 14.5% 0% -58% 3.2% 30% -95% 41.5% Subordinated 3% -10% 5.3% 3% -30% 9.9% 0% -58% 1.9% 10% -63% 36.3% Subordinated interest-only 9% -100% 12.8% 4% -30% 9.4% 0% -5% 2.3% 30% -52% 42.4% December 31, 2018 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 4.5% 1% -25% 6.7% 0% -60% 6.1% 35% -95% 48.0% Senior interest-only 8% -100% 11.1% 3% -32% 10.9% 0% -60% 4.5% 30% -95% 44.5% Subordinated 4% -20% 5.8% 1% -19% 7.5% 0% -34% 2.9% 10% -70% 42.5% Subordinated interest-only 9% -100% 12.0% 4% -25% 12.8% 0% -24% 5.6% 35% -68% 41.2% 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 September 30, 2019 and December 31, 2018 follows: September 30, 2019 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 3.3% 6% - 15% 9.1% 0% - 26% 1.4% 30% - 75% 60.7% December 31, 2018 Significant Inputs Discount Rate CPR CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Securitized debt at fair value, collateralized by loans held for investment 0% -10% 4.3% 6% - 18% 9.3% 0% - 23% 1.4% 30% - 65% 58.7%
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 September 30, 2019 and December 31, 2018 . September 30, 2019 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 15,002,106 15,028,889 Securitized debt, collateralized by Non-Agency RMBS 3 139,163 122,258 December 31, 2018 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 14,030,465 14,085,164 Securitized debt, collateralized by Non-Agency RMBS 3 159,955 140,711
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 securitized debt at fair value, collateralized by loans held for investment	A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized primarily by seasoned subprime mortgages at fair value as of September 30, 2019 and December 31, 2018 follows: September 30, 2019 December 31, 2018 Factor: Coupon Base Rate 4.3% 5.2% Actual 6.7% 6.9% FICO Base Rate 636 638 Actual 627 626 Loan-to-value (LTV) Base Rate 88% 88% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 90% 90% Investor 1% 1% Secondary 9% 9% Property Type Single family 86% 86% Manufactured housing 3% 4% Multi-family/mixed use/other 11% 10%

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	9 Months Ended
	Sep. 30, 2019
Banking and Thrift [Abstract]
Schedule of repurchase agreements	The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average balances and the fair value of collateral pledged as of September 30, 2019 and December 31, 2018 were: September 30, 2019 December 31, 2018 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 9,964,848 $ 10,193,272 Non-agency MBS and Loans held for investment (in thousands) 5,037,258 3,837,193 Total: $ 15,002,106 $ 14,030,465 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 10,354,580 $ 6,085,643 Non-agency MBS and Loans held for investment (in thousands) 4,193,970 3,730,527 Total: $ 14,548,550 $ 9,816,170 Average borrowing rate of Repurchase agreements secured by: Agency MBS 2.28 % 2.55 % Non-agency MBS and Loans held for investment 3.50 % 4.04 % Average remaining maturity of Repurchase agreements secured by: Agency MBS 16 Days 30 Days Non-agency MBS and Loans held for investment 295 Days 231 Days Average original maturity of Repurchase agreements secured by: Agency MBS 38 Days 88 Days Non-agency MBS and Loans held for investment 317 Days 259 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 10,498,244 $ 10,832,018 Non-agency MBS and Loans held for investment (in thousands) 6,465,585 4,998,990 Total: $ 16,963,829 $ 15,831,008 At September 30, 2019 and December 31, 2018 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. September 30, 2019 December 31, 2018 (dollars in thousands) Overnight $ 35,252 $ — 1 to 29 days 10,204,493 6,326,232 30 to 59 days 1,236,687 4,620,656 60 to 89 days 619,035 1,504,695 90 to 119 days 120,465 169,244 Greater than or equal to 120 days 2,786,174 1,409,638 Total $ 15,002,106 $ 14,030,465

Securitized Debt (Tables)

Securitized Debt (Tables)	9 Months Ended
	Sep. 30, 2019
Debt Instrument [Line Items]
Schedule of callable debt	The following table presents the par value of the callable debt by year at September 30, 2019 . September 30, 2019 (dollars in thousands) Year Principal 2019 $ 276,174 2020 3,708,949 2021 2,996,962 2022 531,179 2023 111,746 Total $ 7,625,010
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 September 30, 2019 and December 31, 2018 , 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. September 30, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 17,633 $ 23,602 One to Three Years 22,414 30,803 Three to Five Years 6,208 8,047 Greater Than Five Years 1,493 3,605 Total $ 47,748 $ 66,057
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 September 30, 2019 and December 31, 2018 , 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. September 30, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 1,531,084 $ 1,608,381 One to Three Years 2,497,564 2,587,635 Three to Five Years 1,759,899 1,949,060 Greater Than Five Years 1,896,946 2,237,259 Total $ 7,685,493 $ 8,382,335

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 . September 30, 2019 December 31, 2018 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 611,801 $ 1,017,442 Loans held for investment, at fair value 11,642,447 12,263,265 Accrued interest receivable 67,185 72,389 Other assets 35,006 39,855 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 139,163 $ 159,955 Securitized debt at fair value, collateralized by loans held for investment 7,800,786 8,455,376 Accrued interest payable 30,117 33,541 Other liabilities 2,876 3,286
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 September 30, 2019 September 30, 2018 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 192,622 $ 223,948 Interest expense, Non-recourse liabilities of VIEs 82,234 99,622 Net interest income $ 110,388 $ 124,326 Total other-than-temporary impairment losses $ — $ (665 ) Portion of loss recognized in other comprehensive income (loss) — (6,518 ) Net other-than-temporary credit impairment losses $ — $ (7,183 ) Servicing fees $ 8,444 $ 9,541 For the Nine Months Ended September 30, 2019 September 30, 2018 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 600,436 $ 688,720 Interest expense, Non-recourse liabilities of VIEs 260,790 298,744 Net interest income $ 339,646 $ 389,976 Total other-than-temporary impairment losses $ (424 ) $ (1,016 ) Portion of loss recognized in other comprehensive income (loss) (3,831 ) (15,079 ) Net other-than-temporary credit impairment losses $ (4,255 ) $ (16,095 ) Servicing fees of consolidated VIES $ 26,046 $ 29,674

Derivative Instruments (Tables)

Derivative Instruments (Tables)	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 . September 30, 2019 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,390,700 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 25,000 Derivatives, at fair value, net 55 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net 5,173 Derivatives, at fair value, net — Total $ 5,035,400 $ 5,228 $ — December 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 $ 10,906,700 Derivatives, at fair value, net $ 35,798 Derivatives, at fair value, net $ — Swaptions 53,000 Derivatives, at fair value, net 1,670 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 11,579,400 $ 37,468 $ —
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 September 30, 2019 September 30, 2018 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 17,281 $ 67,422 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (149,078 ) 242 Treasury Futures Net unrealized gains (losses) on derivatives 14,420 3,285 Treasury Futures Net realized gains (losses) on derivatives (19,138 ) 2,799 Swaptions Net unrealized gains (losses) on derivatives (81 ) 490 Swaptions Net realized gains (losses) on derivatives (76 ) (160 ) Total $ (136,672 ) $ 74,078 (1) Includes loss on termination of interest rate swaps of $148 million during the quarter ended September 30, 2019 . There were no swaps terminations during the quarter ended September 30, 2018 . Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income September 30, 2019 September 30, 2018 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (207,432 ) $ 173,550 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (342,951 ) (1,125 ) Treasury Futures Net unrealized gains (losses) on derivatives 18,548 2,682 Treasury Futures Net realized gains (losses) on derivatives (45,261 ) 17,014 Swaptions Net unrealized gains (losses) on derivatives (981 ) 2,279 Swaptions Net realized gains (losses) on derivatives (311 ) (1,316 ) Total $ (578,388 ) $ 193,084 (1) Includes loss on termination of interest rate swaps of $351 million during the nine months ended September 30, 2019 . There were no swaps terminations during the nine months ended September 30, 2018 .

