Chimera Investment (CIM) 10-K 24 Feb 20 2019 FY Annual report Financial data

COVER PAGE

COVER PAGE - USD ($)	12 Months Ended
	Dec. 31, 2019	Jan. 31, 2020	Jun. 28, 2019
Entity Information [Line Items]
Document Type	10-K
Document Annual Report	true
Document Period End Date	Dec. 31, 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 Well-known Seasoned Issuer	Yes
Entity Voluntary Filers	No
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 Public Float			$ 3,476,633,954
Entity Common Stock, Shares Outstanding (in shares)		187,226,081
Documents Incorporated by Reference	Portions of the registrant’s definitive Proxy Statement for the 2020 Annual Meeting of Stockholders, which will be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report, are incorporated by reference into Part III.
Entity Central Index Key	0001409493
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	FY
Amendment Flag	false
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		Dec. 31, 2019	Dec. 31, 2018
Cash and cash equivalents		$ 109,878	$ 47,486
Non-Agency RMBS, at fair value		2,614,408	2,486,130
Agency RMBS, at fair value		6,490,293	9,240,057
Agency CMBS, at fair value		2,850,717	2,948,893
Loans held for investment, at fair value		14,292,815	12,572,581
Receivable for investments sold		446,225	0
Accrued interest receivable		116,423	123,442
Other assets		194,301	252,582
Derivatives, at fair value, net		3,611	37,468
Total assets	[1]	27,118,671	27,708,639
Liabilities:
Repurchase agreements ($15.4 billion and $15.8 billion pledged as collateral, respectively)		13,427,545	14,030,465
Securitized debt, collateralized by Non-Agency RMBS ($598 million and $1.0 billion pledged as collateral, respectively)		133,557	159,955
Securitized debt at fair value, collateralized by loans held for investment ($12.1 billion and $12.3 billion pledged as collateral, respectively)		8,179,608	8,455,376
Payable for investments purchased		1,256,337	1,136,157
Accrued interest payable		63,600	110,402
Dividends payable		98,568	95,986
Accounts payable and other liabilities		6,163	16,469
Total liabilities	[1]	23,165,378	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, 187,226,081 and 187,052,398 shares issued and outstanding, respectively		1,873	1,871
Additional paid-in-capital		4,275,963	4,072,093
Accumulated other comprehensive income		708,336	626,832
Cumulative earnings		3,793,040	3,379,489
Cumulative distributions to stockholders		(4,826,291)	(4,376,748)
Total stockholders' equity		3,953,293	3,703,829
Total liabilities and stockholders' equity		27,118,671	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 December 31, 2019 , and December 31, 2018 , total assets of consolidated VIEs were $12,544,744 and $13,392,951 , respectively, and total liabilities of consolidated VIEs were $8,064,235 and $8,652,158

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)	12 Months Ended
	Dec. 31, 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)	187,226,081	187,052,398
Common stock, shares outstanding (shares)	187,226,081	187,052,398
Repurchase Agreements
Securities pledged as collateral	$ 15,399,244,000	$ 15,831,007,000
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral	15,400,000,000	15,800,000,000
Securitized Loans | Non-Agency RMBS
Securities pledged as collateral	598,000,000	1,000,000,000
Securitized Loans | Loans Held for Investment at Fair Value
Securities pledged as collateral	$ 12,100,000,000	$ 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%	8.00%
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	12,544,744,000	13,392,951,000
Liabilities	$ 8,064,235,000	$ 8,652,158,000

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($)		12 Months Ended
		Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Net interest income:
Interest income	[1]	$ 1,361,110,000	$ 1,273,316,000	$ 1,138,758,000
Interest expense	[2]	758,814,000	679,108,000	532,748,000
Net interest income		602,296,000	594,208,000	606,010,000
Other-than-temporary impairments:
Total other-than-temporary impairment losses		(801,000)	(2,556,000)	(5,169,000)
Portion of loss recognized in other comprehensive income		(4,052,000)	(19,235,000)	(56,687,000)
Net other-than-temporary credit impairment losses		(4,853,000)	(21,791,000)	(61,856,000)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives		(106,209,000)	(141,162,000)	47,976,000
Realized gains (losses) on terminations of interest rate swaps		(359,726,000)	0	(16,143,000)
Net realized gains (losses) on derivatives		(34,423,000)	18,369,000	(25,645,000)
Net gains (losses) on derivatives		(500,358,000)	(122,793,000)	6,188,000
Net unrealized gains (losses) on financial instruments at fair value		409,634,000	46,632,000	111,410,000
Net realized gains (losses) on sales of investments		20,360,000	(2,743,000)	9,123,000
Gains (losses) on extinguishment of debt		9,318,000	26,376,000	(35,274,000)
Total other gains (losses)		(61,046,000)	(52,528,000)	91,447,000
Other expenses:
Compensation and benefits		48,880,000	35,114,000	30,212,000
General and administrative expenses		26,555,000	22,664,000	17,650,000
Servicing fees		36,290,000	40,773,000	41,690,000
Transaction expenses		10,928,000	9,610,000	21,273,000
Total other expenses		122,653,000	108,161,000	110,825,000
Income (loss) before income taxes		413,744,000	411,728,000	524,776,000
Income taxes		193,000	91,000	108,000
Net income (loss)		413,551,000	411,637,000	524,668,000
Dividends on preferred stock		72,704,000	43,197,000	33,484,000
Net income (loss) available to common shareholders		$ 340,847,000	$ 368,440,000	$ 491,184,000
Net income (loss) per share available to common shareholders:
Basic (usd per share)		$ 1.82	$ 1.97	$ 2.62
Diluted (usd per share)		$ 1.81	$ 1.96	$ 2.61
Weighted average number of common shares outstanding:
Basic (shares)		187,156,990	187,146,170	187,780,355
Diluted (shares)		188,406,444	187,748,862	188,287,320
[1]	Includes interest income of consolidated VIEs of $780,746 , $904,830 and $914,022 for the years ended December 31, 2019 , 2018 and 2017 , respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $337,387 , $395,255 and $390,858 for the years ended December 31, 2019 , 2018 and 2017 , 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	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Interest income, assets of consolidated VIEs	$ 780,746	$ 904,830	$ 914,022
Interest expense, Non-recourse liabilities of VIEs	$ 337,387	$ 395,255	$ 390,858

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Comprehensive income (loss):
Net income (loss)	$ 413,551	$ 411,637	$ 524,668
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	70,855	(185,570)	24,218
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	4,853	21,791	61,856
Reclassification adjustment for net realized losses (gains) included in net income	5,796	(6,291)	(7,278)
Other comprehensive income (loss)	81,504	(170,070)	78,796
Comprehensive income (loss) before preferred stock dividends	495,055	241,567	603,464
Dividends on preferred stock	72,704	43,197	33,484
Comprehensive income (loss) available to common stock shareholders	$ 422,351	$ 198,370	$ 569,980

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, 2016	$ 3,123,533	$ 1,877	$ 3,508,779	$ 718,106	$ 2,443,184	$ (3,548,471)		$ 58		$ 0		$ 0		$ 0
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	524,668				524,668
Other comprehensive income (loss)	78,796			78,796
Stock based compensation	3,614	1	3,613
Common dividends declared	(376,579)					(376,579)
Preferred dividends declared	(33,484)					(33,484)
Issuance of preferred stock	314,429		314,299							130
Ending 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)	411,637				411,637
Other comprehensive income (loss)	(170,070)			(170,070)
Repurchase of common stock	(14,834)	(8)	(14,826)
Stock based compensation	8,797	1	8,796
Common dividends declared	(375,017)					(375,017)
Preferred dividends declared	(43,197)					(43,197)	$ (12,000)		$ (26,000)		$ (6,000)
Issuance of preferred stock	251,536		251,432									104
Ending 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)	413,551				413,551
Other comprehensive income (loss)	81,504			81,504
Stock based compensation	10,584	2	10,582
Common dividends declared	(376,839)					(376,839)
Preferred dividends declared	(72,704)					(72,704)	$ (12,000)		$ (26,000)		$ (20,000)		$ (15,000)
Issuance of preferred stock	193,368		193,288											80
Ending Balance at Dec. 31, 2019	$ 3,953,293	$ 1,873	$ 4,275,963	$ 708,336	$ 3,793,040	$ (4,826,291)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Cash Flows From Operating Activities:
Net income	$ 413,551	$ 411,637	$ 524,668
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	58,902	28,633	(25,422)
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	(29,423)	(13,124)	7,395
Amortization of swaption premium	747	1,476	6,269
Net unrealized losses (gains) on derivatives	106,209	141,162	(47,976)
Margin (paid) received on derivatives	7,250	(320,899)	31,442
Net unrealized losses (gains) on financial instruments at fair value	(409,634)	(46,632)	(111,410)
Net realized losses (gains) on sales of investments	(20,360)	2,743	(9,123)
Net other-than-temporary credit impairment losses	4,853	21,791	61,856
(Gain) loss on extinguishment of debt	(9,318)	(26,376)	35,274
Equity-based compensation expense	10,584	8,797	3,614
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	6,334	(22,652)	(21,091)
Decrease (increase) in other assets	(20,049)	63,235	18,080
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	(10,306)	(722)	498
Increase (decrease) in accrued interest payable, net	(44,304)	48,515	13,217
Net cash provided by (used in) operating activities	65,036	297,584	487,291
Cash Flows From Investing Activities:
Acquisition of investments in consolidated VIEs	0	0	(398,261)
Net cash provided by (used in) investing activities	1,236,860	(6,026,067)	(4,331,009)
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	133,892,203	71,279,975	44,120,574
Payments on repurchase agreements	(134,495,789)	(64,499,287)	(42,471,025)
Net proceeds from preferred stock offerings	193,368	251,536	314,429
Payments on repurchase of common stock	0	(14,834)	0
Proceeds from securitized debt borrowings, collateralized by loans held for investment	1,487,286	1,769,539	5,152,469
Payments on securitized debt borrowings, collateralized by loans held for investment	(1,845,272)	(2,613,038)	(2,844,132)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(24,340)	(43,898)	(131,039)
Common dividends paid	(374,256)	(374,396)	(375,771)
Preferred dividends paid	(72,704)	(43,197)	(35,932)
Net cash provided by (used in) financing activities	(1,239,504)	5,712,400	3,729,573
Net increase (decrease) in cash and cash equivalents	62,392	(16,083)	(114,145)
Cash and cash equivalents at beginning of period	47,486	63,569	177,714
Cash and cash equivalents at end of period	109,878	47,486	63,569
Supplemental disclosure of cash flow information:
Interest received	1,427,030	1,279,297	1,092,245
Interest paid	835,041	643,717	512,133
Non-cash investing activities:
Payable for investments purchased	1,256,337	1,136,157	567,440
Receivable for investments sold	446,225	0	0
Net change in unrealized gain (loss) on available-for sale securities	81,504	(170,070)	78,796
Retained beneficial interests	141,484	39,844	0
Acquisition of securities in Consolidated VIEs
Securitized loans held for investment, at fair value	0	0	419,222
Securitized debt at fair value	0	0	(20,961)
Non-cash financing activities:
Dividends declared, not yet paid	98,568	95,986	95,365
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(2,929,500)	(7,917,661)	(1,326,178)
Sales	2,815,394	16,184	743,937
Principal payments	2,237,980	524,989	423,506
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(373,697)	(133,247)	(15,262)
Sales	38,604	19,928	5,045
Principal payments	415,518	521,109	568,339
Loans held for investment
Cash Flows From Investing Activities:
Sales	1,681,227	754,806	0
Principal payments	1,717,745	1,859,155	1,788,408
Purchases	$ (4,366,411)	$ (1,671,330)	$ (6,120,543)

Organization

Organization	12 Months Ended
	Dec. 31, 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	12 Months Ended
	Dec. 31, 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. Investment securities transactions are recorded on the trade date. 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 using proceeds 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) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2019 and December 31, 2018. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. Interest income on IO MBS strips is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium is calculated in accordance with the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 325-40, Beneficial Interests in Securitized Financial Assets, or ASC 325-40. The Company accounts for IO MBS strips at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations. The Company classifies its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on certain MBS in Other comprehensive income, or OCI, in the Consolidated Statements of Operations. For IO MBS strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs, or ASC 310-20, is applied to the recognition of interest income for the following securities: • Certain Agency MBS • Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): 1. Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available; 2. The Company expects to collect all of the security's contractual cash flows; and 3. The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a quarterly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. The Agency MBS, for which we have elected fair value option, we apply FASB ASC 325-40. For these securities accounted for under ASC 325-40, any positive or adverse change in cash flows results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, or ASC 310-30, or ASC 325-40 (referred to hereafter as “Non-Agency RMBS Not of High Credit Quality”). Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date: 1. There is evidence of deterioration in credit quality of the security from its inception; and 2. It is probable that the Company will be unable to collect all contractual cash flows of the security. Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date: 1. The security is not of high credit quality (defined as rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment, or OTTI, results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Under ASC 310-30, adverse changes in cash flows expected to be collected for Non-Agency RMBS, in an unrealized loss position, generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to certain MBS When the fair value of an available-for-sale MBS is less than its amortized cost, the security is considered impaired. On a quarterly basis, the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation, or FICO, scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, current and forecast interest rates, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings. (e) Loans Held for Investment The Company's Loans held for investments is comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned 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 December 31, 2019 and 2018 was $25 million and $17 million , respectively, and were recorded in Other Assets on the Company’s Consolidated Statements of Financial Condition. (f) Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings, which is recourse to the Company. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Fair Value 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. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 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. All Agency MBS investments owned prior to July 1, 2017 will continue to be carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all 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 has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings was $423 million and $12 million as of December 31, 2019 and 2018 , respectively. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $289 million and $267 million as of December 31, 2019 and 2018 . Included in Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $128 million and $66 million as of December 31, 2019 and 2018 . Included in Agency CMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $49 million and $68 million as of December 31, 2019 and 2018 . Interest income reported on all IO MBS securities was $27 million and $25 million for the years ended December 31, 2019 and 2018 , respectively. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (i) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair values of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details. (j) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. (k) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief pro

Mortgage-Backed Securities

Mortgage-Backed Securities	12 Months Ended
	Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed Securities	Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, subordinated, or Interest-only. The Company also invests in Agency MBS which it classifies as Agency RMBS to include residential and residential interest-only MBS and Agency CMBS to include commercial and commercial interest-only MBS. Senior interests in Non-Agency RMBS are generally 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 December 31, 2019 and 2018 . December 31, 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 $ 2,024,564 $ 2,038 $ (953,916 ) $ 1,072,686 $ 1,700,911 $ 628,518 $ (293 ) $ 628,225 Subordinated 876,592 9,915 (332,913 ) 553,594 624,598 76,272 (5,268 ) 71,004 Interest-only 7,458,653 301,170 — 301,170 288,899 51,481 (63,752 ) (12,271 ) Agency RMBS Pass-through 6,080,547 131,023 — 6,211,570 6,362,626 152,271 (1,215 ) 151,056 Interest-only 1,539,941 139,536 — 139,536 127,667 220 (12,089 ) (11,869 ) Agency CMBS Project loans 2,621,938 52,681 (4,961 ) 2,669,658 2,801,692 132,700 (666 ) 132,034 Interest-only 1,817,246 51,140 — 51,140 49,025 586 (2,701 ) (2,115 ) Total $ 22,419,481 $ 687,503 $ (1,291,790 ) $ 10,999,354 $ 11,955,418 $ 1,042,048 $ (85,984 ) $ 956,064 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 Subordinated 394,037 8,642 (179,669 ) 223,010 276,467 53,702 (245 ) 53,457 Interest-only 5,888,747 296,874 — 296,874 266,539 33,123 (63,458 ) (30,335 ) Agency RMBS Pass-through 8,984,249 221,606 — 9,205,855 9,174,382 51,986 (83,459 ) (31,473 ) Interest-only 578,284 64,185 — 64,185 65,675 1,490 — 1,490 Agency CMBS Project loans 2,895,679 61,727 (4,469 ) 2,952,937 2,881,222 6,303 (78,018 ) (71,715 ) Interest-only 2,450,288 71,841 — 71,841 67,671 496 (4,666 ) (4,170 ) 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 Year Ended December 31, 2019 December 31, 2018 (dollars in thousands) Balance at beginning of period $ 1,248,309 $ 1,303,589 Purchases — 43,866 Yield income earned (228,208 ) (231,205 ) Reclassification (to) from non-accretable difference 59,957 157,117 Sales and deconsolidation (26,378 ) (25,058 ) Balance at end of period $ 1,053,680 $ 1,248,309 The table below presents the outstanding principal balance and related amortized cost at December 31, 2019 and 2018 , as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to ASC 310-30 guidance. For the Year Ended December 31, 2019 December 31, 2018 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,325,154 $ 2,673,350 End of period $ 1,964,143 $ 2,325,154 Amortized cost: Beginning of period $ 1,158,291 $ 1,381,839 End of period $ 965,546 $ 1,158,291 The following tables present the gross unrealized losses and estimated fair value of the Company’s Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and 2018 . All available for sale securities in an unrealized loss position have been evaluated by the Company for OTTI. December 31, 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 $ — $ — — $ 31,635 $ (293 ) 1 $ 31,635 $ (293 ) 1 Subordinated 69,178 (5,064 ) 9 1,836 (204 ) 11 71,014 (5,268 ) 20 Interest-only 50,376 (22,737 ) 46 64,129 (41,015 ) 66 114,505 (63,752 ) 112 Agency RMBS Pass-through 11,398 (605 ) 4 67,552 (610 ) 5 78,950 (1,215 ) 9 Interest-only 121,228 (12,089 ) 22 — — — 121,228 (12,089 ) 22 Agency CMBS Project loans 41,971 (277 ) 3 44,896 (389 ) 4 86,867 (666 ) 7 Interest-only 15,045 (295 ) 6 9,930 (2,406 ) 7 24,975 (2,701 ) 13 Total $ 309,196 $ (41,067 ) 90 $ 219,978 $ (44,917 ) 94 $ 529,174 $ (85,984 ) 184 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 Subordinated 13,404 (245 ) 7 — — 8 13,404 (245 ) 15 Interest-only 36,340 (4,434 ) 31 95,411 (59,024 ) 92 131,751 (63,458 ) 123 Agency RMBS Pass-through 779,322 (6,220 ) 17 1,809,566 (77,239 ) 114 2,588,888 (83,459 ) 131 Interest-only — — — — — — — — — Agency CMBS Project loans 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 December 31, 2019 , the Company did not intend to sell any of its Agency and Non-Agency MBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these MBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of December 31, 2019 . Gross unrealized losses on the Company’s Agency 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 December 31, 2019 and 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 December 31, 2019 and 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 $348 thousand and $601 thousand at December 31, 2019 and 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 years ended December 31, 2019 , 2018 and 2017 and are presented below. For the Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Total other-than-temporary impairment losses $ (801 ) $ (2,556 ) $ (5,169 ) Portion of loss recognized in other comprehensive income (loss) (4,052 ) (19,235 ) (56,687 ) Net other-than-temporary credit impairment losses $ (4,853 ) $ (21,791 ) $ (61,856 ) 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 Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Cumulative credit loss beginning balance $ 587,199 $ 591,521 $ 556,485 Additions: Other-than-temporary impairments not previously recognized 1,479 9,379 12,669 Reductions for securities sold or deconsolidated during the period (175 ) (9,169 ) (12,405 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 3,375 12,412 47,211 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (5,593 ) (16,944 ) (12,439 ) Cumulative credit impairment loss ending balance $ 586,285 $ 587,199 $ 591,521 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 Year Ended December 31, 2019 December 31, 2018 Loss Severity Weighted Average 69% 59% Range 53% - 102% 5% - 132% 60+ days delinquent Weighted Average 8% 13% Range 2% - 18% 0% - 30% Credit Enhancement (1) Weighted Average 0% 14% Range 0% - 0% 0% - 55% 3 Month Prepay Rate Weighted Average 8% 10% Range 3% - 21% 0% - 39% 12 Month Prepay Rate Weighted Average 9% 11% 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 December 31, 2019 and 2018 . December 31, 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 $ 628,518 $ — $ 628,518 $ (293 ) $ — $ (293 ) Subordinated 57,174 19,098 76,272 (55 ) (5,213 ) (5,268 ) Interest-only — 51,481 51,481 — (63,752 ) (63,752 ) Agency RMBS Pass-through — 152,271 152,271 — (1,215 ) (1,215 ) Interest-only — 220 220 — (12,089 ) (12,089 ) Agency CMBS Project loans 23,643 109,057 132,700 (651 ) (15 ) (666 ) Interest-only — 586 586 — (2,701 ) (2,701 ) Total $ 709,335 $ 332,713 $ 1,042,048 $ (999 ) $ (84,985 ) $ (85,984 ) 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 ) Subordinated 50,235 3,467 53,702 (151 ) (94 ) (245 ) Interest-only — 33,123 33,123 — (63,458 ) (63,458 ) Agency RMBS Pass-through 1,708 50,278 51,986 (59,552 ) (23,907 ) (83,459 ) Interest-only — 1,490 1,490 — — — Agency CMBS Project loans 811 5,492 6,303 (35,125 ) (42,893 ) (78,018 ) Interest-only — 496 496 — (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 December 31, 2019 and 2018 . December 31, 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 $ 2,024,564 $ 52.98 84.01 5.0 % 20.8 % Subordinated 876,592 63.15 71.25 3.7 % 6.9 % Interest-only 7,458,653 4.04 3.87 1.1 % 8.4 % Agency RMBS Pass-through 6,080,547 102.15 104.64 4.0 % 3.4 % Interest-only 1,539,941 9.06 8.29 1.6 % 4.0 % Agency CMBS Project loans 2,621,938 101.82 106.86 3.7 % 3.6 % Interest-only 1,817,246 2.81 2.70 0.7 % 4.7 % (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 % Subordinated 394,037 56.60 70.16 4.0 % 9.9 % Interest-only 5,888,747 5.04 4.53 1.2 % 8.7 % Agency RMBS Pass-through 8,984,249 102.47 102.12 4.0 % 3.6 % Interest-only 578,284 11.10 11.36 1.5 % 5.5 % Agency CMBS Project loans 2,895,679 101.98 99.50 3.6 % 3.4 % Interest-only 2,450,288 2.93 2.76 0.6 % 3.2 % (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 December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 AAA 0.4 % 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 91.6 % 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 December 31, 2019 and 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. December 31, 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 $ 16,343 $ 450,185 $ 676,382 $ 558,001 $ 1,700,911 Subordinated — 43,796 95,973 484,829 624,598 Interest-only — 126,631 159,057 3,211 288,899 Agency RMBS Pass-through — 5,939,408 421,539 1,679 6,362,626 Interest-only — 1,614 126,053 — 127,667 Agency CMBS Project loans 15,065 — 29,385 2,757,242 2,801,692 Interest-only — 20,528 28,497 — 49,025 Total fair value $ 31,408 $ 6,582,162 $ 1,536,886 $ 3,804,962 $ 11,955,418 Amortized cost Non-Agency RMBS Senior $ 15,206 $ 304,850 $ 409,958 $ 342,672 $ 1,072,686 Subordinated — 29,085 86,033 438,476 553,594 Interest-only — 150,221 148,889 2,060 301,170 Agency RMBS Pass-through — 5,796,044 414,482 1,044 6,211,570 Interest-only — 2,260 137,276 — 139,536 Agency CMBS Project loans 15,084 — 28,954 2,625,620 2,669,658 Interest-only — 22,950 28,190 — 51,140 Total amortized cost $ 30,290 $ 6,305,410 $ 1,253,782 $ 3,409,872 $ 10,999,354 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 Subordinated — 39,825 43,744 192,898 276,467 Interest-only 1,189 38,710 105,722 120,918 266,539 Agency RMBS Pass-through — 640,713 8,524,211 9,458 9,174,382 Interest-only — — 65,675 — 65,675 Agency CMBS Project loans — 15,468 28,205 2,837,549 2,881,222 Interest-only — 48,580 19,091 — 67,671 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 Subordinated — 29,487 26,036 167,487 223,010 Interest-only 2,250 47,372 118,896 128,356 296,874 Agency RMBS Pass-through — 645,368 8,550,766 9,721 9,205,855 Interest-only — 64,185 — 64,185 Agency CMBS Project loans — 15,543 29,447 2,907,947 2,952,937 Interest-only — 53,076 18,765 — 71,841 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 December 31, 2019 and December 31, 2018 , 58% and 64% of the Non-Agency RMBS collateral was classified as Alt-A, respectively, based on fair value. At December 31, 2019 and 2018 , 12% of the Non-Agency RMBS collateral was classified as prime, respectively, based on fair value. The remaining Non-Agency RMBS collateral is classified as subprime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 Weighted average maturity (years) 23.6 21.3 Weighted average amortized loan to value (1) 63.2 % 62.9 % Weighted average FICO (2) 719 708 Weighted average loan balance (in thousands) $ 313 $ 308 Weighted average percentage owner occupied 80.6 % 85.7 % Weighted average percentage single family residence 60.0 % 63.8 % Weighted average current credit enhancement 1.1 % 1.4 % Weighted average geographic concentration of top four states CA 32.5 % CA 33.8 % FL 6.6 % FL 7.7 % NY 6.3 % NY 7.4 % TX 2.0 % 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 December 31, 2019 and 2018 . Origination Year December 31, 2019 December 31, 2018 2003 and prior 1.3 % 1.3 % 2004 1.5 % 1.7 % 2005 10.7 % 12.9 % 2006 52.9 % 49.8 % 2007 26.6 % 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 years ended December 31, 2019 , 2018 and 2017 are as follows: For the Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 38,659 100,791 68,164 Agency RMBS 2,915,545 7,064 570,195 Agency CMBS 375,489 9,120 173,646 Gross realized gains: Non-Agency RMBS 422 7,424 12,171 Agency RMBS 35,221 — 3,068 Agency CMBS 11,328 122 2,300 Gross realized losses: Non-Agency RMBS (1,445 ) (7,234 ) (20 ) Agency RMBS (24,531 ) (1,919 ) (7,740 ) Agency CMBS (2,225 ) (1,237 ) (656 ) Net realized gain (loss) $ 18,770 $ (2,844 ) $ 9,123 Included in the gross realized gains for the year ended December 31, 2018 in the table above are exchanges of securities with a fair value of $81 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 net realized gain of $3 million , reflected in earnings for the year ended December 31, 2018 . There were no such exchanges during the year ended December 31, 2019 . For the year ended December 31, 2017, the fair value of these exchanges of securities was $63 million , and resulted in a realized gain of $9 million .

Loans Held for Investment

Loans Held for Investment	12 Months Ended
	Dec. 31, 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 December 31, 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 $13.7 billion and $12.2 billion as of December 31, 2019 and 2018 , respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at December 31, 2019 and 2018 : For the Year Ended December 31, 2019 December 31, 2018 (dollars in thousands) Balance, beginning of period $ 12,572,581 $ 13,678,263 Purchases 5,086,491 1,671,330 Principal paydowns (1,717,745 ) (1,859,155 ) Sales and settlements (1,812,760 ) (807,364 ) Net periodic accretion (amortization) (77,491 ) (83,393 ) Realized gains (losses) on sales and settlements 1,590 101 Change in fair value 240,149 (27,201 ) Balance, end of period $ 14,292,815 $ 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. During the year ended December 31, 2019 , the Company sold $1.8 billion of loans to a trust, with the Company retaining $124 million of beneficial interests. During the year ended December 31, 2018, the Company sold $415 million of loans to a trust, with the Company retaining $40 million of beneficial interests. During the year ended December 31, 2019, the Company transferred loans with an unpaid principal balance of $343 million to a third party. The Company evaluated the sale under current accounting guidance and determined that the sale did not effectively transfer control of the loans from the Company, the transferor, to the third party, the transferee, due to a right by the Company to call the loans at a fixed price at a future date. As such, the transfer has been accounted for by the Company as a secured borrowing and no gain or loss was recorded upon the transfer of the loans. The proceeds received, net of any collateral received in the transfer, has been recorded as a Securitized debt at fair value, collateralized by loans held for investment on the Consolidated Statements of Financial Condition. The secured borrowing related to unpaid principal amount of these loans is non-recourse to the Company and these loans can only be used to satisfy the obligations of the transferee and the obligations of the transferee are non-recourse to the Company. See footnote 7 for more details regarding Securitized debt. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year December 31, 2019 (1) December 31, 2018 2002 and prior 6.8 % 7.3 % 2003 6.0 % 6.6 % 2004 12.6 % 13.6 % 2005 18.6 % 19.5 % 2006 22.5 % 22.7 % 2007 20.7 % 19.5 % 2008 6.4 % 6.2 % 2009 1.5 % 1.0 % 2010 and later 4.9 % 3.6 % Total 100.0 % 100.0 % (1) The table above excludes approximately $754 million of Loans held for investments which were purchased prior to December 31, 2019 and will settle subsequent to December 31, 2019 . The following table presents a summary of key characteristics of the residential loan portfolio at December 31, 2019 and 2018 : December 31, 2019 (1) December 31, 2018 Number of loans 139,194 140,345 Weighted average maturity (years) 19.3 18.6 Weighted average loan to value (2) 87.4 % 87.5 % Weighted average FICO (2) 627 629 Weighted average loan balance (in thousands) $ 95 $ 89 Weighted average percentage owner occupied 88.0 % 90.1 % Weighted average percentage single family residence 84.4 % 86.3 % Weighted average geographic concentration of top five states CA 11.6 % CA 9.0 % FL 7.4 % FL 7.3 % NY 6.9 % OH 5.9 % OH 5.3 % NY 5.7 % PA 5.3 % PA 5.6 % (1) The table above excludes approximately $754 million of Loans held for investments which were purchased prior to December 31, 2019 and will settle subsequent to December 31, 2019 . (2) As provided by the Trustee. The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the year ended December 31, 2019 and 2018, respectively. December 31, 2019 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,776 1.00% to 19.24% 6/1/1983 - 3/13/2057 $ 655,914 $ 75,436 $ 44,117 $250 to $500 497 2.00% to 13.13% 3/1/2023 - 7/1/2057 163,972 18,117 10,950 $500 to $750 96 2.00% to 9.38% 1/1/2034 - 10/1/2056 56,661 2,224 2,747 $750 to $1,000 20 1.97% to 8.13% 10/1/2036 - 11/1/2048 16,947 759 862 Over $1,000 12 2.00% to 6.63% 5/1/2036 - 10/1/2048 19,499 1,222 3,869 8,401 $ 912,993 $ 97,758 $ 62,545 Fixed loans: $1 to $250 123,580 0.00% to 24.00% 6/1/1989 - 5/1/2062 $ 9,482,855 $ 1,021,054 $ 571,242 $250 to $500 6,259 0.00% to 11.69% 12/1/2019 - 3/1/2065 2,059,131 275,574 131,472 $500 to $750 712 2.00% to 10.69% 8/1/2019 - 9/1/2059 418,044 46,972 12,137 $750 to $1,000 137 2.00% to 8.00% 3/1/2013 - 1/1/2058 116,993 6,224 5,312 Over $1,000 105 2.00% to 9.50% 9/1/2019 - 12/1/2057 179,827 10,497 — 130,793 $ 12,256,850 $ 1,360,321 $ 720,163 Total 139,194 $ 13,169,843 $ 1,458,079 $ 782,708 (1) The table above excludes approximately $754 million of Loans held for investments which were purchased prior to December 31, 2019 and will settle subsequent to December 31, 2019 . The foreclosure, bankruptcy, and REO principal balances on our loans were $299 million , $322 million and $59 million , respectively, as of December 31, 2019, which are included in the table above. December 31, 2018 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 8,258 1.00% to 19.49% 6/1/1983 - 6/1/2058 $ 713,392 $ 80,781 $ 48,235 $250 to $500 456 2.00% to 12.75% 3/1/2023 - 2/1/2057 148,867 17,722 10,779 $500 to $750 65 2.00% to 10.00% 1/1/2034 - 8/1/2047 38,148 2,979 2,762 $750 to $1,000 7 4.13% to 5.13% 4/1/2035 - 4/1/2038 6,008 784 — Over $1,000 7 4.00% to 5.00% 7/1/2037 - 8/1/2039 12,195 — 1,164 8,793 $ 918,610 $ 102,266 $ 62,940 Fixed loans: $1 to $250 126,085 0.00% to 24.00% 6/1/1989 - 5/1/2062 $ 9,566,517 $ 894,574 $ 591,283 $250 to $500 4,942 0.00% to 12.52% 4/1/2018 - 11/1/2061 1,595,673 160,015 128,876 $500 to $750 406 2.00% to 10.69% 7/1/2031 - 5/1/2058 238,292 12,239 10,600 $750 to $1,000 88 2.00% to 7.98% 3/1/2013 - 12/1/2055 75,289 2,677 1,805 Over $1,000 31 3.00% to 6.38% 6/1/2037 - 6/1/2057 38,200 — — 131,552 $ 11,513,971 $ 1,069,505 $ 732,564 Total 140,345 $ 12,432,581 $ 1,171,771 $ 795,504 The foreclosure, bankruptcy, and REO principal balances on our loans were $292 million , $266 million and $47 million , respectively, as of December 31, 2018, which are included in the table above.