Capital Stock (Tables)

Capital Stock (Tables)	9 Months Ended
	Sep. 30, 2019
Equity [Abstract]
Schedule of earnings per share	Earnings per share for the quarters and nine months ended September 30, 2019 and 2018 respectively, are computed as follows: For the Quarters Ended September 30, 2019 September 30, 2018 (dollars in thousands) Numerator: Net income available to common shareholders $ 87,888 $ 147,361 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 87,888 $ 147,361 Denominator: Weighted average basic shares 187,158,167 187,006,777 Effect of dilutive securities 1,282,004 578,181 Weighted average dilutive shares 188,440,171 187,584,958 Net income per average share attributable to common stockholders - Basic $ 0.47 $ 0.79 Net income per average share attributable to common stockholders - Diluted $ 0.47 $ 0.79 For the Nine Months Ended September 30, 2019 September 30, 2018 (dollars in thousands) Numerator: Net income $ 228,966 $ 485,675 Effect of dilutive securities: — — Dilutive net income available to stockholders $ 228,966 $ 485,675 Denominator: Weighted average basic shares 187,141,377 187,182,932 Effect of dilutive securities 1,189,732 522,899 Weighted average dilutive shares 188,331,109 187,705,831 Net income per average share attributable to common stockholders - Basic $ 1.22 $ 2.59 Net income per average share attributable to common stockholders - Diluted $ 1.22 $ 2.59

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	9 Months Ended
	Sep. 30, 2019
Equity [Abstract]
Schedule of components of AOCI	The following table presents the changes in the components of Accumulated Other Comprehensive Income, or the AOCI, for the nine months ended September 30, 2019 and 2018 : September 30, 2019 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2018 $ 626,832 $ 626,832 OCI before reclassifications 115,198 115,198 Amounts reclassified from AOCI 27,040 27,040 Net current period OCI 142,238 142,238 Balance as of September 30, 2019 $ 769,070 $ 769,070 September 30, 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 (181,885 ) (181,885 ) Amounts reclassified from AOCI 12,919 12,919 Net current period OCI (168,966 ) (168,966 ) Balance as of September 30, 2018 $ 627,936 $ 627,936
Schedule of reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the nine months ended September 30, 2019 and 2018 : September 30, 2019 September 30, 2018 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 $ (22,187 ) $ 4,603 Net realized gains (losses) on sales of investments (4,853 ) (17,522 ) Net other-than-temporary credit impairment losses $ (27,040 ) $ (12,919 ) Income before income taxes — — Income taxes $ (27,040 ) $ (12,919 ) Net of tax

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	9 Months Ended
	Sep. 30, 2019
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 September 30, 2019 and December 31, 2018 . September 30, 2019 (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 $ (15,002,106 ) $ — $ (15,002,106 ) $ 16,963,829 $ (450 ) $ 1,961,273 Interest Rate Swaps - Gross Assets — — — — 148,490 148,490 Interest Rate Swaps - Gross Liabilities (289,772 ) 289,772 — — — — Treasury Futures - Gross Assets 5,173 — 5,173 — 711 5,884 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 55 — 55 — — 55 Swaptions - Gross Liabilities — — — — — — Total $ (15,286,650 ) $ 289,772 $ (14,996,878 ) $ 16,963,829 $ 148,751 $ 2,115,702 (1) Included in other assets December 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 $ (14,030,465 ) $ — $ (14,030,465 ) $ 15,831,008 $ — $ 1,800,543 Interest Rate Swaps - Gross Assets 87,451 (51,653 ) 35,798 — 198,112 233,910 Interest Rate Swaps - Gross Liabilities (169,790 ) 169,790 — — — — Treasury Futures - Gross Assets — — — — 3,220 3,220 Treasury Futures - Gross Liabilities (13,375 ) 13,375 — — — — Swaptions - Gross Assets 1,670 — 1,670 — — 1,670 Swaptions - Gross Liabilities — — — — — — Total $ (14,124,509 ) $ 131,512 $ (13,992,997 ) $ 15,831,008 $ 201,332 $ 2,039,343 (1) Included in other assets

Organization - Narrative (Detai

Organization - Narrative (Detail)	9 Months Ended
	Sep. 30, 2019subsidiary
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of wholly owned direct subsidiaries	10

Summary of the Significant Ac_3

Summary of the Significant Accounting Policies (Details) - USD ($)	Sep. 30, 2019	Dec. 31, 2018
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	Sep. 30, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Principal or Notional Value	$ 24,934,182	$ 23,577,333
Total Premium	756,288	725,412
Total Discount	(1,309,927)	(1,296,506)
Amortized Cost	13,182,614	14,088,920
Fair Value	14,265,157	14,675,080
Gross Unrealized Gains	1,153,302	816,456
Gross Unrealized Losses	(70,759)	(230,296)
Net Unrealized Gain/(Loss)	1,082,543	586,160
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	2,105,577	2,386,049
Total Premium	1,336	537
Total Discount	(994,843)	(1,112,368)
Amortized Cost	1,112,070	1,274,218
Fair Value	1,752,045	1,943,124
Gross Unrealized Gains	640,293	669,356
Gross Unrealized Losses	(318)	(450)
Net Unrealized Gain/(Loss)	639,975	668,906
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	7,795,886	5,667,198
Total Premium	309,533	286,942
Total Discount	0	0
Amortized Cost	309,533	286,942
Fair Value	296,916	254,890
Gross Unrealized Gains	47,593	31,123
Gross Unrealized Losses	(60,210)	(63,175)
Net Unrealized Gain/(Loss)	(12,617)	(32,052)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	808,647	394,037
Total Premium	10,609	8,642
Total Discount	(310,055)	(179,669)
Amortized Cost	509,201	223,010
Fair Value	589,955	276,467
Gross Unrealized Gains	81,147	53,702
Gross Unrealized Losses	(393)	(245)
Net Unrealized Gain/(Loss)	80,754	53,457
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value	195,807	221,549
Total Premium	9,050	9,932
Total Discount	0	0
Amortized Cost	9,050	9,932
Fair Value	10,918	11,649
Gross Unrealized Gains	2,089	2,000
Gross Unrealized Losses	(221)	(283)
Net Unrealized Gain/(Loss)	1,868	1,717
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	7,790,386	8,984,249
Total Premium	180,508	221,606
Total Discount	0	0
Amortized Cost	7,970,894	9,205,855
Fair Value	8,137,984	9,174,382
Gross Unrealized Gains	170,596	51,986
Gross Unrealized Losses	(3,506)	(83,459)
Net Unrealized Gain/(Loss)	167,090	(31,473)
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	3,031,643	2,895,679
Total Premium	62,600	61,727
Total Discount	(5,029)	(4,469)
Amortized Cost	3,089,214	2,952,937
Fair Value	3,298,306	2,881,222
Gross Unrealized Gains	209,372	6,303
Gross Unrealized Losses	(280)	(78,018)
Net Unrealized Gain/(Loss)	209,092	(71,715)
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	3,206,236	3,028,572
Total Premium	182,652	136,026
Total Discount	0	0
Amortized Cost	182,652	136,026
Fair Value	179,033	133,346
Gross Unrealized Gains	2,212	1,986
Gross Unrealized Losses	(5,831)	(4,666)
Net Unrealized Gain/(Loss)	$ (3,619)	$ (2,680)