Fair Value Measurements

Fair Value Measurements	12 Months Ended
	Dec. 31, 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 December 31, 2019 , six investment holdings with an internally developed fair value of $22 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 prices provided of $19 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, 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 December 31, 2019 , the internally developed fair value of one loan pool of $147 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $20 million higher than the third party price provided of $127 million . After review and discussion, the Company affirmed and valued the investment at the higher 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 December 31, 2019 and 2018 , respectively: December 31, 2019 (dollars in thousands) Unpaid Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated 580,761 422,826 10,513 Interest-only 7,458,653 288,899 18,064 Agency RMBS Pass-through 6,080,549 6,362,628 124,685 Interest-only 1,539,941 127,667 (13,359 ) Agency CMBS Project loans 1,753,755 1,889,923 146,441 Interest-only 1,817,246 49,025 2,054 Loans held for investment, at fair value 13,924,291 14,292,815 240,148 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,184,369 8,179,608 (118,911 ) December 31, 2018 (dollars in thousands) Unpaid Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 12,014 $ (145 ) Interest-only 5,888,747 266,539 21,356 Agency RMBS Pass-through 7,573,835 7,739,382 31,185 Interest-only 578,284 65,675 3,785 Agency CMBS Project loans 1,607,626 1,595,681 (35,002 ) Interest-only 2,450,288 67,670 444 Loans held for investment, at fair value 12,432,582 12,572,581 (27,201 ) Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,561,319 8,455,376 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 December 31, 2019 and 2018 are presented below. December 31, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,614,408 $ — $ 2,614,408 Agency RMBS, at fair value — 6,490,293 — — 6,490,293 Agency CMBS, at fair value — 2,850,717 — — 2,850,717 Loans held for investment, at fair value — — 14,292,815 — 14,292,815 Derivatives 3,611 1,092 — (1,092 ) 3,611 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,179,608 — 8,179,608 Derivatives — 205,703 — (205,703 ) — 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 RMBS, at fair value — 9,240,057 — — 9,240,057 Agency CMBS, at fair value — 2,948,893 — — 2,948,893 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 financial instruments classified as Level 3 at December 31, 2019 and 2018 . Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 497,848 5,086,491 1,487,286 Principal payments (415,518 ) (1,717,745 ) (1,530,818 ) Sales and Settlements (38,605 ) (1,812,760 ) (314,454 ) Net accretion (amortization) 95,562 (77,491 ) (26,758 ) Gains (losses) included in net income Other than temporary credit impairment losses (4,853 ) — — Realized gains (losses) on sales and settlements (1,088 ) 1,590 (9,925 ) Net unrealized gains (losses) included in income 28,577 240,149 118,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (33,645 ) — — Ending balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 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 year ended December 31, 2019 and 2018 , respectively. 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, prepayment rate, constant default rate, and the 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 values of 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. Prepayment Rate The prepayment rate specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment rate 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 rates 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 rates result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment rates 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 rates result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. Constant Default Rate Constant default rate 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. Collateral characteristics such as loan size, loan-to-value, seasoning or loan age and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment Prepayment rates 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 rates increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment rates 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 rates 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 rates 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 December 31, 2019 and 2018 follows: December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 3.8% 6% -20% 9.4% 0% -9% 1.8% 26% -82% 42.0% Subordinated 0% -13% 5.1% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 12.5% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% December 31, 2018 Significant Inputs Discount Rate Prepay Rate 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% -11% 2.5% 35% -81% 44.6% Subordinated 4% -20% 5.8% 1% -19% 7.9% 0% -6% 1.9% 30% -65% 40.3% Interest-only 8% -100% 11.1% 3% -32% 10.7% 0% -8% 1.9% 30% -86% 42.1% 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 December 31, 2019 and 2018 follows: December 31, 2019 Significant Inputs Discount Rate Prepay Rate 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% - 20% 9.1% 0% - 3% 1.4% 30% - 75% 59.8% December 31, 2018 Significant Inputs Discount Rate Prepay Rate 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% 4.5% 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 December 31, 2019 and 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 December 31, 2019 and 2018 follows: December 31, 2019 December 31, 2018 Factor: Coupon Base Rate 4.3% 5.2% Actual 6.6% 6.9% FICO Base Rate 636 638 Actual 624 626 Loan-to-value (LTV) Base Rate 86% 88% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 89% 90% Investor 2% 1% Secondary 9% 9% Property Type Single family 85% 86% Manufactured housing 4% 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 in an increase to the loan value where manufactured and multi-family/mixed use and other properties will result in a decrease to the loan value, as compared to the baseline. Financial instruments not carried at fair value The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2019 and 2018 . December 31, 2019 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 13,427,545 13,450,193 Securitized debt, collateralized by Non-Agency RMBS 3 133,557 117,552 December 31, 2018 (dollars in thousands) Level in Fair Value Hierarchy Carr

Repurchase Agreements

Repurchase Agreements	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 were: December 31, 2019 December 31, 2018 Repurchase agreements outstanding secured by: Agency RMBS (in thousands) $ 6,247,275 $ 8,588,446 Agency CMBS (in thousands) 2,013,515 1,604,826 Non-agency RMBS and Loans held for investment (in thousands) 5,166,755 3,837,193 Total: $ 13,427,545 $ 14,030,465 MBS pledged as collateral at fair value on Repurchase agreements: Agency RMBS (in thousands) $ 6,602,039 $ 9,123,369 Agency CMBS (in thousands) 2,102,520 1,708,648 Non-agency RMBS and Loans held for investment (in thousands) 6,694,685 4,998,990 Total: $ 15,399,244 $ 15,831,007 Average balance of Repurchase agreements secured by: Agency RMBS (in thousands) $ 8,062,881 $ 4,651,613 Agency CMBS (in thousands) 1,993,372 1,434,030 Non-agency RMBS and Loans held for investment (in thousands) 4,436,133 3,730,527 Total: $ 14,492,386 $ 9,816,170 Average borrowing rate of Repurchase agreements secured by: Agency RMBS (in thousands) 2.10 % 2.55 % Agency CMBS (in thousands) 2.10 % 2.58 % Non-agency RMBS and Loans held for investment (in thousands) 3.19 % 4.04 % Average remaining maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 14 Days 29 Days Agency CMBS (in thousands) 13 Days 33 Days Non-agency RMBS and Loans held for investment (in thousands) 255 Days 231 Days Average original maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 38 Days 89 Days Agency CMBS (in thousands) 34 Days 84 Days Non-agency RMBS and Loans held for investment (in thousands) 279 Days 259 Days At December 31, 2019 and 2018 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. December 31, 2019 December 31, 2018 (dollars in thousands) Overnight $ — $ — 1 to 29 days 9,709,387 6,326,232 30 to 59 days 800,648 4,620,656 60 to 89 days 608,520 1,504,695 90 to 119 days — 169,244 Greater than or equal to 120 days 2,308,990 1,409,638 Total $ 13,427,545 $ 14,030,465 At December 31, 2019 and 2018 , there was no amount at risk with any counterparty greater than 10%

Securitized Debt

Securitized Debt	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $152 million and $175 million , respectively. At December 31, 2019 and 2018 , the debt carried a weighted average coupon equal to 6.5% and 6.4% , respectively. As of December 31, 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. During the year ended December 31, 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 , which is reflected in the earnings for the year ended December 31, 2019 . The Company did no t acquire any securitized debt collateralized by Non-Agency RMBS during the year ended December 31, 2018 . During the year ended December 31, 2017, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $166 thousand for $167 thousand . This transaction resulted in a net loss on the extinguishment of debt of $1 thousand , which is reflected in earnings for the year ended December 31, 2017. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2019 and 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. December 31, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 18,826 $ 23,602 One to Three Years 18,332 30,803 Three to Five Years 4,453 8,047 Greater Than Five Years 665 3,605 Total $ 42,276 $ 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 December 31, 2019 and 2018 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $8.2 billion and $8.6 billion , respectively. At December 31, 2019 and 2018 the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 4.2% and 4.5% , respectively. As of December 31, 2019 , the maturities of the debt range between the years 2023 and 2067 . During the year ended December 31, 2019 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $324 million for $314 million . This transaction resulted in a net gain on the extinguishment of debt of $10 million , which is reflected in earnings for the year ended December 31, 2019 . During the year ended December 31, 2018 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $861 million for $835 million . These transactions resulted in a net gain on the extinguishment of debt of $26 million , which is reflected in earnings for the year ended December 31, 2018 . During the year ended December 31, 2017, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $1.0 billion for $1.1 billion. This transaction resulted in a net loss on the extinguishment of debt of $35 million . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2019 and 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. December 31, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 1,582,646 $ 1,608,381 One to Three Years 2,563,699 2,587,635 Three to Five Years 1,791,756 1,949,060 Greater Than Five Years 2,129,460 2,237,259 Total $ 8,067,561 $ 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 December 31, 2019 . December 31, 2019 (dollars in thousands) Year Principal 2020 3,527,114 2021 2,841,599 2022 795,683 2023 105,417 Total $ 7,269,813

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	12 Months Ended
	Dec. 31, 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 December 31, 2019 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.5 billion and liabilities with a carrying value of $8.1 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 . During the year ended December 31, 2019 , the Company securitized and consolidated approximately $1.5 billion unpaid principal balance of seasoned residential subprime mortgage loans. During the year ended December 31, 2018, the Company securitized and consolidated approximately $2.2 billion unpaid principal balance (of which $1.3 billion related to the collapse and repackaging of certain loan pools previously consolidated as of December 31, 2017) of seasoned residential subprime mortgage loans. 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 securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 598,080 $ 1,017,442 Loans held for investment, at fair value 11,853,659 12,263,265 Accrued interest receivable 63,218 72,389 Other assets 29,787 39,855 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 133,557 $ 159,955 Securitized debt at fair value, collateralized by loans held for investment 7,899,259 8,455,376 Accrued interest payable 28,775 33,541 Other liabilities 2,644 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 Year ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 780,746 $ 904,830 $ 914,022 Interest expense, Non-recourse liabilities of VIEs 337,387 395,255 390,858 Net interest income $ 443,359 $ 509,575 $ 523,164 Total other-than-temporary impairment losses $ (424 ) $ (1,026 ) $ (2,174 ) Portion of loss recognized in other comprehensive income (loss) (3,831 ) (17,820 ) (51,118 ) Net other-than-temporary credit impairment losses $ (4,255 ) $ (18,845 ) $ (53,292 ) Servicing fees $ 33,920 $ 39,313 $ 41,493 VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2019 , ranged from less than $1 million to $191 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 December 31, 2019 and 2018

Derivative Instruments

Derivative Instruments	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 . December 31, 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 $ 4,111,300 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions — Derivatives, at fair value, net — Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ — 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 December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (122,272 ) $ (125,595 ) $ 43,697 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (356,713 ) (1,488 ) (31,593 ) Treasury Futures Net unrealized gains (losses) on derivatives 16,986 (16,928 ) 1,768 Treasury Futures Net realized gains (losses) on derivatives (37,032 ) 21,333 (4,061 ) Swaptions Net unrealized gains (losses) on derivatives (923 ) 1,361 2,511 Swaptions Net realized gains (losses) on derivatives (404 ) (1,476 ) (6,134 ) Total $ (500,358 ) $ (122,793 ) $ 6,188 (1) Includes loss on termination of interest rate swaps of $360 million and $16 million during the year ended December 31, 2019 and 2017, respectively. There were no swaps terminations during the year ended December 31, 2018 . The company paid $360 million to terminate interest rate swaps with a notional value of $6.4 billion during the year ended December 31, 2019 . The terminated swaps had original maturities of 2019 to 2029 . There were no swap terminations during the year ended December 31, 2018 . The weighted average pay rate on the Company’s interest rate swaps at December 31, 2019 was 2.62% and the weighted average receive rate was 1.94% . 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 December 31, 2019 and 2018 was 6 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 December 31, 2019 is approximately $215 million including accrued interest, which represents the maximum amount the Company would pay upon termination, which is fully collateralized.

Capital Stock

Capital Stock	12 Months Ended
	Dec. 31, 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 $12 million , or $2.00 per preferred share during the years ended December 31, 2019 and 2018 , respectively. The Company declared dividends to Series B preferred stockholders $26 million , or $2.00 per preferred share during the years ended December 31, 2019 and 2018 , respectively. The Company declared dividends to Series C preferred stockholders of $20 million and $6 million , or $1.94 and $0.54 , respectively, per preferred share during the years ended December 31, 2019 and 2018 . The Company declared dividends to Series D preferred stockholders of $15 million , or $1.87 per preferred share during the year ended December 31, 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 year ended December 31, 2018 . The Company did not repurchase any of its common stock during the year ended December 31, 2019 . The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $85 million as of December 31, 2019 . The Company declared dividends to common shareholders of $377 million and $375 million , or $2.00 , per share during the years ended December 31, 2019 and December 31, 2018 , respectively. Earnings per share for the years ended December 31, 2019 , 2018 and 2017 respectively, are computed as follows: For the Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 340,847 $ 368,440 $ 491,184 Effect of dilutive securities: — — — Dilutive net income available to common shareholders $ 340,847 $ 368,440 $ 491,184 Denominator: Weighted average basic shares 187,156,990 187,146,170 187,780,355 Effect of dilutive securities 1,249,454 602,692 506,965 Weighted average dilutive shares 188,406,444 187,748,862 188,287,320 Net income per average share attributable to common stockholders - Basic $ 1.82 $ 1.97 $ 2.62 Net income per average share attributable to common stockholders - Diluted $ 1.81 $ 1.96 $ 2.61

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	12 Months Ended
	Dec. 31, 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 year ended December 31, 2019 and 2018 : December 31, 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 70,855 70,855 Amounts reclassified from AOCI 10,649 10,649 Net current period OCI 81,504 81,504 Balance as of December 31, 2019 $ 708,336 $ 708,336 December 31, 2018 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2017 $ 796,902 $ 796,902 OCI before reclassifications (185,570 ) (185,570 ) Amounts reclassified from AOCI 15,500 15,500 Net current period OCI (170,070 ) (170,070 ) Balance as of December 31, 2018 $ 626,832 $ 626,832 The following table presents the details of the reclassifications from AOCI for the year ended December 31, 2019 and 2018 : December 31, 2019 December 31, 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 $ (5,796 ) $ 6,291 Net realized gains (losses) on sales of investments (4,853 ) (21,791 ) Net other-than-temporary credit impairment losses $ (10,649 ) $ (15,500 ) Income before income taxes — — Income taxes $ (10,649 ) $ (15,500 ) Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	12 Months Ended
	Dec. 31, 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 December 31, 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 who is separating. 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. The Company granted 487 thousand RSU awards during the year ended December 31, 2019 , with a grant date fair value of $9 million for the 2018 and 2019 performance years. The Company granted 335 thousand RSU awards during the year ended December 31, 2018 with a grant date fair value $6 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 year ended December 31, 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 year ended December 31, 2019 , the Company granted 318 thousand PSU awards to senior management with a grant date fair value of $5 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 year ended December 31, 2018 , had a grant date fair value of $2 million which will cliff vest on December 31, 2020. The following table presents information with respect to the Company's stock awards during the years ended December 31, 2019 and 2018. For the Year Ended December 31, 2019 December 31, 2018 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 1,159,183 16.51 769,815 25.58 Granted 804,738 17.91 467,657 17.90 Vested (207,827 ) 16.11 (69,303 ) 15.99 Forfeited (10,132 ) 18.63 (8,986 ) 18.40 Unvested shares outstanding - end of period 1,745,962 17.19 1,159,183 16.51 The Company recognized stock based compensation expenses of $13 million and $8 million , respectively for the years ended December 31, 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. for the year ended December 31, 2019 , 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 years ended December 31, 2019 and 2018 , were $434 thousand , respectively.

Income Taxes

Income Taxes	12 Months Ended
	Dec. 31, 2019
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the years ended December 31, 2019 and 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 in 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 U.S. federal, state and local taxes. There were no significant income tax expenses for the years ended December 31, 2019, 2018 and 2017. The Company recorded a deferred tax asset of $5 million and $7 million for the years ended December 31, 2019 and 2018, respectively, relating to the activities of its TRSs. Of these amounts, the amount related to cumulative net operating losses was $22 thousand and $550 thousand as of December 31, 2019 and 2018, respectively, and the amount related to losses which were disallowed under Code Section 267(a) was $4 million and $7 million as of December 31, 2019 and 2018, respectively. The amount related to interest disallowed under Code Section 163(j) was $1 million as of December 31, 2019. There were no amounts disallowed under Code Section 163(j) as of December 31, 2018. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $5 million and $7 million for the years ended December 31, 2019 and 2018. In general, cash dividends declared by the Company will be considered ordinary income to stockholders for income tax purposes. From time to time, a portion of the Company’s dividends may be characterized as capital gains or return of capital distributions. The Company’s effective tax rate differs from its combined 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	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 . December 31, 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 $ (13,427,545 ) $ — $ (13,427,545 ) $ 15,399,244 $ 20,211 $ 1,991,910 Interest Rate Swaps - Gross Assets 1,092 (1,092 ) — — 119,469 119,469 Interest Rate Swaps - Gross Liabilities (205,703 ) 205,703 — — — — Treasury Futures - Gross Assets 3,611 — 3,611 — 1,514 5,125 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets — — — — — — Swaptions - Gross Liabilities — — — — — — Total $ (13,628,545 ) $ 204,611 $ (13,423,934 ) $ 15,399,244 $ 141,194 $ 2,116,504 (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	12 Months Ended
	Dec. 31, 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 December 31, 2019 , the Company has funded $101 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. As of December 31, 2019 KAH Capital has earned $4.2 million out of a total of $6.5 million for its investment advisory services to the Company.

Subsequent Events

Subsequent Events	12 Months Ended
	Dec. 31, 2019
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events None.