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		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Accretable Yield Movement Schedule [Roll Forward]
Balance at beginning of period	$ 1,181,373	$ 1,266,640	$ 1,248,309	$ 1,303,590
Purchases	0	4,444	0	10,178
Yield income earned	(53,636)	(57,078)	(165,228)	(174,595)
Reclassification (to) from non-accretable difference	(8,921)	32,022	36,241	113,517
Sales and deconsolidation	(11,010)	(1,733)	(11,516)	(8,395)
Balance at end of period	$ 1,107,806	$ 1,244,295	$ 1,107,806	$ 1,244,295

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	Sep. 30, 2019	Dec. 31, 2018
Outstanding principal balance:
Beginning of period	$ 2,325,154	$ 2,673,350
End of period	2,070,603	2,325,154
Amortized cost:
Beginning of period	1,158,291	1,381,839
End of period	$ 1,020,791	$ 1,158,291

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands	Sep. 30, 2019USD ($)security	Dec. 31, 2018USD ($)security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 189,902	$ 2,532,390
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (26,718)	$ (67,329)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	70	605
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 738,001	$ 2,484,509
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (44,041)	$ (162,967)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	109	415
Total, Estimated Fair Value	$ 927,903	$ 5,016,899
Total, Unrealized Losses	$ (70,759)	$ (230,296)
Total, Number of Positions | security	179	1,020
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 31,980	$ 33,303
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (318)	$ (450)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	1	1
Total, Estimated Fair Value	$ 31,980	$ 33,303
Total, Unrealized Losses	$ (318)	$ (450)
Total, Number of Positions | security	1	1
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 65,646	$ 34,236
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (22,863)	$ (4,276)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	43	29
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 65,254	$ 95,108
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (37,347)	$ (58,899)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	68	91
Total, Estimated Fair Value	$ 130,900	$ 129,344
Total, Unrealized Losses	$ (60,210)	$ (63,175)
Total, Number of Positions | security	111	120
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 19,229	$ 13,404
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (198)	$ (245)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	5	7
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 1,828	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (195)	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	11	8
Total, Estimated Fair Value	$ 21,057	$ 13,404
Total, Unrealized Losses	$ (393)	$ (245)
Total, Number of Positions | security	16	15
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 2,499	$ 2,104
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (221)	$ (158)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	3	2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 303
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (125)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	1
Total, Estimated Fair Value	$ 2,499	$ 2,407
Total, Unrealized Losses	$ (221)	$ (283)
Total, Number of Positions | security	3	3
Agency MBS - Residential
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 367	$ 779,322
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (3)	$ (6,220)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	1	17
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 582,810	$ 1,809,566
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (3,503)	$ (77,239)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	18	114
Total, Estimated Fair Value	$ 583,177	$ 2,588,888
Total, Unrealized Losses	$ (3,506)	$ (83,459)
Total, Number of Positions | security	19	131
Agency MBS - Commercial
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 1,697,555
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ (56,382)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	548
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 45,391	$ 504,570
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (280)	$ (21,636)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	4	183
Total, Estimated Fair Value	$ 45,391	$ 2,202,125
Total, Unrealized Losses	$ (280)	$ (78,018)
Total, Number of Positions | security	4	731
Agency MBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 102,161	$ 5,769
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (3,433)	$ (48)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	18	2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 10,738	$ 41,659
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (2,398)	$ (4,618)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	7	17
Total, Estimated Fair Value	$ 112,899	$ 47,428
Total, Unrealized Losses	$ (5,831)	$ (4,666)
Total, Number of Positions | security	25	19

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Thousands	3 Months Ended	9 Months Ended
	Sep. 30, 2018USD ($)	Sep. 30, 2019USD ($)	Sep. 30, 2018USD ($)	Dec. 31, 2018USD ($)
Agency RMBS - Pass-through
Investment Holdings [Line Items]
Gross unrealized loss		$ 1,000		$ 95,000
Non-agency MBS
Investment Holdings [Line Items]
Gross unrealized loss		$ 379		$ 601
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality
Investment Holdings [Line Items]
Percentage in Alt-A collateral		57.00%		64.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality
Investment Holdings [Line Items]
Percentage in prime collateral		14.00%		12.00%
Re Remic Security
Investment Holdings [Line Items]
Fair value of securities exchanged during period	$ 7,000		$ 28,000
Gain (loss) on sale of investments	$ 114		$ 2,000
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		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]
Total other-than-temporary impairment losses	$ 0	$ (772)	$ (801)	$ (1,871)
Portion of loss recognized in other comprehensive income (loss)	0	(6,461)	(4,052)	(15,651)
Net other-than-temporary credit impairment losses	$ 0	$ (7,233)	$ (4,853)	$ (17,522)

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss beginning balance	$ 587,778	$ 582,661	$ 587,199	$ 591,521
Additions:
Other-than-temporary impairments not previously recognized	0	4,929	1,479	6,069
Reductions for securities sold or deconsolidated during the period	0	(1,032)	0	(5,980)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	0	2,304	3,375	11,453
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(266)	(2,237)	(4,541)	(16,438)
Cumulative credit impairment loss ending balance	$ 587,512	$ 586,625	$ 587,512	$ 586,625

Mortgage-Backed Securities - OT

Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
Weighted Average
Investment Holdings [Line Items]
Loss Severity	69.00%	63.00%
60 days delinquent	8.00%	21.00%
Credit Enhancement	0.00%	24.00%
3 Month CPR	8.00%	12.00%
12 Month CPR	9.00%	12.00%
Minimum
Investment Holdings [Line Items]
Loss Severity	53.00%	34.00%
60 days delinquent	2.00%	13.00%
Credit Enhancement	0.00%	0.00%
3 Month CPR	3.00%	0.00%
12 Month CPR	3.00%	1.00%
Maximum
Investment Holdings [Line Items]
Loss Severity	102.00%	132.00%
60 days delinquent	18.00%	30.00%
Credit Enhancement	0.00%	55.00%
3 Month CPR	21.00%	39.00%
12 Month CPR	12.00%	28.00%

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 770,315	$ 722,110
Gross Unrealized Gain Included in Cumulative Earnings	382,987	94,346
Total Gross Unrealized Gain	1,153,302	816,456
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(1,245)	(95,278)
Gross Unrealized Loss Included in Cumulative Earnings	(69,514)	(135,018)
Total Gross Unrealized Loss	(70,759)	(230,296)
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	640,293	669,356
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	640,293	669,356
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(318)	(450)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	(318)	(450)
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	47,593	31,123
Total Gross Unrealized Gain	47,593	31,123
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(60,210)	(63,175)
Total Gross Unrealized Loss	(60,210)	(63,175)
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	59,702	50,235
Gross Unrealized Gain Included in Cumulative Earnings	21,445	3,467
Total Gross Unrealized Gain	81,147	53,702
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(61)	(151)
Gross Unrealized Loss Included in Cumulative Earnings	(332)	(94)
Total Gross Unrealized Loss	(393)	(245)
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	2,089	2,000
Total Gross Unrealized Gain	2,089	2,000
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(221)	(283)
Total Gross Unrealized Loss	(221)	(283)
Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	7,659	1,708
Gross Unrealized Gain Included in Cumulative Earnings	162,937	50,278
Total Gross Unrealized Gain	170,596	51,986
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(586)	(59,552)
Gross Unrealized Loss Included in Cumulative Earnings	(2,920)	(23,907)
Total Gross Unrealized Loss	(3,506)	(83,459)
Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	62,661	811
Gross Unrealized Gain Included in Cumulative Earnings	146,711	5,492
Total Gross Unrealized Gain	209,372	6,303
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(280)	(35,125)
Gross Unrealized Loss Included in Cumulative Earnings	0	(42,893)
Total Gross Unrealized Loss	(280)	(78,018)
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	2,212	1,986
Total Gross Unrealized Gain	2,212	1,986
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(5,831)	(4,666)
Total Gross Unrealized Loss	$ (5,831)	$ (4,666)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities - USD ($) $ / shares in Units, $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 24,934,182	$ 23,577,333
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,105,577	$ 2,386,049
Weighted Average Amortized Cost Basis	$ 52.82	$ 53.40
Weighted Average Fair Value	$ 83.21	$ 81.44
Weighted Average Coupon	5.00%	5.00%
Weighted Average Yield at Period-End	20.50%	19.50%
Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 7,795,886	$ 5,667,198
Weighted Average Amortized Cost Basis	$ 3.97	$ 5.06
Weighted Average Fair Value	$ 3.81	$ 4.50
Weighted Average Coupon	1.00%	1.20%
Weighted Average Yield at Period-End	7.90%	8.40%
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 808,647	$ 394,037
Weighted Average Amortized Cost Basis	$ 62.97	$ 56.60
Weighted Average Fair Value	$ 72.96	$ 70.16
Weighted Average Coupon	3.80%	4.00%
Weighted Average Yield at Period-End	7.50%	9.90%
Non-Agency RMBS - Subordinated interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 195,807	$ 221,549
Weighted Average Amortized Cost Basis	$ 4.62	$ 4.48
Weighted Average Fair Value	$ 5.58	$ 5.26
Weighted Average Coupon	0.90%	1.10%
Weighted Average Yield at Period-End	15.10%	16.40%
Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 7,790,386	$ 8,984,249
Weighted Average Amortized Cost Basis	$ 102.32	$ 102.47
Weighted Average Fair Value	$ 104.46	$ 102.12
Weighted Average Coupon	4.00%	4.00%
Weighted Average Yield at Period-End	3.20%	3.60%
Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 3,031,643	$ 2,895,679
Weighted Average Amortized Cost Basis	$ 101.90	$ 101.98
Weighted Average Fair Value	$ 108.80	$ 99.50
Weighted Average Coupon	3.70%	3.60%
Weighted Average Yield at Period-End	3.50%	3.40%
Agency MBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 3,206,236	$ 3,028,572
Weighted Average Amortized Cost Basis	$ 5.70	$ 4.49
Weighted Average Fair Value	$ 5.58	$ 4.40
Weighted Average Coupon	1.10%	0.80%
Weighted Average Yield at Period-End	3.90%	4.30%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS	Sep. 30, 2019	Dec. 31, 2018
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	0.60%	0.50%
AA
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.10%	0.10%
A
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	0.90%	0.30%
BBB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.60%	0.40%
BB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	3.80%	3.60%
B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.60%	1.10%
Below B or not rated
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	91.40%	94.00%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Fair value
Less than one year, at fair value	$ 21,764	$ 8,800
Greater than one year and less than five years, at fair value	8,171,466	1,140,839
Greater than five years and less than ten years, at fair value	1,647,469	9,733,184
Greater than ten years, at fair value	4,424,458	3,792,257
Total maturities, at fair value	14,265,157	14,675,080
Amortized cost
Less than one year, at amortized cost	21,689	9,772
Greater than one year and less than five years, at amortized cost	7,946,834	1,067,871
Greater than five years and less than ten years, at amortized cost	1,295,374	9,393,282
Greater than ten years, at amortized cost	3,918,717	3,617,995
Amortized Cost	13,182,614	14,088,920
Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	5,763	7,611
Greater than one year and less than five years, at fair value	297,033	357,543
Greater than five years and less than ten years, at fair value	855,174	946,536
Greater than ten years, at fair value	594,075	631,434
Total maturities, at fair value	1,752,045	1,943,124
Amortized cost
Less than one year, at amortized cost	5,731	7,522
Greater than one year and less than five years, at amortized cost	223,022	277,025
Greater than five years and less than ten years, at amortized cost	525,205	585,187
Greater than ten years, at amortized cost	358,112	404,484
Amortized Cost	1,112,070	1,274,218
Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	6	1,189
Greater than one year and less than five years, at fair value	72,833	38,407
Greater than five years and less than ten years, at fair value	87,014	96,401
Greater than ten years, at fair value	137,063	118,893
Total maturities, at fair value	296,916	254,890
Amortized cost
Less than one year, at amortized cost	0	2,250
Greater than one year and less than five years, at amortized cost	94,064	46,944
Greater than five years and less than ten years, at amortized cost	88,549	111,538
Greater than ten years, at amortized cost	126,920	126,210
Amortized Cost	309,533	286,942
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	40,185	39,825
Greater than five years and less than ten years, at fair value	111,390	43,744
Greater than ten years, at fair value	438,380	192,898
Total maturities, at fair value	589,955	276,467
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	26,215	29,487
Greater than five years and less than ten years, at amortized cost	95,919	26,036
Greater than ten years, at amortized cost	387,067	167,487
Amortized Cost	509,201	223,010
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	0	303
Greater than five years and less than ten years, at fair value	8,927	9,321
Greater than ten years, at fair value	1,991	2,025
Total maturities, at fair value	10,918	11,649
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	0	428
Greater than five years and less than ten years, at amortized cost	6,969	7,358
Greater than ten years, at amortized cost	2,081	2,146
Amortized Cost	9,050	9,932
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	7,735,996	640,713
Greater than five years and less than ten years, at fair value	401,621	8,524,211
Greater than ten years, at fair value	367	9,458
Total maturities, at fair value	8,137,984	9,174,382
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	7,576,086	645,368
Greater than five years and less than ten years, at amortized cost	394,438	8,550,766
Greater than ten years, at amortized cost	370	9,721
Amortized Cost	7,970,894	9,205,855
Agency MBS - Commercial
Fair value
Less than one year, at fair value	15,995	0
Greater than one year and less than five years, at fair value	0	15,468
Greater than five years and less than ten years, at fair value	29,729	28,205
Greater than ten years, at fair value	3,252,582	2,837,549
Total maturities, at fair value	3,298,306	2,881,222
Amortized cost
Less than one year, at amortized cost	15,958	0
Greater than one year and less than five years, at amortized cost	0	15,543
Greater than five years and less than ten years, at amortized cost	29,089	29,447
Greater than ten years, at amortized cost	3,044,167	2,907,947
Amortized Cost	3,089,214	2,952,937
Agency MBS - Interest-only
Fair value
Less than one year, at fair value	0
Greater than one year and less than five years, at fair value	25,419	48,580
Greater than five years and less than ten years, at fair value	153,614	84,766
Greater than ten years, at fair value	0	0
Total maturities, at fair value	179,033	133,346
Amortized cost
Less than one year, at amortized cost	0
Greater than one year and less than five years, at amortized cost	27,447	53,076
Greater than five years and less than ten years, at amortized cost	155,205	82,950
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 182,652	$ 136,026