Summarized Quarterly Results (U

Summarized Quarterly Results (Unaudited)	12 Months Ended
	Dec. 31, 2019
Quarterly Financial Information Disclosure [Abstract]
Summarized Quarterly Results (Unaudited)	Summarized Quarterly Results (Unaudited) The following is a presentation of the results of operations for the quarters ended December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019. For the Quarter Ended December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 340,662 $ 330,144 $ 339,914 $ 350,389 Interest expense 169,203 188,551 198,110 202,950 Net interest income 171,459 141,593 141,804 147,439 Net other-than-temporary credit impairment losses — — — (4,853 ) Net gains (losses) on derivatives 78,030 (136,671 ) (237,079 ) (204,638 ) Net unrealized gains (losses) on financial instruments at fair value (112,751 ) 130,825 190,748 200,812 Net realized gains (losses) on sales of investments 17,687 1,596 (7,526 ) 8,603 Gain (loss) on Extinguishment of Debt 9,926 — (608 ) — Total other expenses 33,998 31,015 28,424 29,216 Net income (loss) $ 130,318 $ 106,326 $ 58,760 $ 118,147 Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 17,392 Net income (loss) available to common shareholders $ 111,880 $ 87,888 $ 40,322 $ 100,755 Net income per common share-basic $ 0.60 $ 0.47 $ 0.22 $ 0.54 The following is a presentation of the results of operations for the quarters ended December 31, 2018, September 30, 2018, June 30, 2018 and March 31, 2018. For the Quarter Ended December 31, 2018 September 30, 2018 June 30, 2018 March 31, 2018 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 348,033 $ 321,715 $ 306,436 $ 297,132 Interest expense 193,920 174,671 161,266 149,251 Net interest income 154,113 147,044 145,170 147,881 Net other-than-temporary credit impairment losses (4,269 ) (7,233 ) (9,131 ) (1,158 ) Net gains (losses) on derivatives (315,877 ) 74,078 24,502 94,504 Net unrealized gains (losses) on financial instruments at fair value 84,836 (34,306 ) (18,364 ) 14,466 Net realized gains (losses) on sales of investments 1,213 (6,123 ) 2,167 — Gain (loss) on Extinguishment of Debt 7,055 9,263 387 9,670 Total other expenses 29,855 25,395 26,587 26,322 Net income (loss) $ (102,798 ) $ 157,321 $ 118,108 $ 239,007 Dividend on preferred stock $ 14,437 $ 9,960 $ 9,400 $ 9,400 Net income (loss) available to common shareholders $ (117,235 ) $ 147,361 $ 108,708 $ 229,607 Net income per common share-basic $ (0.63 ) $ 0.79 $ 0.58 $ 1.22

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	12 Months Ended
	Dec. 31, 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. Investment securities transactions are recorded on the trade date. 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 using proceeds from each securitization vehicle’s respective asset pool.
Cash and Cash Equivalents	Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2019 and December 31, 2018.
Agency and Non-Agency Backed Securities	Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities, or MBS, representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations, or CMOs, and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is not guaranteed and it is subject to the performance of the mortgage loans or MBS collateralizing the obligation. Agency MBS collectively refers to include Agency CMBS and Agency RMBS as defined in Part I of this annual report. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips, or IO MBS strips. IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. Interest income on IO MBS strips is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium is calculated in accordance with the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 325-40, Beneficial Interests in Securitized Financial Assets, or ASC 325-40. The Company accounts for IO MBS strips at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations. The Company classifies its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on certain MBS in Other comprehensive income, or OCI, in the Consolidated Statements of Operations. For IO MBS strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs, or ASC 310-20, is applied to the recognition of interest income for the following securities: • Certain Agency MBS • Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): 1. Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available; 2. The Company expects to collect all of the security's contractual cash flows; and 3. The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security. This recalculation of the effective yield is updated on a quarterly basis. Upon a recalculation of the effective yield, the investment in the security is adjusted to the amount that would have existed had the new effective yield been retrospectively applied since acquisition with a corresponding charge or credit to interest income. The Agency MBS, for which we have elected fair value option, we apply FASB ASC 325-40. For these securities accounted for under ASC 325-40, any positive or adverse change in cash flows results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality, or ASC 310-30, or ASC 325-40 (referred to hereafter as “Non-Agency RMBS Not of High Credit Quality”). Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date: 1. There is evidence of deterioration in credit quality of the security from its inception; and 2. It is probable that the Company will be unable to collect all contractual cash flows of the security. Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date: 1. The security is not of high credit quality (defined as rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, adjusts its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment, or OTTI, results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Under ASC 310-30, adverse changes in cash flows expected to be collected for Non-Agency RMBS, in an unrealized loss position, generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to certain MBS When the fair value of an available-for-sale MBS is less than its amortized cost, the security is considered impaired. On a quarterly basis, the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation, or FICO, scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, current and forecast interest rates, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings.
Loans Held for Investment	Loans Held for Investment The Company's Loans held for investments is comprised of seasoned residential mortgage loans that are not guaranteed as to repayment of principal or interest. These loans are serviced and may be modified by a third-party servicer. Additionally, in certain cases, the Company has the ability to remove the servicer with or without cause upon prior notice. These residential mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis and are carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Interest is accrued on all loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned
Repurchase Agreements	Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings, which is recourse to the Company.
Securitized Debt, collateralized by Non-agency RMBS and Securitized Debt, collateralized by Loans held for investment	Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by Loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. For securitized debt, where the Company has elected fair value option, the interest expense is recognized using the interest method with changes in yield reflected in earnings on a prospective basis. The Company recognizes a gain or loss on extinguishment of debt when it acquires its outstanding debt at discount or premium. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements.
Fair Value	Fair Value 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. Agency MBS: The Company has elected to account for Agency MBS investments acquired on or after July 1, 2017 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. All Agency MBS investments owned prior to July 1, 2017 will continue to be carried at fair value with changes in fair value reported in other comprehensive income (OCI) as available-for-sale investments. All revenue recognition for these Agency MBS investments owned prior to July 1, 2017 will be in accordance with ASC 310-20, per the Company’s accounting practices. Non-Agency RMBS: The Company has elected to account for all 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 has elected the fair value option for certain interests in Non-Agency RMBS which it refers to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company records these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value of the overcollateralization classes are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings was $423 million and $12 million as of December 31, 2019 and 2018 , respectively. Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $289 million and $267 million as of December 31, 2019 and 2018 . Included in Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $128 million and $66 million as of December 31, 2019 and 2018 . Included in Agency CMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $49 million and $68 million as of December 31, 2019 and 2018 . Interest income reported on all IO MBS securities was $27 million and $25 million for the years ended December 31, 2019 and 2018 , respectively. Loans Held for Investment: The Company’s Loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries Loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of Loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.
Derivative Financial Instruments	Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities.
Sales, Securitizations, and Re-Securitizations	Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield.
Income Taxes	Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to U.S. federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost.
Net Income per Share	Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock.
Stock-Based Compensation	Stock-Based Compensation Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company recognizes forfeitures when they occur and does not adjust the fair value of the grants for estimated forfeitures. For awards subject to vesting on a straight line basis, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For awards based on the performance of the Company, it engages an independent appraisal company to determine the value of the shares at the date of grant or estimates the value based on the Company's performance relative to an established peer group. The Company considers the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures.
Use of Estimates	Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates including in accounting for income recognition and OTTI on Agency MBS, Non-Agency RMBS, IO MBS (Note 3) and residential mortgage loans (Note 4), 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.
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. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update. If at the end of a reporting period the debt security with an expected loss is in an unrealized gain position, no expected credit losses will be recorded. 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, there will be 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 guidance in the ASU will be applied prospectively and is effective for the Company as of January 1, 2020. The standard requires the company to record a cumulative-effect adjustment to the statement of financial position as the effective date. As all debt securities impacted by the update are in an unrealized gain position as of the transition date, there is no impact on the financial statements at January 1, 2020. AFS securities on which other-than-temporary impairment had been recognized prior to the effective date of the new standard will transition to the new guidance prospectively with no change in the amortized cost basis of the security. The effective interest rate on such a debt security before the adoption date will be retained and locked in and changes in cash flows will not impact the yield of the security. Amounts previously recognized in accumulated other comprehensive income related to cash flow improvements will continue to be accreted to interest income over the remaining life of the debt security on a level-yield basis. Recoveries of amounts previously written off relating to improvements in cash flows after the date of adoption will be recognized in income in the period received. Increases in expected losses will result in the Company recording an allowance.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 . December 31, 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 $ 2,024,564 $ 2,038 $ (953,916 ) $ 1,072,686 $ 1,700,911 $ 628,518 $ (293 ) $ 628,225 Subordinated 876,592 9,915 (332,913 ) 553,594 624,598 76,272 (5,268 ) 71,004 Interest-only 7,458,653 301,170 — 301,170 288,899 51,481 (63,752 ) (12,271 ) Agency RMBS Pass-through 6,080,547 131,023 — 6,211,570 6,362,626 152,271 (1,215 ) 151,056 Interest-only 1,539,941 139,536 — 139,536 127,667 220 (12,089 ) (11,869 ) Agency CMBS Project loans 2,621,938 52,681 (4,961 ) 2,669,658 2,801,692 132,700 (666 ) 132,034 Interest-only 1,817,246 51,140 — 51,140 49,025 586 (2,701 ) (2,115 ) Total $ 22,419,481 $ 687,503 $ (1,291,790 ) $ 10,999,354 $ 11,955,418 $ 1,042,048 $ (85,984 ) $ 956,064 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 Subordinated 394,037 8,642 (179,669 ) 223,010 276,467 53,702 (245 ) 53,457 Interest-only 5,888,747 296,874 — 296,874 266,539 33,123 (63,458 ) (30,335 ) Agency RMBS Pass-through 8,984,249 221,606 — 9,205,855 9,174,382 51,986 (83,459 ) (31,473 ) Interest-only 578,284 64,185 — 64,185 65,675 1,490 — 1,490 Agency CMBS Project loans 2,895,679 61,727 (4,469 ) 2,952,937 2,881,222 6,303 (78,018 ) (71,715 ) Interest-only 2,450,288 71,841 — 71,841 67,671 496 (4,666 ) (4,170 ) 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 Year Ended December 31, 2019 December 31, 2018 (dollars in thousands) Balance at beginning of period $ 1,248,309 $ 1,303,589 Purchases — 43,866 Yield income earned (228,208 ) (231,205 ) Reclassification (to) from non-accretable difference 59,957 157,117 Sales and deconsolidation (26,378 ) (25,058 ) Balance at end of period $ 1,053,680 $ 1,248,309
Schedule of non-agency RMBS having deteriorated credit when acquired	The table below presents the outstanding principal balance and related amortized cost at December 31, 2019 and 2018 , as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to ASC 310-30 guidance. For the Year Ended December 31, 2019 December 31, 2018 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,325,154 $ 2,673,350 End of period $ 1,964,143 $ 2,325,154 Amortized cost: Beginning of period $ 1,158,291 $ 1,381,839 End of period $ 965,546 $ 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 Agency and Non-Agency MBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2019 and 2018 . All available for sale securities in an unrealized loss position have been evaluated by the Company for OTTI. December 31, 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 $ — $ — — $ 31,635 $ (293 ) 1 $ 31,635 $ (293 ) 1 Subordinated 69,178 (5,064 ) 9 1,836 (204 ) 11 71,014 (5,268 ) 20 Interest-only 50,376 (22,737 ) 46 64,129 (41,015 ) 66 114,505 (63,752 ) 112 Agency RMBS Pass-through 11,398 (605 ) 4 67,552 (610 ) 5 78,950 (1,215 ) 9 Interest-only 121,228 (12,089 ) 22 — — — 121,228 (12,089 ) 22 Agency CMBS Project loans 41,971 (277 ) 3 44,896 (389 ) 4 86,867 (666 ) 7 Interest-only 15,045 (295 ) 6 9,930 (2,406 ) 7 24,975 (2,701 ) 13 Total $ 309,196 $ (41,067 ) 90 $ 219,978 $ (44,917 ) 94 $ 529,174 $ (85,984 ) 184 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 Subordinated 13,404 (245 ) 7 — — 8 13,404 (245 ) 15 Interest-only 36,340 (4,434 ) 31 95,411 (59,024 ) 92 131,751 (63,458 ) 123 Agency RMBS Pass-through 779,322 (6,220 ) 17 1,809,566 (77,239 ) 114 2,588,888 (83,459 ) 131 Interest-only — — — — — — — — — Agency CMBS Project loans 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 years ended December 31, 2019 , 2018 and 2017 and are presented below. For the Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Total other-than-temporary impairment losses $ (801 ) $ (2,556 ) $ (5,169 ) Portion of loss recognized in other comprehensive income (loss) (4,052 ) (19,235 ) (56,687 ) Net other-than-temporary credit impairment losses $ (4,853 ) $ (21,791 ) $ (61,856 ) 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 Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Cumulative credit loss beginning balance $ 587,199 $ 591,521 $ 556,485 Additions: Other-than-temporary impairments not previously recognized 1,479 9,379 12,669 Reductions for securities sold or deconsolidated during the period (175 ) (9,169 ) (12,405 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 3,375 12,412 47,211 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (5,593 ) (16,944 ) (12,439 ) Cumulative credit impairment loss ending balance $ 586,285 $ 587,199 $ 591,521
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 Year Ended December 31, 2019 December 31, 2018 Loss Severity Weighted Average 69% 59% Range 53% - 102% 5% - 132% 60+ days delinquent Weighted Average 8% 13% Range 2% - 18% 0% - 30% Credit Enhancement (1) Weighted Average 0% 14% Range 0% - 0% 0% - 55% 3 Month Prepay Rate Weighted Average 8% 10% Range 3% - 21% 0% - 39% 12 Month Prepay Rate Weighted Average 9% 11% 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 December 31, 2019 and 2018 . December 31, 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 $ 628,518 $ — $ 628,518 $ (293 ) $ — $ (293 ) Subordinated 57,174 19,098 76,272 (55 ) (5,213 ) (5,268 ) Interest-only — 51,481 51,481 — (63,752 ) (63,752 ) Agency RMBS Pass-through — 152,271 152,271 — (1,215 ) (1,215 ) Interest-only — 220 220 — (12,089 ) (12,089 ) Agency CMBS Project loans 23,643 109,057 132,700 (651 ) (15 ) (666 ) Interest-only — 586 586 — (2,701 ) (2,701 ) Total $ 709,335 $ 332,713 $ 1,042,048 $ (999 ) $ (84,985 ) $ (85,984 ) 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 ) Subordinated 50,235 3,467 53,702 (151 ) (94 ) (245 ) Interest-only — 33,123 33,123 — (63,458 ) (63,458 ) Agency RMBS Pass-through 1,708 50,278 51,986 (59,552 ) (23,907 ) (83,459 ) Interest-only — 1,490 1,490 — — — Agency CMBS Project loans 811 5,492 6,303 (35,125 ) (42,893 ) (78,018 ) Interest-only — 496 496 — (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 December 31, 2019 and 2018 . December 31, 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 $ 2,024,564 $ 52.98 84.01 5.0 % 20.8 % Subordinated 876,592 63.15 71.25 3.7 % 6.9 % Interest-only 7,458,653 4.04 3.87 1.1 % 8.4 % Agency RMBS Pass-through 6,080,547 102.15 104.64 4.0 % 3.4 % Interest-only 1,539,941 9.06 8.29 1.6 % 4.0 % Agency CMBS Project loans 2,621,938 101.82 106.86 3.7 % 3.6 % Interest-only 1,817,246 2.81 2.70 0.7 % 4.7 % (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 % Subordinated 394,037 56.60 70.16 4.0 % 9.9 % Interest-only 5,888,747 5.04 4.53 1.2 % 8.7 % Agency RMBS Pass-through 8,984,249 102.47 102.12 4.0 % 3.6 % Interest-only 578,284 11.10 11.36 1.5 % 5.5 % Agency CMBS Project loans 2,895,679 101.98 99.50 3.6 % 3.4 % Interest-only 2,450,288 2.93 2.76 0.6 % 3.2 % (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 December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 AAA 0.4 % 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 91.6 % 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 December 31, 2019 and 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. December 31, 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 $ 16,343 $ 450,185 $ 676,382 $ 558,001 $ 1,700,911 Subordinated — 43,796 95,973 484,829 624,598 Interest-only — 126,631 159,057 3,211 288,899 Agency RMBS Pass-through — 5,939,408 421,539 1,679 6,362,626 Interest-only — 1,614 126,053 — 127,667 Agency CMBS Project loans 15,065 — 29,385 2,757,242 2,801,692 Interest-only — 20,528 28,497 — 49,025 Total fair value $ 31,408 $ 6,582,162 $ 1,536,886 $ 3,804,962 $ 11,955,418 Amortized cost Non-Agency RMBS Senior $ 15,206 $ 304,850 $ 409,958 $ 342,672 $ 1,072,686 Subordinated — 29,085 86,033 438,476 553,594 Interest-only — 150,221 148,889 2,060 301,170 Agency RMBS Pass-through — 5,796,044 414,482 1,044 6,211,570 Interest-only — 2,260 137,276 — 139,536 Agency CMBS Project loans 15,084 — 28,954 2,625,620 2,669,658 Interest-only — 22,950 28,190 — 51,140 Total amortized cost $ 30,290 $ 6,305,410 $ 1,253,782 $ 3,409,872 $ 10,999,354 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 Subordinated — 39,825 43,744 192,898 276,467 Interest-only 1,189 38,710 105,722 120,918 266,539 Agency RMBS Pass-through — 640,713 8,524,211 9,458 9,174,382 Interest-only — — 65,675 — 65,675 Agency CMBS Project loans — 15,468 28,205 2,837,549 2,881,222 Interest-only — 48,580 19,091 — 67,671 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 Subordinated — 29,487 26,036 167,487 223,010 Interest-only 2,250 47,372 118,896 128,356 296,874 Agency RMBS Pass-through — 645,368 8,550,766 9,721 9,205,855 Interest-only — 64,185 — 64,185 Agency CMBS Project loans — 15,543 29,447 2,907,947 2,952,937 Interest-only — 53,076 18,765 — 71,841 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 December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 Weighted average maturity (years) 23.6 21.3 Weighted average amortized loan to value (1) 63.2 % 62.9 % Weighted average FICO (2) 719 708 Weighted average loan balance (in thousands) $ 313 $ 308 Weighted average percentage owner occupied 80.6 % 85.7 % Weighted average percentage single family residence 60.0 % 63.8 % Weighted average current credit enhancement 1.1 % 1.4 % Weighted average geographic concentration of top four states CA 32.5 % CA 33.8 % FL 6.6 % FL 7.7 % NY 6.3 % NY 7.4 % TX 2.0 % 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 December 31, 2019 and 2018 . Origination Year December 31, 2019 December 31, 2018 2003 and prior 1.3 % 1.3 % 2004 1.5 % 1.7 % 2005 10.7 % 12.9 % 2006 52.9 % 49.8 % 2007 26.6 % 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 years ended December 31, 2019 , 2018 and 2017 are as follows: For the Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 38,659 100,791 68,164 Agency RMBS 2,915,545 7,064 570,195 Agency CMBS 375,489 9,120 173,646 Gross realized gains: Non-Agency RMBS 422 7,424 12,171 Agency RMBS 35,221 — 3,068 Agency CMBS 11,328 122 2,300 Gross realized losses: Non-Agency RMBS (1,445 ) (7,234 ) (20 ) Agency RMBS (24,531 ) (1,919 ) (7,740 ) Agency CMBS (2,225 ) (1,237 ) (656 ) Net realized gain (loss) $ 18,770 $ (2,844 ) $ 9,123

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 : For the Year Ended December 31, 2019 December 31, 2018 (dollars in thousands) Balance, beginning of period $ 12,572,581 $ 13,678,263 Purchases 5,086,491 1,671,330 Principal paydowns (1,717,745 ) (1,859,155 ) Sales and settlements (1,812,760 ) (807,364 ) Net periodic accretion (amortization) (77,491 ) (83,393 ) Realized gains (losses) on sales and settlements 1,590 101 Change in fair value 240,149 (27,201 ) Balance, end of period $ 14,292,815 $ 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 December 31, 2019 (1) December 31, 2018 2002 and prior 6.8 % 7.3 % 2003 6.0 % 6.6 % 2004 12.6 % 13.6 % 2005 18.6 % 19.5 % 2006 22.5 % 22.7 % 2007 20.7 % 19.5 % 2008 6.4 % 6.2 % 2009 1.5 % 1.0 % 2010 and later 4.9 % 3.6 % Total 100.0 % 100.0 % (1) The table above excludes approximately $754 million of Loans held for investments which were purchased prior to December 31, 2019 and will settle subsequent to December 31, 2019 .
Schedule of securitized loans held for investment types and characteristics of underlying collateral	December 31, 2018 (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 8,258 1.00% to 19.49% 6/1/1983 - 6/1/2058 $ 713,392 $ 80,781 $ 48,235 $250 to $500 456 2.00% to 12.75% 3/1/2023 - 2/1/2057 148,867 17,722 10,779 $500 to $750 65 2.00% to 10.00% 1/1/2034 - 8/1/2047 38,148 2,979 2,762 $750 to $1,000 7 4.13% to 5.13% 4/1/2035 - 4/1/2038 6,008 784 — Over $1,000 7 4.00% to 5.00% 7/1/2037 - 8/1/2039 12,195 — 1,164 8,793 $ 918,610 $ 102,266 $ 62,940 Fixed loans: $1 to $250 126,085 0.00% to 24.00% 6/1/1989 - 5/1/2062 $ 9,566,517 $ 894,574 $ 591,283 $250 to $500 4,942 0.00% to 12.52% 4/1/2018 - 11/1/2061 1,595,673 160,015 128,876 $500 to $750 406 2.00% to 10.69% 7/1/2031 - 5/1/2058 238,292 12,239 10,600 $750 to $1,000 88 2.00% to 7.98% 3/1/2013 - 12/1/2055 75,289 2,677 1,805 Over $1,000 31 3.00% to 6.38% 6/1/2037 - 6/1/2057 38,200 — — 131,552 $ 11,513,971 $ 1,069,505 $ 732,564 Total 140,345 $ 12,432,581 $ 1,171,771 $ 795,504 The following tables show various characteristics of our residential loan portfolio and outstanding principal balance of the loans that are 30 days delinquent and greater for the year ended December 31, 2019 and 2018, respectively. December 31, 2019 (1) (dollars in thousands) Loan Balance Number of Loans Interest Rate Maturity Date Total Principal 30-89 Days Delinquent 90+ Days Delinquent Held-for-Investment at fair value: Adjustable rate loans: $1 to $250 7,776 1.00% to 19.24% 6/1/1983 - 3/13/2057 $ 655,914 $ 75,436 $ 44,117 $250 to $500 497 2.00% to 13.13% 3/1/2023 - 7/1/2057 163,972 18,117 10,950 $500 to $750 96 2.00% to 9.38% 1/1/2034 - 10/1/2056 56,661 2,224 2,747 $750 to $1,000 20 1.97% to 8.13% 10/1/2036 - 11/1/2048 16,947 759 862 Over $1,000 12 2.00% to 6.63% 5/1/2036 - 10/1/2048 19,499 1,222 3,869 8,401 $ 912,993 $ 97,758 $ 62,545 Fixed loans: $1 to $250 123,580 0.00% to 24.00% 6/1/1989 - 5/1/2062 $ 9,482,855 $ 1,021,054 $ 571,242 $250 to $500 6,259 0.00% to 11.69% 12/1/2019 - 3/1/2065 2,059,131 275,574 131,472 $500 to $750 712 2.00% to 10.69% 8/1/2019 - 9/1/2059 418,044 46,972 12,137 $750 to $1,000 137 2.00% to 8.00% 3/1/2013 - 1/1/2058 116,993 6,224 5,312 Over $1,000 105 2.00% to 9.50% 9/1/2019 - 12/1/2057 179,827 10,497 — 130,793 $ 12,256,850 $ 1,360,321 $ 720,163 Total 139,194 $ 13,169,843 $ 1,458,079 $ 782,708 (1) The table above excludes approximately $754 million of Loans held for investments which were purchased prior to December 31, 2019 and will settle subsequent to December 31, 2019 .
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 December 31, 2019 and 2018 : December 31, 2019 (1) December 31, 2018 Number of loans 139,194 140,345 Weighted average maturity (years) 19.3 18.6 Weighted average loan to value (2) 87.4 % 87.5 % Weighted average FICO (2) 627 629 Weighted average loan balance (in thousands) $ 95 $ 89 Weighted average percentage owner occupied 88.0 % 90.1 % Weighted average percentage single family residence 84.4 % 86.3 % Weighted average geographic concentration of top five states CA 11.6 % CA 9.0 % FL 7.4 % FL 7.3 % NY 6.9 % OH 5.9 % OH 5.3 % NY 5.7 % PA 5.3 % PA 5.6 % (1) The table above excludes approximately $754 million of Loans held for investments which were purchased prior to December 31, 2019 and will settle subsequent to December 31, 2019 . (2) As provided by the Trustee.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 , respectively: December 31, 2019 (dollars in thousands) Unpaid Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated 580,761 422,826 10,513 Interest-only 7,458,653 288,899 18,064 Agency RMBS Pass-through 6,080,549 6,362,628 124,685 Interest-only 1,539,941 127,667 (13,359 ) Agency CMBS Project loans 1,753,755 1,889,923 146,441 Interest-only 1,817,246 49,025 2,054 Loans held for investment, at fair value 13,924,291 14,292,815 240,148 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,184,369 8,179,608 (118,911 ) December 31, 2018 (dollars in thousands) Unpaid Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 12,014 $ (145 ) Interest-only 5,888,747 266,539 21,356 Agency RMBS Pass-through 7,573,835 7,739,382 31,185 Interest-only 578,284 65,675 3,785 Agency CMBS Project loans 1,607,626 1,595,681 (35,002 ) Interest-only 2,450,288 67,670 444 Loans held for investment, at fair value 12,432,582 12,572,581 (27,201 ) Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,561,319 8,455,376 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 December 31, 2019 and 2018 are presented below. December 31, 2019 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,614,408 $ — $ 2,614,408 Agency RMBS, at fair value — 6,490,293 — — 6,490,293 Agency CMBS, at fair value — 2,850,717 — — 2,850,717 Loans held for investment, at fair value — — 14,292,815 — 14,292,815 Derivatives 3,611 1,092 — (1,092 ) 3,611 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 8,179,608 — 8,179,608 Derivatives — 205,703 — (205,703 ) — 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 RMBS, at fair value — 9,240,057 — — 9,240,057 Agency CMBS, at fair value — 2,948,893 — — 2,948,893 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 financial instruments classified as Level 3 at December 31, 2019 and 2018 . Fair Value Reconciliation, Level 3 For the Year Ended December 31, 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 497,848 5,086,491 1,487,286 Principal payments (415,518 ) (1,717,745 ) (1,530,818 ) Sales and Settlements (38,605 ) (1,812,760 ) (314,454 ) Net accretion (amortization) 95,562 (77,491 ) (26,758 ) Gains (losses) included in net income Other than temporary credit impairment losses (4,853 ) — — Realized gains (losses) on sales and settlements (1,088 ) 1,590 (9,925 ) Net unrealized gains (losses) included in income 28,577 240,149 118,901 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (33,645 ) — — Ending balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 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 December 31, 2019 and 2018 follows: December 31, 2019 Significant Inputs Discount Rate Prepay Rate CDR Loss Severity Range Weighted Average Range Weighted Average Range Weighted Average Range Weighted Average Non-Agency RMBS Senior 3% -8% 3.8% 6% -20% 9.4% 0% -9% 1.8% 26% -82% 42.0% Subordinated 0% -13% 5.1% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 12.5% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% December 31, 2018 Significant Inputs Discount Rate Prepay Rate 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% -11% 2.5% 35% -81% 44.6% Subordinated 4% -20% 5.8% 1% -19% 7.9% 0% -6% 1.9% 30% -65% 40.3% Interest-only 8% -100% 11.1% 3% -32% 10.7% 0% -8% 1.9% 30% -86% 42.1% 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 December 31, 2019 and 2018 follows: December 31, 2019 Significant Inputs Discount Rate Prepay Rate 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% - 20% 9.1% 0% - 3% 1.4% 30% - 75% 59.8% December 31, 2018 Significant Inputs Discount Rate Prepay Rate 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% 4.5% 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 December 31, 2019 and 2018 . December 31, 2019 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 13,427,545 13,450,193 Securitized debt, collateralized by Non-Agency RMBS 3 133,557 117,552 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 December 31, 2019 and 2018 follows: December 31, 2019 December 31, 2018 Factor: Coupon Base Rate 4.3% 5.2% Actual 6.6% 6.9% FICO Base Rate 636 638 Actual 624 626 Loan-to-value (LTV) Base Rate 86% 88% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 89% 90% Investor 2% 1% Secondary 9% 9% Property Type Single family 85% 86% Manufactured housing 4% 4% Multi-family/mixed use/other 11% 10%

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 were: December 31, 2019 December 31, 2018 Repurchase agreements outstanding secured by: Agency RMBS (in thousands) $ 6,247,275 $ 8,588,446 Agency CMBS (in thousands) 2,013,515 1,604,826 Non-agency RMBS and Loans held for investment (in thousands) 5,166,755 3,837,193 Total: $ 13,427,545 $ 14,030,465 MBS pledged as collateral at fair value on Repurchase agreements: Agency RMBS (in thousands) $ 6,602,039 $ 9,123,369 Agency CMBS (in thousands) 2,102,520 1,708,648 Non-agency RMBS and Loans held for investment (in thousands) 6,694,685 4,998,990 Total: $ 15,399,244 $ 15,831,007 Average balance of Repurchase agreements secured by: Agency RMBS (in thousands) $ 8,062,881 $ 4,651,613 Agency CMBS (in thousands) 1,993,372 1,434,030 Non-agency RMBS and Loans held for investment (in thousands) 4,436,133 3,730,527 Total: $ 14,492,386 $ 9,816,170 Average borrowing rate of Repurchase agreements secured by: Agency RMBS (in thousands) 2.10 % 2.55 % Agency CMBS (in thousands) 2.10 % 2.58 % Non-agency RMBS and Loans held for investment (in thousands) 3.19 % 4.04 % Average remaining maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 14 Days 29 Days Agency CMBS (in thousands) 13 Days 33 Days Non-agency RMBS and Loans held for investment (in thousands) 255 Days 231 Days Average original maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 38 Days 89 Days Agency CMBS (in thousands) 34 Days 84 Days Non-agency RMBS and Loans held for investment (in thousands) 279 Days 259 Days At December 31, 2019 and 2018 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. December 31, 2019 December 31, 2018 (dollars in thousands) Overnight $ — $ — 1 to 29 days 9,709,387 6,326,232 30 to 59 days 800,648 4,620,656 60 to 89 days 608,520 1,504,695 90 to 119 days — 169,244 Greater than or equal to 120 days 2,308,990 1,409,638 Total $ 13,427,545 $ 14,030,465

Securitized Debt (Tables)

Securitized Debt (Tables)	12 Months Ended
	Dec. 31, 2019
Debt Instrument [Line Items]
Schedule of callable debt	The following table presents the par value of the callable debt by year at December 31, 2019 . December 31, 2019 (dollars in thousands) Year Principal 2020 3,527,114 2021 2,841,599 2022 795,683 2023 105,417 Total $ 7,269,813
Non-Agency RMBS
Debt Instrument [Line Items]
Schedule of maturities of long-term debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2019 and 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. December 31, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 18,826 $ 23,602 One to Three Years 18,332 30,803 Three to Five Years 4,453 8,047 Greater Than Five Years 665 3,605 Total $ 42,276 $ 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 December 31, 2019 and 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. December 31, 2019 December 31, 2018 (dollars in thousands) Within One Year $ 1,582,646 $ 1,608,381 One to Three Years 2,563,699 2,587,635 Three to Five Years 1,791,756 1,949,060 Greater Than Five Years 2,129,460 2,237,259 Total $ 8,067,561 $ 8,382,335

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 . December 31, 2019 December 31, 2018 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 598,080 $ 1,017,442 Loans held for investment, at fair value 11,853,659 12,263,265 Accrued interest receivable 63,218 72,389 Other assets 29,787 39,855 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 133,557 $ 159,955 Securitized debt at fair value, collateralized by loans held for investment 7,899,259 8,455,376 Accrued interest payable 28,775 33,541 Other liabilities 2,644 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 Year ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 780,746 $ 904,830 $ 914,022 Interest expense, Non-recourse liabilities of VIEs 337,387 395,255 390,858 Net interest income $ 443,359 $ 509,575 $ 523,164 Total other-than-temporary impairment losses $ (424 ) $ (1,026 ) $ (2,174 ) Portion of loss recognized in other comprehensive income (loss) (3,831 ) (17,820 ) (51,118 ) Net other-than-temporary credit impairment losses $ (4,255 ) $ (18,845 ) $ (53,292 ) Servicing fees $ 33,920 $ 39,313 $ 41,493

Derivative Instruments (Tables)

Derivative Instruments (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 . December 31, 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 $ 4,111,300 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions — Derivatives, at fair value, net — Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ — 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 December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (122,272 ) $ (125,595 ) $ 43,697 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (356,713 ) (1,488 ) (31,593 ) Treasury Futures Net unrealized gains (losses) on derivatives 16,986 (16,928 ) 1,768 Treasury Futures Net realized gains (losses) on derivatives (37,032 ) 21,333 (4,061 ) Swaptions Net unrealized gains (losses) on derivatives (923 ) 1,361 2,511 Swaptions Net realized gains (losses) on derivatives (404 ) (1,476 ) (6,134 ) Total $ (500,358 ) $ (122,793 ) $ 6,188 (1) Includes loss on termination of interest rate swaps of $360 million and $16 million during the year ended December 31, 2019 and 2017, respectively. There were no swaps terminations during the year ended December 31, 2018 .