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Weighted average maturity (years)	23 years 7 months 6 days	21 years 3 months 18 days
Weighted average amortized loan to value	63.00%	62.90%
Weighted average FICO	717	708
Weighted average loan balance (in thousands)	$ 325	$ 308
Weighted average percentage owner occupied	87.70%	85.70%
Weighted average percentage single family residence	61.10%	63.80%
Weighted average current credit enhancement	1.00%	1.40%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	34.20%	33.80%
FL
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	6.60%	7.70%
NY
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	5.90%	7.40%
TX
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	2.50%
NJ
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states		2.10%

Mortgage-Backed Securities - Ye

Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS	Sep. 30, 2019	Dec. 31, 2018
Origination Year as a Percentage of Outstanding Principal Balance:
2003 (and prior)	1.40%	1.30%
2004	1.50%	1.70%
2005	11.00%	12.90%
2006	50.90%	49.80%
2007	28.20%	31.00%
2008 and later	7.00%	3.30%
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		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Investment Holdings [Line Items]
Net realized gain (loss)	$ 1,596	$ (6,123)	$ 2,673	$ (3,956)
Residential Mortgage-Backed Securities
Investment Holdings [Line Items]
Proceeds from sales	33,437	32,050	1,968,906	64,601
Gross realized gains	24	1,489	27,449	5,872
Gross realized losses	(17)	(7,713)	(26,366)	(9,929)
Net realized gain (loss)	$ 7	$ (6,224)	$ 1,083	$ (4,057)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Detail) - USD ($) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 12,500	$ 12,200
Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
90 and over days delinquent	577	606
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Purchases	1,500	415
Retained balance	124	40
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Real estate acquired through foreclosure	$ 23	$ 17

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	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 12,572,581	$ 13,678,263
Purchases	3,002,897	1,671,330
Principal paydowns	(1,240,505)	(1,859,155)
Sales and settlements	(1,467,110)	(807,364)
Net periodic accretion (amortization)	(64,664)	(83,393)
Realized gains (losses) on sales and settlements	1,589	101
Change in fair value	296,940	(27,201)
Balance, end of period	$ 13,101,728	$ 12,572,581

Loans Held for Investment - Yea

Loans Held for Investment - Year Originated (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans	Sep. 30, 2019	Dec. 31, 2018
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	7.10%	7.30%
2003	6.20%	6.60%
2004	13.20%	13.60%
2005	19.20%	19.50%
2006	23.00%	22.70%
2007	20.30%	19.50%
2008	6.20%	6.20%
2009	1.10%	1.00%
2010 and later	3.70%	3.60%
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	Sep. 30, 2019USD ($)loan	Dec. 31, 2018USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	136,969	140,345
Weighted average maturity (years)	18 years 9 months 18 days	18 years 7 months 6 days
Weighted average loan to value	87.20%	87.50%
Weighted average FICO	630	629
Weighted average loan balance (in thousands) | $	$ 92	$ 89
Weighted average percentage owner occupied	89.20%	90.10%
Weighted average percentage single family residence	85.40%	86.30%
CA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	10.90%	9.00%
FL
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	7.40%	7.30%
OH
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.50%	5.90%
NY
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	6.60%	5.70%
PA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.40%	5.60%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid Principal/Notional	$ 12,650,790	$ 12,432,582
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 2,012,371	$ 2,082,716
% of Unpaid Principal Balance	15.90%	16.80%
Bankruptcy | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 289,187	$ 266,034
% of Unpaid Principal Balance	2.30%	2.10%
Foreclosure | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 301,664	$ 292,307
% of Unpaid Principal Balance	2.40%	2.40%
REO | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 59,669	$ 47,055
% of Unpaid Principal Balance	0.50%	0.40%
30 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 847,165	$ 855,423
% of Unpaid Principal Balance	6.70%	6.90%
60 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 254,827	$ 278,953
% of Unpaid Principal Balance	2.00%	2.20%
90 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 259,859	$ 342,944
% of Unpaid Principal Balance	2.10%	2.80%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) - Investments with Difference Between Model Price and Third-Party Price $ in Millions	Sep. 30, 2019USD ($)loan	Dec. 31, 2018USD ($)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	7	19
Excess (deficit) of third party prices over internally developed price	$ 9	$ (4)
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	45	(3)
Internal Assessment | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	103	127
Internal Assessment | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 1,890	$ 489
Number of loans | loan	4	3
Third Party Assessment | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 94	$ 123
Third Party Assessment | 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	$ 1,940	$ 486

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		9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2019	Dec. 31, 2018
Assets:
Loans held for investment, Fair value	$ 13,101,728	$ 12,572,581	$ 13,101,728	$ 12,572,581
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,800,786	8,455,376	7,800,786	8,455,376
Non-agency RMBS | Senior
Assets:
Unpaid Principal/ Notional	0		0
Fair Value	0		0
Gain (Loss) on Change in Fair Value	(620)		0
Non-agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	471,602		471,602
Fair Value	358,716	12,014	358,716	12,014
Gain (Loss) on Change in Fair Value	10,643	404	17,742	(145)
Non-agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	7,795,886	5,667,198	7,795,886	5,667,198
Fair Value	296,916	254,890	296,916	254,890
Gain (Loss) on Change in Fair Value	(16,280)	22,924	19,436	20,095
Non-agency RMBS | Subordinated, interest-only
Assets:
Unpaid Principal/ Notional	195,807	221,549	195,807	221,549
Fair Value	10,918	11,649	10,918	11,649
Gain (Loss) on Change in Fair Value	(726)	(270)	150	1,261
Agency MBS | Residential Pass-through
Assets:
Unpaid Principal/ Notional	7,224,907	7,573,835	7,224,907	7,573,835
Fair Value	7,541,881	7,739,382	7,541,881	7,739,382
Gain (Loss) on Change in Fair Value	26,052	78,203	133,649	31,185
Agency MBS | Commercial Pass-through
Assets:
Unpaid Principal/ Notional	1,758,796	1,607,626	1,758,796	1,607,626
Fair Value	1,932,748	1,595,681	1,932,748	1,595,681
Gain (Loss) on Change in Fair Value	58,663	15,019	184,111	(35,002)
Agency MBS | Interest-only
Assets:
Unpaid Principal/ Notional	3,206,236	3,028,572	3,206,236	3,028,572
Fair Value	179,033	133,346	179,033	133,346
Gain (Loss) on Change in Fair Value	(1,055)	1,441	(939)	4,230
Loans held for investment
Assets:
Gain (Loss) on Change in Fair Value	70,556	(44,253)	296,939	(27,201)
Loans held for investment, Unpaid Principal/Notional	12,650,790	12,432,582	12,650,790	12,432,582
Loans held for investment, Fair value	13,101,728	12,572,581	13,101,728	12,572,581
Securitized debt
Assets:
Gain (Loss) on Change in Fair Value	(16,408)	11,368	(128,702)	52,209
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	7,791,509	8,561,319	7,791,509	8,561,319
Securitized debt at fair value, collateralized by loans held for investment, Fair value	$ 7,800,786	$ 8,455,376	$ 7,800,786	$ 8,455,376