Capital Stock (Tables)

Capital Stock (Tables)	12 Months Ended
	Dec. 31, 2019
Equity [Abstract]
Schedule of earnings per share	Earnings per share for the years ended December 31, 2019 , 2018 and 2017 respectively, are computed as follows: For the Year Ended December 31, 2019 December 31, 2018 December 31, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 340,847 $ 368,440 $ 491,184 Effect of dilutive securities: — — — Dilutive net income available to common shareholders $ 340,847 $ 368,440 $ 491,184 Denominator: Weighted average basic shares 187,156,990 187,146,170 187,780,355 Effect of dilutive securities 1,249,454 602,692 506,965 Weighted average dilutive shares 188,406,444 187,748,862 188,287,320 Net income per average share attributable to common stockholders - Basic $ 1.82 $ 1.97 $ 2.62 Net income per average share attributable to common stockholders - Diluted $ 1.81 $ 1.96 $ 2.61

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	12 Months Ended
	Dec. 31, 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 year ended December 31, 2019 and 2018 : December 31, 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 70,855 70,855 Amounts reclassified from AOCI 10,649 10,649 Net current period OCI 81,504 81,504 Balance as of December 31, 2019 $ 708,336 $ 708,336 December 31, 2018 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2017 $ 796,902 $ 796,902 OCI before reclassifications (185,570 ) (185,570 ) Amounts reclassified from AOCI 15,500 15,500 Net current period OCI (170,070 ) (170,070 ) Balance as of December 31, 2018 $ 626,832 $ 626,832
Schedule of reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the year ended December 31, 2019 and 2018 : December 31, 2019 December 31, 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 $ (5,796 ) $ 6,291 Net realized gains (losses) on sales of investments (4,853 ) (21,791 ) Net other-than-temporary credit impairment losses $ (10,649 ) $ (15,500 ) Income before income taxes — — Income taxes $ (10,649 ) $ (15,500 ) Net of tax

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans (Tables)	12 Months Ended
	Dec. 31, 2019
Compensation Related Costs [Abstract]
Schedule of Stock Awards	The following table presents information with respect to the Company's stock awards during the years ended December 31, 2019 and 2018. For the Year Ended December 31, 2019 December 31, 2018 Number of Shares Weighted Average Grant Date Fair Value Number of Shares Weighted Average Grant Date Fair Value Unvested shares outstanding - beginning of period 1,159,183 16.51 769,815 25.58 Granted 804,738 17.91 467,657 17.90 Vested (207,827 ) 16.11 (69,303 ) 15.99 Forfeited (10,132 ) 18.63 (8,986 ) 18.40 Unvested shares outstanding - end of period 1,745,962 17.19 1,159,183 16.51

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	12 Months Ended
	Dec. 31, 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 December 31, 2019 and 2018 . December 31, 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 $ (13,427,545 ) $ — $ (13,427,545 ) $ 15,399,244 $ 20,211 $ 1,991,910 Interest Rate Swaps - Gross Assets 1,092 (1,092 ) — — 119,469 119,469 Interest Rate Swaps - Gross Liabilities (205,703 ) 205,703 — — — — Treasury Futures - Gross Assets 3,611 — 3,611 — 1,514 5,125 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets — — — — — — Swaptions - Gross Liabilities — — — — — — Total $ (13,628,545 ) $ 204,611 $ (13,423,934 ) $ 15,399,244 $ 141,194 $ 2,116,504 (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

Summarized Quarterly Results _2

Summarized Quarterly Results (Unaudited) (Tables)	12 Months Ended
	Dec. 31, 2019
Quarterly Financial Information Disclosure [Abstract]
Quarterly Financial Information	The following is a presentation of the results of operations for the quarters ended December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019. For the Quarter Ended December 31, 2019 September 30, 2019 June 30, 2019 March 31, 2019 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 340,662 $ 330,144 $ 339,914 $ 350,389 Interest expense 169,203 188,551 198,110 202,950 Net interest income 171,459 141,593 141,804 147,439 Net other-than-temporary credit impairment losses — — — (4,853 ) Net gains (losses) on derivatives 78,030 (136,671 ) (237,079 ) (204,638 ) Net unrealized gains (losses) on financial instruments at fair value (112,751 ) 130,825 190,748 200,812 Net realized gains (losses) on sales of investments 17,687 1,596 (7,526 ) 8,603 Gain (loss) on Extinguishment of Debt 9,926 — (608 ) — Total other expenses 33,998 31,015 28,424 29,216 Net income (loss) $ 130,318 $ 106,326 $ 58,760 $ 118,147 Dividend on preferred stock $ 18,438 $ 18,438 $ 18,438 $ 17,392 Net income (loss) available to common shareholders $ 111,880 $ 87,888 $ 40,322 $ 100,755 Net income per common share-basic $ 0.60 $ 0.47 $ 0.22 $ 0.54 The following is a presentation of the results of operations for the quarters ended December 31, 2018, September 30, 2018, June 30, 2018 and March 31, 2018. For the Quarter Ended December 31, 2018 September 30, 2018 June 30, 2018 March 31, 2018 (dollars in thousands, except per share data) Net Interest Income: Interest income $ 348,033 $ 321,715 $ 306,436 $ 297,132 Interest expense 193,920 174,671 161,266 149,251 Net interest income 154,113 147,044 145,170 147,881 Net other-than-temporary credit impairment losses (4,269 ) (7,233 ) (9,131 ) (1,158 ) Net gains (losses) on derivatives (315,877 ) 74,078 24,502 94,504 Net unrealized gains (losses) on financial instruments at fair value 84,836 (34,306 ) (18,364 ) 14,466 Net realized gains (losses) on sales of investments 1,213 (6,123 ) 2,167 — Gain (loss) on Extinguishment of Debt 7,055 9,263 387 9,670 Total other expenses 29,855 25,395 26,587 26,322 Net income (loss) $ (102,798 ) $ 157,321 $ 118,108 $ 239,007 Dividend on preferred stock $ 14,437 $ 9,960 $ 9,400 $ 9,400 Net income (loss) available to common shareholders $ (117,235 ) $ 147,361 $ 108,708 $ 229,607 Net income per common share-basic $ (0.63 ) $ 0.79 $ 0.58 $ 1.22

Organization - Narrative (Detai

Organization - Narrative (Detail)	12 Months Ended
	Dec. 31, 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 ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019		Dec. 31, 2018		Dec. 31, 2017	[1]
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Non-Agency RMBS, at fair value	$ 2,614,408,000				$ 2,486,130,000				$ 2,614,408,000		$ 2,486,130,000
Agency RMBS, at fair value	6,490,293,000				9,240,057,000				6,490,293,000		9,240,057,000
Agency CMBS, at fair value	2,850,717,000				2,948,893,000				2,850,717,000		2,948,893,000
Interest income	340,662,000	$ 330,144,000	$ 339,914,000	$ 350,389,000	348,033,000	$ 321,715,000	$ 306,436,000	$ 297,132,000	1,361,110,000	[1]	1,273,316,000	[1]	$ 1,138,758,000
Accrual for penalties and interest	0				0				0		0
Seasoned Subprime Residential Mortgage Loans | Loans Held for Investment at Fair Value
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Real estate acquired through foreclosure	25,000,000				17,000,000				25,000,000		17,000,000
Non Agency Residential Mortgage Backed Securities Fair Value Option
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Non-Agency RMBS, at fair value	423,000,000				12,000,000				423,000,000		12,000,000
Residential Mortgage-Backed Securities | Interest-Only-Strip
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Interest income									27,000,000		25,000,000
Residential Mortgage-Backed Securities | Non Agency Senior And Subordinated Mortgage Backed Securities Interest Only Available For Sale | Interest-Only-Strip
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Non-Agency RMBS, at fair value	289,000,000				267,000,000				289,000,000		267,000,000
Residential Mortgage-Backed Securities | Agency Senior And Subordinated Mortgage Backed Securities Interest Only Available For Sale | Interest-Only-Strip
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Agency RMBS, at fair value	128,000,000				66,000,000				128,000,000		66,000,000
Commercial Mortgage Backed Securities | Agency CMBS | Interest-Only-Strip
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Agency CMBS, at fair value	$ 49,000,000				$ 68,000,000				$ 49,000,000		$ 68,000,000
[1]	Includes interest income of consolidated VIEs of $780,746 , $904,830 and $914,022 for the years ended December 31, 2019 , 2018 and 2017 , respectively. See Note 8 to consolidated financial statements for further discussion.

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Principal or Notional Value	$ 22,419,481	$ 23,577,333
Total Premium	687,503	725,412
Total Discount	(1,291,790)	(1,296,506)
Amortized Cost	10,999,354	14,088,920
Fair Value	11,955,418	14,675,080
Gross Unrealized Gains	1,042,048	816,456
Gross Unrealized Losses	(85,984)	(230,296)
Net Unrealized Gain/(Loss)	956,064	586,160
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	2,024,564	2,386,049
Total Premium	2,038	537
Total Discount	(953,916)	(1,112,368)
Amortized Cost	1,072,686	1,274,218
Fair Value	1,700,911	1,943,124
Gross Unrealized Gains	628,518	669,356
Gross Unrealized Losses	(293)	(450)
Net Unrealized Gain/(Loss)	628,225	668,906
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	876,592	394,037
Total Premium	9,915	8,642
Total Discount	(332,913)	(179,669)
Amortized Cost	553,594	223,010
Fair Value	624,598	276,467
Gross Unrealized Gains	76,272	53,702
Gross Unrealized Losses	(5,268)	(245)
Net Unrealized Gain/(Loss)	71,004	53,457
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	7,458,653	5,888,747
Total Premium	301,170	296,874
Total Discount	0	0
Amortized Cost	301,170	296,874
Fair Value	288,899	266,539
Gross Unrealized Gains	51,481	33,123
Gross Unrealized Losses	(63,752)	(63,458)
Net Unrealized Gain/(Loss)	(12,271)	(30,335)
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	6,080,547	8,984,249
Total Premium	131,023	221,606
Total Discount	0	0
Amortized Cost	6,211,570	9,205,855
Fair Value	6,362,626	9,174,382
Gross Unrealized Gains	152,271	51,986
Gross Unrealized Losses	(1,215)	(83,459)
Net Unrealized Gain/(Loss)	151,056	(31,473)
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,539,941	578,284
Total Premium	139,536	64,185
Total Discount	0	0
Amortized Cost	139,536	64,185
Fair Value	127,667	65,675
Gross Unrealized Gains	220	1,490
Gross Unrealized Losses	(12,089)	0
Net Unrealized Gain/(Loss)	(11,869)	1,490
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	2,621,938	2,895,679
Total Premium	52,681	61,727
Total Discount	(4,961)	(4,469)
Amortized Cost	2,669,658	2,952,937
Fair Value	2,801,692	2,881,222
Gross Unrealized Gains	132,700	6,303
Gross Unrealized Losses	(666)	(78,018)
Net Unrealized Gain/(Loss)	132,034	(71,715)
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,817,246	2,450,288
Total Premium	51,140	71,841
Total Discount	0	0
Amortized Cost	51,140	71,841
Fair Value	49,025	67,671
Gross Unrealized Gains	586	496
Gross Unrealized Losses	(2,701)	(4,666)
Net Unrealized Gain/(Loss)	$ (2,115)	$ (4,170)

Mortgage-Backed Securities - Ac

Mortgage-Backed Securities - Accretable Yield (Detail) - Available-for-sale Securities - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Accretable Yield Movement Schedule [Roll Forward]
Balance at beginning of period	$ 1,248,309	$ 1,303,589
Purchases	0	43,866
Yield income earned	(228,208)	(231,205)
Reclassification (to) from non-accretable difference	59,957	157,117
Sales and deconsolidation	(26,378)	(25,058)
Balance at end of period	$ 1,053,680	$ 1,248,309

Mortgage-Backed Securities - No

Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Outstanding principal balance:
Beginning of period	$ 2,325,154	$ 2,673,350
End of period	1,964,143	2,325,154
Amortized cost:
Beginning of period	1,158,291	1,381,839
End of period	$ 965,546	$ 1,158,291

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) $ in Thousands	Dec. 31, 2019USD ($)security	Dec. 31, 2018USD ($)security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 309,196	$ 2,532,390
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (41,067)	$ (67,329)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	90	605
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 219,978	$ 2,484,509
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (44,917)	$ (162,967)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	94	415
Total, Estimated Fair Value	$ 529,174	$ 5,016,899
Total, Unrealized Losses	$ (85,984)	$ (230,296)
Total, Number of Positions | security	184	1,020
Residential Mortgage-Backed Securities | 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	$ 31,635	$ 33,303
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (293)	$ (450)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	1	1
Total, Estimated Fair Value	$ 31,635	$ 33,303
Total, Unrealized Losses	$ (293)	$ (450)
Total, Number of Positions | security	1	1
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 69,178	$ 13,404
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (5,064)	$ (245)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	9	7
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 1,836	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (204)	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	11	8
Total, Estimated Fair Value	$ 71,014	$ 13,404
Total, Unrealized Losses	$ (5,268)	$ (245)
Total, Number of Positions | security	20	15
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 50,376	$ 36,340
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (22,737)	$ (4,434)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	46	31
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 64,129	$ 95,411
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (41,015)	$ (59,024)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	66	92
Total, Estimated Fair Value	$ 114,505	$ 131,751
Total, Unrealized Losses	$ (63,752)	$ (63,458)
Total, Number of Positions | security	112	123
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 11,398	$ 779,322
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (605)	$ (6,220)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	4	17
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 67,552	$ 1,809,566
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (610)	$ (77,239)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	5	114
Total, Estimated Fair Value	$ 78,950	$ 2,588,888
Total, Unrealized Losses	$ (1,215)	$ (83,459)
Total, Number of Positions | security	9	131
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 121,228	$ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (12,089)	$ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	22	0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	0
Total, Estimated Fair Value	$ 121,228	$ 0
Total, Unrealized Losses	$ (12,089)	$ 0
Total, Number of Positions | security	22	0
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 41,971	$ 1,697,555
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (277)	$ (56,382)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	3	548
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 44,896	$ 504,570
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (389)	$ (21,636)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	4	183
Total, Estimated Fair Value	$ 86,867	$ 2,202,125
Total, Unrealized Losses	$ (666)	$ (78,018)
Total, Number of Positions | security	7	731
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 15,045	$ 5,769
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (295)	$ (48)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	6	2
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 9,930	$ 41,659
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (2,406)	$ (4,618)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	7	17
Total, Estimated Fair Value	$ 24,975	$ 47,428
Total, Unrealized Losses	$ (2,701)	$ (4,666)
Total, Number of Positions | security	13	19

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Thousands	12 Months Ended
	Dec. 31, 2019USD ($)	Dec. 31, 2018USD ($)	Dec. 31, 2017USD ($)
Investment Holdings [Line Items]
Gross unrealized loss	$ 85,984	$ 230,296
Agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	1,000	95,000
Non-Agency RMBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 348	$ 601
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality
Investment Holdings [Line Items]
Percentage in Alt-A collateral	58.00%	64.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality
Investment Holdings [Line Items]
Percentage in prime collateral	12.00%	12.00%
Re Remic Security
Investment Holdings [Line Items]
Fair value of securities exchanged during period		$ 81,000	$ 63,000
Gain (loss) on sale of investments		$ 3,000	$ 9,000
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								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]
Total other-than-temporary impairment losses									$ (801)	$ (2,556)	$ (5,169)
Portion of loss recognized in other comprehensive income (loss)									(4,052)	(19,235)	(56,687)
Net other-than-temporary credit impairment losses	$ 0	$ 0	$ 0	$ (4,853)	$ (4,269)	$ (7,233)	$ (9,131)	$ (1,158)	$ (4,853)	$ (21,791)	$ (61,856)

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-Agency RMBS - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss beginning balance	$ 587,199	$ 591,521	$ 556,485
Additions:
Other-than-temporary impairments not previously recognized	1,479	9,379	12,669
Reductions for securities sold or deconsolidated during the period	(175)	(9,169)	(12,405)
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	3,375	12,412	47,211
Reductions for increases in cash flows expected to be collected over the remaining life of the securities	(5,593)	(16,944)	(12,439)
Cumulative credit impairment loss ending balance	$ 586,285	$ 587,199	$ 591,521

Mortgage-Backed Securities - OT

Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-Agency RMBS	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Weighted Average
Investment Holdings [Line Items]
Loss Severity	69.00%	59.00%
60 days delinquent	8.00%	13.00%
Credit Enhancement	0.00%	14.00%
3 Month Prepay Rate	8.00%	10.00%
12 Month Prepay Rate	9.00%	11.00%
Minimum
Investment Holdings [Line Items]
Loss Severity	53.00%	5.00%
60 days delinquent	2.00%	0.00%
Credit Enhancement	0.00%	0.00%
3 Month Prepay Rate	3.00%	0.00%
12 Month Prepay Rate	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 Prepay Rate	21.00%	39.00%
12 Month Prepay Rate	12.00%	28.00%

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 709,335	$ 722,110
Gross Unrealized Gain Included in Cumulative Earnings	332,713	94,346
Total Gross Unrealized Gain	1,042,048	816,456
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(999)	(95,278)
Gross Unrealized Loss Included in Cumulative Earnings	(84,985)	(135,018)
Total Gross Unrealized Loss	(85,984)	(230,296)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	628,518	669,356
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	628,518	669,356
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(293)	(450)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	(293)	(450)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	57,174	50,235
Gross Unrealized Gain Included in Cumulative Earnings	19,098	3,467
Total Gross Unrealized Gain	76,272	53,702
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(55)	(151)
Gross Unrealized Loss Included in Cumulative Earnings	(5,213)	(94)
Total Gross Unrealized Loss	(5,268)	(245)
Residential Mortgage-Backed Securities | 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	51,481	33,123
Total Gross Unrealized Gain	51,481	33,123
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(63,752)	(63,458)
Total Gross Unrealized Loss	(63,752)	(63,458)
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	1,708
Gross Unrealized Gain Included in Cumulative Earnings	152,271	50,278
Total Gross Unrealized Gain	152,271	51,986
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	(59,552)
Gross Unrealized Loss Included in Cumulative Earnings	(1,215)	(23,907)
Total Gross Unrealized Loss	(1,215)	(83,459)
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	220	1,490
Total Gross Unrealized Gain	220	1,490
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(12,089)	0
Total Gross Unrealized Loss	(12,089)	0
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	23,643	811
Gross Unrealized Gain Included in Cumulative Earnings	109,057	5,492
Total Gross Unrealized Gain	132,700	6,303
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(651)	(35,125)
Gross Unrealized Loss Included in Cumulative Earnings	(15)	(42,893)
Total Gross Unrealized Loss	(666)	(78,018)
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	586	496
Total Gross Unrealized Gain	586	496
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(2,701)	(4,666)
Total Gross Unrealized Loss	$ (2,701)	$ (4,666)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - USD ($) $ / shares in Units, $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 22,419,481	$ 23,577,333
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,024,564	$ 2,386,049
Weighted Average Amortized Cost Basis (in dollars per share)	$ 52.98	$ 53.40
Weighted Average Fair Value (in dollars per share)	$ 84.01	$ 81.44
Weighted Average Coupon	5.00%	5.00%
Weighted Average Yield at Period-End	20.80%	19.50%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 876,592	$ 394,037
Weighted Average Amortized Cost Basis (in dollars per share)	$ 63.15	$ 56.60
Weighted Average Fair Value (in dollars per share)	$ 71.25	$ 70.16
Weighted Average Coupon	3.70%	4.00%
Weighted Average Yield at Period-End	6.90%	9.90%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 7,458,653	$ 5,888,747
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.04	$ 5.04
Weighted Average Fair Value (in dollars per share)	$ 3.87	$ 4.53
Weighted Average Coupon	1.10%	1.20%
Weighted Average Yield at Period-End	8.40%	8.70%
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 6,080,547	$ 8,984,249
Weighted Average Amortized Cost Basis (in dollars per share)	$ 102.15	$ 102.47
Weighted Average Fair Value (in dollars per share)	$ 104.64	$ 102.12
Weighted Average Coupon	4.00%	4.00%
Weighted Average Yield at Period-End	3.40%	3.60%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,539,941	$ 578,284
Weighted Average Amortized Cost Basis (in dollars per share)	$ 9.06	$ 11.10
Weighted Average Fair Value (in dollars per share)	$ 8.29	$ 11.36
Weighted Average Coupon	1.60%	1.50%
Weighted Average Yield at Period-End	4.00%	5.50%
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,621,938	$ 2,895,679
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.82	$ 101.98
Weighted Average Fair Value (in dollars per share)	$ 106.86	$ 99.50
Weighted Average Coupon	3.70%	3.60%
Weighted Average Yield at Period-End	3.60%	3.40%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,817,246	$ 2,450,288
Weighted Average Amortized Cost Basis (in dollars per share)	$ 2.81	$ 2.93
Weighted Average Fair Value (in dollars per share)	$ 2.70	$ 2.76
Weighted Average Coupon	0.70%	0.60%
Weighted Average Yield at Period-End	4.70%	3.20%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-Agency RMBS	Dec. 31, 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	0.40%	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	91.60%	94.00%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Fair value
Less than one year, at fair value	$ 31,408	$ 8,800
Greater than one year and less than five years, at fair value	6,582,162	1,140,839
Greater than five years and less than ten years, at fair value	1,536,886	9,733,184
Greater than ten years, at fair value	3,804,962	3,792,257
Total maturities, at fair value	11,955,418	14,675,080
Amortized cost
Less than one year, at amortized cost	30,290	9,772
Greater than one year and less than five years, at amortized cost	6,305,410	1,067,871
Greater than five years and less than ten years, at amortized cost	1,253,782	9,393,282
Greater than ten years, at amortized cost	3,409,872	3,617,995
Amortized Cost	10,999,354	14,088,920
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	16,343	7,611
Greater than one year and less than five years, at fair value	450,185	357,543
Greater than five years and less than ten years, at fair value	676,382	946,536
Greater than ten years, at fair value	558,001	631,434
Total maturities, at fair value	1,700,911	1,943,124
Amortized cost
Less than one year, at amortized cost	15,206	7,522
Greater than one year and less than five years, at amortized cost	304,850	277,025
Greater than five years and less than ten years, at amortized cost	409,958	585,187
Greater than ten years, at amortized cost	342,672	404,484
Amortized Cost	1,072,686	1,274,218
Residential Mortgage-Backed Securities | 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	43,796	39,825
Greater than five years and less than ten years, at fair value	95,973	43,744
Greater than ten years, at fair value	484,829	192,898
Total maturities, at fair value	624,598	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	29,085	29,487
Greater than five years and less than ten years, at amortized cost	86,033	26,036
Greater than ten years, at amortized cost	438,476	167,487
Amortized Cost	553,594	223,010
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Fair value
Less than one year, at fair value	0	1,189
Greater than one year and less than five years, at fair value	126,631	38,710
Greater than five years and less than ten years, at fair value	159,057	105,722
Greater than ten years, at fair value	3,211	120,918
Total maturities, at fair value	288,899	266,539
Amortized cost
Less than one year, at amortized cost	0	2,250
Greater than one year and less than five years, at amortized cost	150,221	47,372
Greater than five years and less than ten years, at amortized cost	148,889	118,896
Greater than ten years, at amortized cost	2,060	128,356
Amortized Cost	301,170	296,874
Residential Mortgage-Backed Securities | 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	5,939,408	640,713
Greater than five years and less than ten years, at fair value	421,539	8,524,211
Greater than ten years, at fair value	1,679	9,458
Total maturities, at fair value	6,362,626	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	5,796,044	645,368
Greater than five years and less than ten years, at amortized cost	414,482	8,550,766
Greater than ten years, at amortized cost	1,044	9,721
Amortized Cost	6,211,570	9,205,855
Residential Mortgage-Backed Securities | Agency RMBS - 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	1,614	0
Greater than five years and less than ten years, at fair value	126,053	65,675
Greater than ten years, at fair value	0	0
Total maturities, at fair value	127,667	65,675
Amortized cost
Less than one year, at amortized cost	0
Greater than one year and less than five years, at amortized cost	2,260	0
Greater than five years and less than ten years, at amortized cost	137,276	64,185
Greater than ten years, at amortized cost	0	0
Amortized Cost	139,536	64,185
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Fair value
Less than one year, at fair value	15,065	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	29,385	28,205
Greater than ten years, at fair value	2,757,242	2,837,549
Total maturities, at fair value	2,801,692	2,881,222
Amortized cost
Less than one year, at amortized cost	15,084	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	28,954	29,447
Greater than ten years, at amortized cost	2,625,620	2,907,947
Amortized Cost	2,669,658	2,952,937
Commercial Mortgage Backed Securities | Agency CMBS - 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	20,528	48,580
Greater than five years and less than ten years, at fair value	28,497	19,091
Greater than ten years, at fair value	0	0
Total maturities, at fair value	49,025	67,671
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	22,950	53,076
Greater than five years and less than ten years, at amortized cost	28,190	18,765
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 51,140	$ 71,841

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-Agency RMBS - USD ($) $ in Thousands	Dec. 31, 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	63.20%	62.90%
Weighted average FICO	719	708
Weighted average loan balance (in thousands)	$ 313	$ 308
Weighted average percentage owner occupied	80.60%	85.70%
Weighted average percentage single family residence	60.00%	63.80%
Weighted average current credit enhancement	1.10%	1.40%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	32.50%	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	6.30%	7.40%
TX
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	2.00%
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 RMBS	Dec. 31, 2019	Dec. 31, 2018
Origination Year as a Percentage of Outstanding Principal Balance:
2003 (and prior)	1.30%	1.30%
2004	1.50%	1.70%
2005	10.70%	12.90%
2006	52.90%	49.80%
2007	26.60%	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								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Investment Holdings [Line Items]
Net realized gain (loss)	$ 17,687	$ 1,596	$ (7,526)	$ 8,603	$ 1,213	$ (6,123)	$ 2,167	$ 0	$ 18,770	$ (2,844)	$ 9,123
Non-Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:									38,659	100,791	68,164
Gross realized gains:									422	7,424	12,171
Gross realized losses:									(1,445)	(7,234)	(20)
Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:									2,915,545	7,064	570,195
Gross realized gains:									35,221	0	3,068
Gross realized losses:									(24,531)	(1,919)	(7,740)
Agency CMBS
Investment Holdings [Line Items]
Proceeds from sales:									375,489	9,120	173,646
Gross realized gains:									11,328	122	2,300
Gross realized losses:									$ (2,225)	$ (1,237)	$ (656)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Detail) - USD ($) $ in Millions	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 13,700	$ 12,200
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Purchases	1,800	415
Loans transferred	343
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]
Loans in foreclosure proceedings	299	292
Loans subject to bankruptcy protection	322	266
Real estate acquired, loan value	$ 59	$ 47

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	12 Months Ended
	Dec. 31, 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	5,086,491	1,671,330
Principal paydowns	(1,717,745)	(1,859,155)
Sales and settlements	(1,812,760)	(807,364)
Net periodic accretion (amortization)	(77,491)	(83,393)
Realized gains (losses) on sales and settlements	1,590	101
Change in fair value	240,149	(27,201)
Balance, end of period	$ 14,292,815	$ 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 - USD ($) $ in Millions	Dec. 31, 2019	Dec. 31, 2018
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	6.80%	7.30%
2003	6.00%	6.60%
2004	12.60%	13.60%
2005	18.60%	19.50%
2006	22.50%	22.70%
2007	20.70%	19.50%
2008	6.40%	6.20%
2009	1.50%	1.00%
2010 and later	4.90%	3.60%
Total	100.00%	100.00%
Underlying mortgages excluded from portfolio	$ 754

Loans Held for Investment - Col

Loans Held for Investment - Collateral Characteristics (Detail) $ in Thousands	Dec. 31, 2019USD ($)loan	Dec. 31, 2018USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	139,194	140,345
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans	139,194	140,345
Weighted average maturity (years)	19 years 3 months 18 days	18 years 7 months 6 days
Weighted average loan to value	87.40%	87.50%
Weighted average FICO	627	629
Weighted average loan balance (in thousands) | $	$ 95	$ 89
Weighted average percentage owner occupied	88.00%	90.10%
Weighted average percentage single family residence	84.40%	86.30%
Loans Held for Investment at Fair Value | CA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	11.60%	9.00%
Loans Held for Investment at Fair Value | FL | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	7.40%	7.30%
Loans Held for Investment at Fair Value | OH | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.30%	5.90%
Loans Held for Investment at Fair Value | NY | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	6.90%	5.70%
Loans Held for Investment at Fair Value | PA | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.30%	5.60%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) $ in Thousands	Dec. 31, 2019USD ($)loan	Dec. 31, 2018USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	139,194	140,345
Total Principal	$ 13,169,843	$ 12,432,581
30-89 Days Delinquent	1,458,079	1,171,771
90 Days Delinquent	$ 782,708	$ 795,504
Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	8,401	8,793
Total Principal	$ 912,993	$ 918,610
30-89 Days Delinquent	97,758	102,266
90 Days Delinquent	$ 62,545	$ 62,940
Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	130,793	131,552
Total Principal	$ 12,256,850	$ 11,513,971
30-89 Days Delinquent	1,360,321	1,069,505
90 Days Delinquent	$ 720,163	$ 732,564
$1 To $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	7,776	8,258
Total Principal	$ 655,914	$ 713,392
30-89 Days Delinquent	75,436	80,781
90 Days Delinquent	$ 44,117	$ 48,235
$1 To $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	123,580	126,085
Total Principal	$ 9,482,855	$ 9,566,517
30-89 Days Delinquent	1,021,054	894,574
90 Days Delinquent	$ 571,242	$ 591,283
$250 To $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	497	456
Total Principal	$ 163,972	$ 148,867
30-89 Days Delinquent	18,117	17,722
90 Days Delinquent	$ 10,950	$ 10,779
$250 To $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	6,259	4,942
Total Principal	$ 2,059,131	$ 1,595,673
30-89 Days Delinquent	275,574	160,015
90 Days Delinquent	$ 131,472	$ 128,876
$500 To $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	96	65
Total Principal	$ 56,661	$ 38,148
30-89 Days Delinquent	2,224	2,979
90 Days Delinquent	$ 2,747	$ 2,762
$500 To $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	712	406
Total Principal	$ 418,044	$ 238,292
30-89 Days Delinquent	46,972	12,239
90 Days Delinquent	$ 12,137	$ 10,600
$750 To $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	20	7
Total Principal	$ 16,947	$ 6,008
30-89 Days Delinquent	759	784
90 Days Delinquent	$ 862	$ 0
$750 To $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	137	88
Total Principal	$ 116,993	$ 75,289
30-89 Days Delinquent	6,224	2,677
90 Days Delinquent	$ 5,312	$ 1,805
Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	12	7
Total Principal	$ 19,499	$ 12,195
30-89 Days Delinquent	1,222	0
90 Days Delinquent	$ 3,869	$ 1,164
Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of Loans | loan	105	31
Total Principal	$ 179,827	$ 38,200
30-89 Days Delinquent	10,497	0
90 Days Delinquent	$ 0	$ 0
Maximum | $1 To $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	19.24%	19.49%
Maximum | $1 To $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	24.00%	24.00%
Maximum | $250 To $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	13.13%	12.75%
Maximum | $250 To $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	11.69%	12.52%
Maximum | $500 To $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	9.38%	10.00%
Maximum | $500 To $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	10.69%	10.69%
Maximum | $750 To $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	8.13%	5.13%
Maximum | $750 To $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	8.00%	7.98%
Maximum | Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	6.63%	5.00%
Maximum | Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	9.50%	6.38%
Minimum | $1 To $250 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	1.00%	1.00%
Minimum | $1 To $250 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	0.00%	0.00%
Minimum | $250 To $500 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.00%	2.00%
Minimum | $250 To $500 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	0.00%	0.00%
Minimum | $500 To $750 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.00%	2.00%
Minimum | $500 To $750 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.00%	2.00%
Minimum | $750 To $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	1.97%	4.13%
Minimum | $750 To $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.00%	2.00%
Minimum | Over $1,000 | Adjustable Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.00%	4.00%
Minimum | Over $1,000 | Fixed Rate Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Interest rate (as a percent)	2.00%	3.00%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Millions	Dec. 31, 2019USD ($)loan	Dec. 31, 2018USD ($)loan
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Number of loans | loan	139,194	140,345
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | loan	6	19
Excess (deficit) of third party prices over internally developed price	$ 3	$ 4
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price	20	3
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	22	127
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 147	$ 489
Number of loans | loan	1	3
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Fair value	$ 19	$ 123
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price	$ 127	$ 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	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Assets:
Unpaid Principal/ Notional	$ 22,419,481	$ 23,577,333
Loans held for investment, fair value	14,292,815	12,572,581
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Fair value	8,179,608	8,455,376
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	580,761
Fair Value	422,826	12,014
Year to Date Gain/(Loss) on Change in Fair Value	10,513	(145)
Non-Agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	7,458,653	5,888,747
Fair Value	288,899	266,539
Year to Date Gain/(Loss) on Change in Fair Value	18,064	21,356
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,539,941	578,284
Fair Value	127,667	65,675
Year to Date Gain/(Loss) on Change in Fair Value	(13,359)	3,785
Agency RMBS | Pass-through
Assets:
Unpaid Principal/ Notional	6,080,549	7,573,835
Fair Value	6,362,628	7,739,382
Year to Date Gain/(Loss) on Change in Fair Value	124,685	31,185
Agency CMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,817,246	2,450,288
Fair Value	49,025	67,670
Year to Date Gain/(Loss) on Change in Fair Value	2,054	444
Agency CMBS | Project loans
Assets:
Unpaid Principal/ Notional	1,753,755
Fair Value	1,889,923
Year to Date Gain/(Loss) on Change in Fair Value	146,441
Agency CMBS | Project loans
Assets:
Unpaid Principal/ Notional		1,607,626
Fair Value		1,595,681
Year to Date Gain/(Loss) on Change in Fair Value		(35,002)
Loans held for investment
Assets:
Year to Date Gain/(Loss) on Change in Fair Value	240,148	(27,201)
Loans held for investment, Unpaid Principal/Notional	13,924,291	12,432,582
Loans held for investment, fair value	14,292,815	12,572,581
Securitized debt
Assets:
Year to Date Gain/(Loss) on Change in Fair Value	(118,911)	52,209
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	8,184,369	8,561,319
Securitized debt at fair value, collateralized by loans held for investment, Fair value	$ 8,179,608	$ 8,455,376

Fair Value Measurements - Level

Fair Value Measurements - Level of Fair Value (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Assets:
Non-Agency RMBS, at fair value	$ 2,614,408	$ 2,486,130
Agency RMBS, at fair value	6,490,293	9,240,057
Agency CMBS, at fair value	2,850,717	2,948,893
Loans held for investment, at fair value	14,292,815	12,572,581
Derivatives, at fair value, net	3,611	37,468
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	8,179,608	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	2,614,408	2,486,130
Agency RMBS, at fair value	6,490,293	9,240,057
Agency CMBS, at fair value	2,850,717
Loans held for investment, at fair value	14,292,815	12,572,581
Counterparty and Cash Collateral, netting	(1,092)	(51,653)
Derivatives, at fair value, net	3,611	37,468
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	8,179,608	8,455,376
Counterparty and Cash Collateral, netting	(205,703)	(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 RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	0	0
Derivatives	3,611	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 RMBS, at fair value	6,490,293	9,240,057
Agency CMBS, at fair value	2,850,717	2,948,893
Loans held for investment, at fair value	0	0
Derivatives	1,092	89,121
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	205,703	169,790
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value	2,614,408	2,486,130
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	14,292,815	12,572,581
Derivatives	0	0
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	8,179,608	8,455,376
Derivatives	$ 0	$ 0

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Securitized Debt | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
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	1,487,286	1,769,539
Securitized Debt, Principal payments	(1,530,818)	(1,778,625)
Securitized Debt, Sales and Settlements	(314,454)	(834,414)
Securitized Debt, Net accretion (amortization)	(26,758)	(11,197)
Securitized Debt, Other than temporary credit impairment losses	0	0
Securitized Debt, Realized gains (losses) on sales and settlements	(9,925)	(26,375)
Securitized Debt, Net unrealized gains (losses) included in income	118,901	(52,209)
Securitized Debt, Gains (losses) included in other comprehensive income	0	0
Securitized Debt, Ending balance, Level 3	8,179,608	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	497,848	253,952
Principal payments	(415,518)	(521,109)
Sales and settlements	(38,605)	(100,786)
Net accretion (amortization)	95,562	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	28,577	21,208
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period	(33,645)	(97,949)
Ending balance Level 3	2,614,408	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	5,086,491	1,671,330
Principal payments	(1,717,745)	(1,859,155)
Sales and settlements	(1,812,760)	(807,364)
Net accretion (amortization)	(77,491)	(83,393)
Gains (losses) included in net income
Other than temporary credit impairment losses	0	0
Realized gains (losses) on sales and settlements	1,590	101
Net unrealized gains (losses) included in income	240,149	(27,201)
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period	0	0
Ending balance Level 3	$ 14,292,815	$ 12,572,581