Fair Value Measurements - Level

Fair Value Measurements - Level of Fair Value (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Assets:
Non-Agency RMBS, at fair value	$ 2,649,834	$ 2,486,130
Agency MBS, at fair value	11,615,323	12,188,950
Loans held for investment, at fair value	13,101,728	12,572,581
Net Amounts Offset in the Consolidated Statements of Financial Position	5,228	37,468
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	7,800,786	8,455,376
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value	2,649,834	2,486,130
Agency MBS, at fair value	11,615,323	12,188,950
Loans held for investment, at fair value	13,101,728	12,572,581
Counterparty and Cash Collateral, netting	0	(51,653)
Net Amounts Offset in the Consolidated Statements of Financial Position	5,228	37,468
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	7,800,786	8,455,376
Counterparty and Cash Collateral, netting	(289,772)	(183,165)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
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	5,173	0
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	0	13,375
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value	0	0
Agency MBS, at fair value	11,615,323	12,188,950
Loans held for investment, at fair value	0	0
Derivatives	55	89,121
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	289,772	169,790
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	2,649,834	2,486,130
Agency MBS, at fair value	0	0
Loans held for investment, at fair value	13,101,728	12,572,581
Derivatives	0	0
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	7,800,786	8,455,376
Derivatives	$ 0	$ 0

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2019	Dec. 31, 2018
Securitized Debt | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Gains (losses) included in net income
Other than temporary credit impairment losses	$ 0	$ 0
Realized gains (losses) on sales and settlements	0	(26,375)
Net unrealized gains (losses) included in income	128,702	(52,209)
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3	8,455,376	9,388,657
Securitized Debt, Transfers in to Level 3 assets	0	0
Securitized Debt, Transfers out of Level 3 assets	0	0
Securitized Debt, Purchases of assets/ issuance of debt	374,600	1,769,539
Securitized Debt, Principal payments	(1,138,025)	(1,778,625)
Securitized Debt, Sales and Settlements	0	(834,414)
Securitized Debt, Net accretion (amortization)	(19,867)	(11,197)
Securitized Debt, Gains (losses) included in other comprehensive income	0	0
Securitized Debt, Ending balance, Level 3	7,800,786	8,455,376
Non-Agency RMBS
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	2,486,130	2,851,316
Transfers in to Level 3	0	0
Transfers out of Level 3	0	0
Purchases of assets/ issuance of debt	425,632	253,952
Principal payments	(304,487)	(521,109)
Sales and settlements	(38,605)	(100,786)
Net accretion (amortization)	69,151	101,088
Gains (losses) included in net income
Other than temporary credit impairment losses	(4,853)	(21,791)
Realized gains (losses) on sales and settlements	(1,088)	201
Net unrealized gains (losses) included in income	37,328	21,208
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period	(19,374)	(97,949)
Ending balance Level 3	2,649,834	2,486,130
Loans held for investment | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	12,572,581	13,678,263
Transfers in to Level 3	0	0
Transfers out of Level 3	0	0
Purchases of assets/ issuance of debt	3,002,897	1,671,330
Principal payments	(1,240,505)	(1,859,155)
Sales and settlements	(1,467,110)	(807,364)
Net accretion (amortization)	(64,664)	(83,393)
Gains (losses) included in net income
Other than temporary credit impairment losses	0	0
Realized gains (losses) on sales and settlements	1,589	101
Net unrealized gains (losses) included in income	296,940	(27,201)
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period	0	0
Ending balance Level 3	$ 13,101,728	$ 12,572,581

Fair Value Measurements - Uno_2

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3	Sep. 30, 2019	Dec. 31, 2018
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.03	0.03
Discount Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.08
Discount Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.03	0.04
Discount Rate | Minimum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.09	0.09
Discount Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.09	0.08
Discount Rate | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	1	1
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.20
Discount Rate | Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	1	1
Discount Rate | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.037	0.045
Discount Rate | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.127	0.111
Discount Rate | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.053	0.058
Discount Rate | Weighted Average | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.128	0.120
CPR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.02	0.01
CPR | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.04	0.03
CPR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.03	0.01
CPR | Minimum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.04	0.04
CPR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.18	0.25
CPR | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.45	0.32
CPR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.19
CPR | Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.25
CPR | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.067	0.067
CPR | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.145	0.109
CPR | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.099	0.075
CPR | Weighted Average | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.094	0.128
CDR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Minimum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.17	0.60
CDR | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.58	0.60
CDR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.58	0.34
CDR | Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.05	0.24
CDR | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.043	0.061
CDR | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.032	0.045
CDR | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.019	0.029
CDR | Weighted Average | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.023	0.056
Loss Severity | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.35	0.35
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.30
Loss Severity | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.10
Loss Severity | Minimum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.35
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.95	0.95
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.95	0.95
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.63	0.70
Loss Severity | Maximum | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.52	0.68
Loss Severity | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.480	0.480
Loss Severity | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.415	0.445
Loss Severity | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.363	0.425
Loss Severity | Weighted Average | Non-Agency RMBS - Subordinated interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.424	0.412

Fair Value Measurements - Uno_3

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Loans held for investment - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Level 3	Sep. 30, 2019	Dec. 31, 2018
Discount Rate | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Discount Rate | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.10
Discount Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.033	0.043
CPR | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
CPR | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.15	0.18
CPR | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.091	0.093
CDR | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
CDR | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.26	0.23
CDR | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.014	0.014
Loss Severity | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.30
Loss Severity | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.75	0.65
Loss Severity | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.607	0.587

Fair Value Measurements - Uno_4

Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Detail) - Loans Held for Investment at Fair Value - Level 3	Sep. 30, 2019	Dec. 31, 2018
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.70%	6.90%
FICO	627	626
Loan-to-value (LTV)	88.00%	88.00%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	86.00%	86.00%
Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	3.00%	4.00%
Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	11.00%	10.00%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	90.00%	90.00%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	1.00%	1.00%
Secondary
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	9.00%	9.00%
Base Rate
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	4.30%	5.20%
FICO	636	638
Loan-to-value (LTV)	88.00%	88.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 139,163	$ 159,955
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	15,002,106	14,030,465
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	139,163	159,955
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	15,028,889	14,085,164
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 122,258	$ 140,711

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	Sep. 30, 2019	Dec. 31, 2018
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	$ 15,002,106	$ 14,030,465
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	9,964,848	10,193,272
Average balance of Repurchase agreements secured by:	$ 10,354,580	$ 6,085,643
Average borrowing rate of Repurchase agreements secured by:	2.28%	2.55%
Average remaining maturity of Repurchase agreements secured by:	16 days	30 days
Average original maturity of Repurchase agreements secured by:	38 days	88 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 10,498,244	$ 10,832,018
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	5,037,258	3,837,193
Average balance of Repurchase agreements secured by:	$ 4,193,970	$ 3,730,527
Average borrowing rate of Repurchase agreements secured by:	3.50%	4.04%
Average remaining maturity of Repurchase agreements secured by:	295 days	231 days
Average original maturity of Repurchase agreements secured by:	317 days	259 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 6,465,585	$ 4,998,990
Repurchase Agreements | Residential Mortgage-Backed Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	15,002,106	14,030,465
Average balance of Repurchase agreements secured by:	14,548,550	9,816,170
MBS pledged as collateral at fair value on Repurchase agreements:	$ 16,963,829	$ 15,831,008

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 15,002,106	$ 14,030,465
Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	35,252	0
1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	10,204,493	6,326,232
30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	1,236,687	4,620,656
60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	619,035	1,504,695
90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	120,465	169,244
Greater than or equal to 120 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 2,786,174	$ 1,409,638

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - USD ($)	1 Months Ended	3 Months Ended		6 Months Ended	9 Months Ended		12 Months Ended
	Oct. 31, 2019	Sep. 30, 2019	Sep. 30, 2018	Jun. 30, 2019	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018	Dec. 31, 2019
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt		$ 0	$ 9,263,000		$ (608,000)	$ 19,320,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized debt
Debt Instrument [Line Items]
Weighted average cost of financing							4.60%
Securitized Loans | Non-agency MBS
Debt Instrument [Line Items]
Principal balance		2,900,000			2,900,000
Acquired securitized debt collateral outstanding principal balance			0			0
Payment to acquire securitize debt				$ 3,500,000
Gains (losses) on extinguishment of debt				$ (608,000)	(608,000)
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS
Debt Instrument [Line Items]
Principal balance		$ 157,000,000			$ 157,000,000		$ 175,000,000
Weighted average cost of financing		6.50%			6.50%		6.40%
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized debt
Debt Instrument [Line Items]
Principal balance		$ 7,800,000,000			$ 7,800,000,000		$ 8,600,000,000
Weighted average cost of financing		4.50%			4.50%
Acquired securitized debt collateral outstanding principal balance			277,000,000			580,000,000
Payment to acquire securitize debt			268,000,000			561,000,000
Gains (losses) on extinguishment of debt			$ 9,000,000			$ 19,000,000
Loans Held for Investment at Fair Value
Debt Instrument [Line Items]
Principal balance of debt					$ 1,500,000,000		$ 415,000,000
Subsequent Event | Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized debt
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance	$ 276,000,000
Forecast | Residential Mortgage Loans
Debt Instrument [Line Items]
Commitment to acquire loans								$ 752,000,000

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,531,084	$ 1,608,381
One to Three Years	2,497,564	2,587,635
Three to Five Years	1,759,899	1,949,060
Greater Than Five Years	1,896,946	2,237,259
Total	7,685,493	8,382,335
Securitized Loans | Non-agency MBS
Debt Instrument [Line Items]
Within One Year	17,633	23,602
One to Three Years	22,414	30,803
Three to Five Years	6,208	8,047
Greater Than Five Years	1,493	3,605
Total	$ 47,748	$ 66,057

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands	Sep. 30, 2019USD ($)
Debt Instrument, Redemption [Line Items]
2019	$ 276,174
2020	3,708,949
2021	2,996,962
2022	531,179
2023	111,746
Total	$ 7,625,010

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Non-agency MBS
Variable Interest Entity [Line Items]
Unconsolidated VIEs, aggregate investment	$ 2,000,000	$ 1,500,000
Non-agency MBS | Minimum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	1,000	1,000
Non-agency MBS | Maximum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	195,000	52,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Assets	12,356,439	13,392,951
Liabilities	7,972,942	8,652,158
Variable Interest Entities, Not Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount	$ 1,600,000	$ 1,200,000

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Assets:
Non-Agency RMBS, at fair value	$ 2,649,834	$ 2,486,130
Loans held for investment, at fair value	13,101,728	12,572,581
Accrued interest receivable	125,601	123,442
Other Assets	973,681	252,582
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	139,163	159,955
Securitized debt at fair value, collateralized by loans held for investment	7,800,786	8,455,376
Accrued interest payable	81,232	110,402
Other liabilities	31,380	16,469
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value	611,801	1,017,442
Loans held for investment, at fair value	11,642,447	12,263,265
Accrued interest receivable	67,185	72,389
Other Assets	35,006	39,855
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	139,163	159,955
Securitized debt at fair value, collateralized by loans held for investment	7,800,786	8,455,376
Accrued interest payable	30,117	33,541
Other liabilities	$ 2,876	$ 3,286

Consolidated Securitization V_5

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Variable Interest Entity [Line Items]
Net interest income	$ 141,593	$ 147,044	$ 430,837	$ 440,093
Total other-than-temporary impairment losses	0	(772)	(801)	(1,871)
Portion of loss recognized in other comprehensive income (loss)	0	(6,461)	(4,052)	(15,651)
Net other-than-temporary credit impairment losses	0	(7,233)	(4,853)	(17,522)
Servicing fees	8,881	9,766	27,125	31,044
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Total other-than-temporary impairment losses	0	(665)	(424)	(1,016)
Portion of loss recognized in other comprehensive income (loss)	0	(6,518)	(3,831)	(15,079)
Net other-than-temporary credit impairment losses	0	(7,183)	(4,255)	(16,095)
Servicing fees	8,444	9,541	26,046	29,674
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	192,622	223,948	600,436	688,720
Interest expense, Non-recourse liabilities of VIEs	82,234	99,622	260,790	298,744
Net interest income	$ 110,388	$ 124,326	$ 339,646	$ 389,976

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 5,035,400	$ 11,579,400
Derivative Assets, Net Estimated Fair Value/Carrying Value	5,228	37,468
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	4,390,700	10,906,700
Derivative Assets, Net Estimated Fair Value/Carrying Value	0	35,798
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	25,000	53,000
Derivative Assets, Net Estimated Fair Value/Carrying Value	55	1,670
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Treasury Futures
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	619,700	619,700
Derivative Assets, Net Estimated Fair Value/Carrying Value	5,173	0
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	$ 0	$ 0

Derivative Instruments - Effe_2

Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($)	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 31,620,000	$ 71,197,000	$ (189,865,000)	$ 178,511,000
Net gains (losses) on derivatives	(136,672,000)	74,078,000	(578,388,000)	193,084,000
Realized gains (losses) on terminations of interest rate swaps	(148,114,000)	0	(351,372,000)	0
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	17,281,000	67,422,000	(207,432,000)	173,550,000
Net realized gains (losses) on derivatives	(149,078,000)	242,000	(342,951,000)	(1,125,000)
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	14,420,000	3,285,000	18,548,000	2,682,000
Net realized gains (losses) on derivatives	(19,138,000)	2,799,000	(45,261,000)	17,014,000
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	(81,000)	490,000	(981,000)	2,279,000
Net realized gains (losses) on derivatives	$ (76,000)	$ (160,000)	$ (311,000)	$ (1,316,000)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($)	Sep. 30, 2019	Dec. 31, 2018	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Derivative Instruments, Gain (Loss) [Line Items]
Realized gains (losses) on terminations of interest rate swaps			$ (148,114,000)	$ 0	$ (351,372,000)	$ 0
The weighted average pay rate on the Company's interest rate swaps	2.60%	2.58%	2.60%		2.60%
The weighted average receive rate on the Company's interest rate swaps	2.22%	2.69%	2.22%		2.22%
The weighted average maturity on the Company's interest rate swaps	6 years	7 years
Fair value of credit risk derivative instruments in a net asset (liability) position	$ (311,000,000)		$ (311,000,000)		$ (311,000,000)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, notional amount of derivative terminated			$ 3,300,000,000		$ 6,200,000,000

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	1 Months Ended	3 Months Ended		9 Months Ended		12 Months Ended
	Jan. 31, 2019	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Class of Stock [Line Items]
Preferred stock, par value (usd per share)		$ 0.01		$ 0.01		$ 0.01
Issuance of preferred stock				$ 193,368	$ 251,536
Dividends on preferred stock		$ 18,438	$ 9,960	$ 54,267	28,760
Series D Preferred Stock
Class of Stock [Line Items]
Shares issued (shares)	8,000,000
Preferred stock, dividend rate (percent)	8.00%			8.00%		800.00%
Preferred stock, par value (usd per share)	$ 0.01
Preferred stock, offering price per share (in USD per share)	$ 25
Issuance of preferred stock	$ 193,000
Preferred stock, redemption price per share (in USD per share)	$ 25
Preferred stock, liquidation preference per share (in USD per share)	25
Fixed annual rate (in USD per share)	$ 2
Dividends on preferred stock		$ 4,000		$ 11,000
Preferred stock dividends declared (in USD per share)		$ 0.50		$ 1.37
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (percent)				8.00%		8.00%
Dividends on preferred stock		$ 3,000	$ 3,000	$ 9,000	$ 9,000
Preferred stock dividends declared (in USD per share)		$ 0.50	$ 0.50	$ 1.50	$ 1.50
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (percent)				8.00%		8.00%
Dividends on preferred stock		$ 7,000	$ 7,000	$ 20,000	$ 20,000
Preferred stock dividends declared (in USD per share)		$ 0.50	$ 0.50	$ 1.50	$ 1.50
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (percent)				7.75%		7.75%
Dividends on preferred stock		$ 5,000		$ 15,000
Preferred stock dividends declared (in USD per share)		$ 0.48		$ 1.45
LIBOR | Series D Preferred Stock
Class of Stock [Line Items]
Preferred stock, basis spread on variable rate	5.379%

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Detail) - USD ($) $ / shares in Units, shares in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Feb. 28, 2018
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			$ 0	$ 14,834,000
Remaining authorized repurchase amount	$ 85,000,000		85,000,000
Common dividends declared	$ 94,494,000	$ 93,946,000	$ 282,698,000	$ 281,778,000
Dividends declared per share of common stock (usd per share)	$ 0.50	$ 0.50	$ 1.50	$ 1.50
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 94,000,000	$ 94,000,000	$ 283,000,000	$ 282,000,000

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018
Numerator:
Net income available to common shareholders	$ 87,888	$ 147,361	$ 228,966	$ 485,675
Effect of dilutive securities:	0	0	0	0
Dilutive net income available to common shareholders	$ 87,888	$ 147,361	$ 228,966	$ 485,675
Denominator:
Weighted average basic shares (shares)	187,158,167	187,006,777	187,141,377	187,182,932
Effect of dilutive securities (shares)	1,282,004	578,181	1,189,732	522,899
Weighted average dilutive shares (shares)	188,440,171	187,584,958	188,331,109	187,705,831
Net income per average share attributable to common stockholders - Basic (usd per share)	$ 0.47	$ 0.79	$ 1.22	$ 2.59
Net income per average share attributable to common stockholders - Diluted (usd per share)	$ 0.47	$ 0.79	$ 1.22	$ 2.59

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2019	Sep. 30, 2018
AOCI [Roll Forward]
Beginning Balance	$ 3,703,829	$ 3,634,977
OCI before reclassifications	115,198	(181,885)
Amounts reclassified from AOCI	27,040	12,919
Net current period OCI	142,238	(168,966)
Ending Balance	3,995,044	3,913,181
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	626,832	796,902
OCI before reclassifications	115,198	(181,885)
Amounts reclassified from AOCI	27,040	12,919
Net current period OCI	142,238	(168,966)
Ending Balance	769,070	627,936
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	626,832	796,902
Ending Balance	$ 769,070	$ 627,936

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 1,596	$ (6,123)	$ 2,673	$ (3,956)
Net other-than-temporary credit impairment losses			(4,853)	(17,522)
Income before income taxes	106,327	157,328	283,389	514,511
Income taxes	(1)	(7)	(156)	(76)	$ 0
Net income (loss)	$ 106,326	$ 157,321	283,233	514,435
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			(22,187)	4,603
Net other-than-temporary credit impairment losses			(4,853)	(17,522)
Income before income taxes			(27,040)	(12,919)
Income taxes			0	0
Net income (loss)			$ (27,040)	$ (12,919)

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2019USD ($)shares	Sep. 30, 2018USD ($)shares	Sep. 30, 2019USD ($)installmentshares	Sep. 30, 2018USD ($)	Dec. 31, 2018
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common dividends declared	$ 3,000	$ 2,000	$ 11,000	$ 5,000
401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Expense related to qualified plan	$ 88	$ 101	$ 356	$ 352
Minimum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage					0.00%
Maximum
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage					150.00%
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]
Vesting period			3 years
Shares available for future grants (shares) | shares	4,000		4,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Granted shares (shares) | shares		241	447
Grant date fair value		$ 4,000	$ 8,000
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%
Restricted Stock Units (RSUs) | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period			3 years
Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Granted shares (shares) | shares	152	133
Grant date fair value	$ 3,000	$ 2,000
Performance period	3 years				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	200.00%

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2019	Sep. 30, 2018	Sep. 30, 2019	Sep. 30, 2018	Dec. 31, 2018
Income Tax Disclosure [Abstract]
Income tax expense	$ 1	$ 7	$ 156	$ 76	$ 0

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands	Sep. 30, 2019	Dec. 31, 2018
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (15,002,106)	$ (14,030,465)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(15,002,106)	(14,030,465)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	16,963,829	15,831,008
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	(450)	0
Net Amount	1,961,273	1,800,543
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	5,228	37,468
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Liabilities
Gross Amounts of Recognized Assets (Liabilities)	(15,286,650)	(14,124,509)
Gross Amounts Offset in the Consolidated Statements of Financial Position	289,772	131,512
Net Amounts Offset in the Consolidated Statements of Financial Position	(14,996,878)	(13,992,997)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	16,963,829	15,831,008
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	148,751	201,332
Net Amount	2,115,702	2,039,343
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)	0	87,451
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	(51,653)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	35,798
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	148,490	198,112
Net Amount	148,490	233,910
Derivative Liability
Derivatives	(289,772)	(169,790)
Gross Amounts Offset in the Consolidated Statements of Financial Position	289,772	169,790
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)	5,173	0
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	5,173	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	711	3,220
Net Amount	5,884	3,220
Derivative Liability
Derivatives	0	(13,375)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	13,375
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
Swaptions
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)	55	1,670
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	55	1,670
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	55	1,670
Derivative Liability
Derivatives	0	0
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	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	0	0
Net Amount	$ 0	$ 0

Commitments and Contingencies -

Commitments and Contingencies - Narrative (Details) - USD ($) $ in Thousands	Sep. 30, 2019	Sep. 30, 2018
Loss Contingencies [Line Items]
Investment company, committed capital, funded	$ 61,000
Anacostia LLC | Kah Capital Management LLC (KAH Capital)
Loss Contingencies [Line Items]
Ownership percentage acquired		24.90%
Payment to acquire investment		$ 25
Kah Capital Management LLC (KAH Capital) | Hains Point
Loss Contingencies [Line Items]
Capital commitment		$ 150,000
Investment Advisory Services | Kah Capital Management LLC (KAH Capital)
Loss Contingencies [Line Items]
Revenue	$ 6,500

Commitments and Contingencies_2

Commitments and Contingencies - Revenue, Period of Recognition (Details)	Sep. 30, 2019
Investment Advisory Services | Kah Capital Management LLC (KAH Capital) | Revenue, Remaining Performance Obligation, Expected Timing of Satisfaction, Start Date [Axis]: 2019-07-01
Revenue, Remaining Performance Obligation, Expected Timing of Satisfaction [Line Items]
Revenue, remaining performance obligation, expected timing of satisfaction, period	3 years

Subsequent Events (Details)

Subsequent Events (Details) - Securitized debt - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans - USD ($) $ in Millions	1 Months Ended	3 Months Ended	9 Months Ended
	Oct. 31, 2019	Sep. 30, 2018	Sep. 30, 2018
Subsequent Event [Line Items]
Acquired securitized debt collateral outstanding principal balance		$ 277	$ 580
Subsequent Event
Subsequent Event [Line Items]
Acquired securitized debt collateral outstanding principal balance	$ 276