Fair Value Measurements - Uno_2

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3	Dec. 31, 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 - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.04
Discount Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.08
Discount Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.08	0.08
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.13	0.20
Discount Rate | Maximum | Non-Agency RMBS - Senior 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	0.038	0.045
Discount Rate | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.051	0.058
Discount Rate | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.125	0.111
CPR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.01
CPR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.01
CPR | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.03
CPR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.20	0.25
CPR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.35	0.19
CPR | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.43	0.32
CPR | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.094	0.067
CPR | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.096	0.079
CPR | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.185	0.107
CDR | Minimum | Non-Agency RMBS - Senior
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 - Senior 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	0.09	0.11
CDR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.06
CDR | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.06	0.08
CDR | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.018	0.025
CDR | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.013	0.019
CDR | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.010	0.019
Loss Severity | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.26	0.35
Loss Severity | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.27	0.30
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.26	0.30
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.82	0.81
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.55	0.65
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.83	0.86
Loss Severity | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.420	0.446
Loss Severity | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.367	0.403
Loss Severity | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.353	0.421

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	Dec. 31, 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	0.045
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	0.20	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	0.03	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	0.598	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	Dec. 31, 2019	Dec. 31, 2018
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.60%	6.90%
FICO	624	626
Loan-to-value (LTV)	88.00%	88.00%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	85.00%	86.00%
Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	4.00%	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	89.00%	90.00%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	2.00%	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)	86.00%	88.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 133,557	$ 159,955
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	13,427,545	14,030,465
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	133,557	159,955
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	13,450,193	14,085,164
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 117,552	$ 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	Dec. 31, 2019	Dec. 31, 2018
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	$ 13,427,545	$ 14,030,465
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	13,427,545	14,030,465
Average balance of Repurchase agreements secured by:	14,492,386	9,816,170
MBS pledged as collateral at fair value on Repurchase agreements:	15,399,244	15,831,007
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	6,247,275	8,588,446
Average balance of Repurchase agreements secured by:	$ 8,062,881	$ 4,651,613
Average borrowing rate of Repurchase agreements secured by:	2.10%	2.55%
Average remaining maturity of Repurchase agreements secured by:	14 days	29 days
Average original maturity of Repurchase agreements secured by:	38 days	89 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 6,602,039	$ 9,123,369
Repurchase Agreements | Agency CMBS
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	2,013,515	1,604,826
Average balance of Repurchase agreements secured by:	$ 1,993,372	$ 1,434,030
Average borrowing rate of Repurchase agreements secured by:	2.10%	2.58%
Average remaining maturity of Repurchase agreements secured by:	13 days	33 days
Average original maturity of Repurchase agreements secured by:	34 days	84 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 2,102,520	$ 1,708,648
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	5,166,755	3,837,193
Average balance of Repurchase agreements secured by:	$ 4,436,133	$ 3,730,527
Average borrowing rate of Repurchase agreements secured by:	3.19%	4.04%
Average remaining maturity of Repurchase agreements secured by:	255 days	231 days
Average original maturity of Repurchase agreements secured by:	279 days	259 days
MBS pledged as collateral at fair value on Repurchase agreements:	$ 6,694,685	$ 4,998,990
Repurchase Agreements | Residential Mortgage-Backed Securities
Assets Sold under Agreements to Repurchase [Line Items]
MBS pledged as collateral at fair value on Repurchase agreements:	$ 15,400,000	$ 15,800,000

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 13,427,545	$ 14,030,465
Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	0
1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	9,709,387	6,326,232
30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	800,648	4,620,656
60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	608,520	1,504,695
90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	0	169,244
Greater than or equal to 120 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 2,308,990	$ 1,409,638

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - USD ($)	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Debt Instrument [Line Items]
Gains (losses) on extinguishment of debt	$ 9,926,000	$ 0	$ (608,000)	$ 0	$ 7,055,000	$ 9,263,000	$ 387,000	$ 9,670,000	$ 9,318,000	$ 26,376,000	$ (35,274,000)
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Principal balance	2,900,000								2,900,000		166,000
Acquired securitized debt collateral outstanding principal balance					0
Payment to acquire securitize debt									3,500,000		167,000
Gains (losses) on extinguishment of debt									(608,000)		$ (1,000)
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-Agency RMBS
Debt Instrument [Line Items]
Principal balance	$ 152,000,000				$ 175,000,000				$ 152,000,000	$ 175,000,000
Weighted average cost of financing	6.50%				6.40%				6.50%	6.40%
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized debt
Debt Instrument [Line Items]
Principal balance	$ 8,200,000,000				$ 8,600,000,000				$ 8,200,000,000	$ 8,600,000,000
Weighted average cost of financing	4.20%				4.50%				4.20%	4.50%
Acquired securitized debt collateral outstanding principal balance									$ 324,000,000	$ 861,000,000
Payment to acquire securitize debt									314,000,000	835,000,000
Gains (losses) on extinguishment of debt									$ 10,000,000	$ 26,000,000

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,582,646	$ 1,608,381
One to Three Years	2,563,699	2,587,635
Three to Five Years	1,791,756	1,949,060
Greater Than Five Years	2,129,460	2,237,259
Total	8,067,561	8,382,335
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	18,826	23,602
One to Three Years	18,332	30,803
Three to Five Years	4,453	8,047
Greater Than Five Years	665	3,605
Total	$ 42,276	$ 66,057

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands	Dec. 31, 2019USD ($)
Debt Instrument, Redemption [Line Items]
2020	$ 3,527,114
2021	2,841,599
2022	795,683
2023	105,417
Total	$ 7,269,813

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Non-Agency RMBS
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	$ 2,000,000
Unconsolidated VIEs, aggregate investment		$ 1,500,000
Non-Agency RMBS | Minimum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	1,000	1,000
Non-Agency RMBS | Maximum
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)	191,000	52,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Assets	12,544,744	13,392,951
Liabilities	8,064,235	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
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases	$ 1,500,000	$ 2,200,000	$ 1,300,000

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Assets:
Non-Agency RMBS, at fair value	$ 2,614,408	$ 2,486,130
Loans held for investment, at fair value	14,292,815	12,572,581
Accrued interest receivable	116,423	123,442
Other Assets	194,301	252,582
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	133,557	159,955
Securitized debt at fair value, collateralized by loans held for investment	8,179,608	8,455,376
Accrued interest payable	63,600	110,402
Other liabilities	6,163	16,469
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value	598,080	1,017,442
Loans held for investment, at fair value	11,853,659	12,263,265
Accrued interest receivable	63,218	72,389
Other Assets	29,787	39,855
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	133,557	159,955
Securitized debt at fair value, collateralized by loans held for investment	7,899,259	8,455,376
Accrued interest payable	28,775	33,541
Other liabilities	$ 2,644	$ 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								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Variable Interest Entity [Line Items]
Net interest income	$ 171,459	$ 141,593	$ 141,804	$ 147,439	$ 154,113	$ 147,044	$ 145,170	$ 147,881	$ 602,296	$ 594,208	$ 606,010
Total other-than-temporary impairment losses									(801)	(2,556)	(5,169)
Portion of loss recognized in other comprehensive income (loss)									(4,052)	(19,235)	(56,687)
Net other-than-temporary credit impairment losses	$ 0	$ 0	$ 0	$ (4,853)	$ (4,269)	$ (7,233)	$ (9,131)	$ (1,158)	(4,853)	(21,791)	(61,856)
Servicing fees									36,290	40,773	41,690
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Total other-than-temporary impairment losses									(424)	(1,026)	(2,174)
Portion of loss recognized in other comprehensive income (loss)									(3,831)	(17,820)	(51,118)
Net other-than-temporary credit impairment losses									(4,255)	(18,845)	(53,292)
Servicing fees									33,920	39,313	41,493
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									780,746	904,830	914,022
Interest expense, Non-recourse liabilities of VIEs									337,387	395,255	390,858
Net interest income									$ 443,359	$ 509,575	$ 523,164

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 4,731,000	$ 11,579,400
Derivatives, at fair value, net	3,611	37,468
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	4,111,300	10,906,700
Derivatives, at fair value, net	0	35,798
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Swaptions
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	0	53,000
Derivatives, at fair value, net	0	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
Derivatives, at fair value, net	3,611	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								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									$ (106,209,000)	$ (141,162,000)	$ 47,976,000
Net gains (losses) on derivatives	$ 78,030,000	$ (136,671,000)	$ (237,079,000)	$ (204,638,000)	$ (315,877,000)	$ 74,078,000	$ 24,502,000	$ 94,504,000	(500,358,000)	(122,793,000)	6,188,000
Realized gains (losses) on terminations of interest rate swaps									(359,726,000)	0	(16,143,000)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									(122,272,000)	(125,595,000)	43,697,000
Net realized gains (losses) on derivatives									(356,713,000)	(1,488,000)	(31,593,000)
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									16,986,000	(16,928,000)	1,768,000
Net realized gains (losses) on derivatives									(37,032,000)	21,333,000	(4,061,000)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives									(923,000)	1,361,000	2,511,000
Net realized gains (losses) on derivatives									$ (404,000)	$ (1,476,000)	$ (6,134,000)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($)	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Derivative Instruments, Gain (Loss) [Line Items]
Realized gains (losses) on terminations of interest rate swaps			$ (359,726,000)	$ 0	$ (16,143,000)
The weighted average pay rate on the Company's interest rate swaps	2.62%	2.58%	2.62%	2.58%
The weighted average receive rate on the Company's interest rate swaps	1.94%	2.69%	1.94%	2.69%
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	$ (215,000,000)		$ (215,000,000)
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, notional amount of derivative terminated			$ 6,400,000,000

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	1 Months Ended	3 Months Ended								12 Months Ended
	Jan. 31, 2019	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Class of Stock [Line Items]
Preferred stock, par value (usd per share)		$ 0.01				$ 0.01				$ 0.01	$ 0.01
Issuance of preferred stock										$ 193,368	$ 251,536	$ 314,429
Dividends on preferred stock		$ 18,438	$ 18,438	$ 18,438	$ 17,392	$ 14,437	$ 9,960	$ 9,400	$ 9,400	$ 72,704	$ 43,197	$ 33,484
Series D Preferred Stock
Class of Stock [Line Items]
Shares issued (shares)	8,000,000
Preferred stock, dividend rate (percent)	8.00%									8.00%	8.00%
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										$ 15,000
Preferred stock dividends declared (in USD per share)										$ 1.87
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (percent)										8.00%	8.00%
Dividends on preferred stock										$ 12,000	$ 12,000
Preferred stock dividends declared (in USD per share)										$ 2	$ 2
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (percent)										8.00%	8.00%
Dividends on preferred stock										$ 26,000	$ 26,000
Preferred stock dividends declared (in USD per share)										$ 2	$ 2
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock, dividend rate (percent)										7.75%	7.75%
Dividends on preferred stock										$ 20,000	$ 6,000
Preferred stock dividends declared (in USD per share)										$ 1.94	$ 0.54
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	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017	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	$ 0
Remaining authorized repurchase amount	85,000,000
Common dividends declared	$ (376,839,000)	$ (375,017,000)	$ (376,579,000)
Dividends declared per share of common stock (usd per share)	$ 2	$ 2
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ (377,000,000)	$ (375,000,000)

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Numerator:
Net income available to common shareholders	$ 111,880	$ 87,888	$ 40,322	$ 100,755	$ (117,235)	$ 147,361	$ 108,708	$ 229,607	$ 340,847	$ 368,440	$ 491,184
Effect of dilutive securities:									0	0	0
Dilutive net income available to common shareholders									$ 340,847	$ 368,440	$ 491,184
Denominator:
Weighted average basic shares (shares)									187,156,990	187,146,170	187,780,355
Effect of dilutive securities (shares)									1,249,454	602,692	506,965
Weighted average dilutive shares (shares)									188,406,444	187,748,862	188,287,320
Net income per average share attributable to common stockholders - Basic (usd per share)	$ 0.60	$ 0.47	$ 0.22	$ 0.54	$ (0.63)	$ 0.79	$ 0.58	$ 1.22	$ 1.82	$ 1.97	$ 2.62
Net income per average share attributable to common stockholders - Diluted (usd per share)									$ 1.81	$ 1.96	$ 2.61

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
AOCI [Roll Forward]
Beginning Balance	$ 3,703,829	$ 3,634,977
OCI before reclassifications	70,855	(185,570)
Amounts reclassified from AOCI	10,649	15,500
Net current period OCI	81,504	(170,070)
Ending Balance	3,953,293	3,703,829
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	626,832	796,902
OCI before reclassifications	70,855	(185,570)
Amounts reclassified from AOCI	10,649	15,500
Net current period OCI	81,504	(170,070)
Ending Balance	708,336	626,832
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	626,832	796,902
Ending Balance	$ 708,336	$ 626,832

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 17,687	$ 1,596	$ (7,526)	$ 8,603	$ 1,213	$ (6,123)	$ 2,167	$ 0	$ 18,770	$ (2,844)	$ 9,123
Net other-than-temporary credit impairment losses									(4,853)	(21,791)	(61,856)
Income (loss) before income taxes									413,744	411,728	524,776
Income taxes									(193)	(91)	(108)
Net income (loss)	$ 130,318	$ 106,326	$ 58,760	$ 118,147	$ (102,798)	$ 157,321	$ 118,108	$ 239,007	413,551	411,637	$ 524,668
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									(5,796)	6,291
Net other-than-temporary credit impairment losses									(4,853)	(21,791)
Income (loss) before income taxes									(10,649)	(15,500)
Income taxes									0	0
Net income (loss)									$ (10,649)	$ (15,500)

Equity Compensation, Employme_3

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail)	12 Months Ended
	Dec. 31, 2019USD ($)installmentshares	Dec. 31, 2018USD ($)shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Granted shares (shares) | shares	804,738	467,657
Common dividends declared	$ 13,000,000	$ 8,000,000
401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Maximum employee contribution to plan if under the age of 50	19,000
Maximum catch-up contribution if over the age of 50	6,000
Expense related to qualified plan	$ 434,000	$ 434,000
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	4,000,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Granted shares (shares) | shares	487,000	335,000
Grant date fair value	$ 9,000,000	$ 6,000,000
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	318,000	133,000
Grant date fair value	$ 5,000,000	$ 2,000,000
Performance period	3 years
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%
First Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
First Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Second Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Second Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Third Anniversary | Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%
Third Anniversary | Performance Share Units
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting percentage	33.33%

Equity Compensation, Employme_4

Equity Compensation, Employment Agreements and other Benefit Plans - Schedule of Unvested Shares Outstanding (Details) - $ / shares	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018
Number of Shares
Unvested shares outstanding - beginning of period (in shares)	1,159,183	769,815
Granted (in shares)	804,738	467,657
Vested (in shares)	(207,827)	(69,303)
Forfeited (in shares)	(10,132)	(8,986)
Unvested shares outstanding - end of period (in shares)	1,745,962	1,159,183
Weighted Average Grant Date Fair Value
Unvested shares outstanding - beginning of period (in dollars per share)	$ 16.51	$ 25.58
Granted (in dollars per share)	17.91	17.90
Vested (in dollars per share)	16.11	15.99
Forfeited (in dollars per share)	18.63	18.40
Unvested shares outstanding - end of period (in dollars per share)	$ 17.19	$ 16.51

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	12 Months Ended
	Dec. 31, 2019	Dec. 31, 2018	Dec. 31, 2017
Operating Loss Carryforwards [Line Items]
Income tax expenses	$ 193	$ 91	$ 108
Deferred tax assets	5,000	7,000
Operating loss carryforwards	22	550
Deferred tax assets, valuation allowance	5,000	7,000
Section 267(a)
Operating Loss Carryforwards [Line Items]
Amount related to losses disallowed under code sections	4,000	7,000
Section 163(j)
Operating Loss Carryforwards [Line Items]
Amount related to losses disallowed under code sections	$ 1,000	$ 0

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands	Dec. 31, 2019	Dec. 31, 2018
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (13,427,545)	$ (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	(13,427,545)	(14,030,465)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	15,399,244	15,831,008
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	20,211	0
Net Amount	1,991,910	1,800,543
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	3,611	37,468
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Liabilities
Gross Amounts of Recognized Assets (Liabilities)	(13,628,545)	(14,124,509)
Gross Amounts Offset in the Consolidated Statements of Financial Position	204,611	131,512
Net Amounts Offset in the Consolidated Statements of Financial Position	(13,423,934)	(13,992,997)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	15,399,244	15,831,008
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	141,194	201,332
Net Amount	2,116,504	2,039,343
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)	1,092	87,451
Gross Amounts Offset in the Consolidated Statements of Financial Position	(1,092)	(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	119,469	198,112
Net Amount	119,469	233,910
Derivative Liability
Derivatives	(205,703)	(169,790)
Gross Amounts Offset in the Consolidated Statements of Financial Position	205,703	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)	3,611	0
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	3,611	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	1,514	3,220
Net Amount	5,125	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)	0	1,670
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	0	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	0	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	Dec. 31, 2019	Sep. 30, 2018	Dec. 31, 2019
Loss Contingencies [Line Items]
Investment company, committed capital, funded	$ 101,000
Hains Point
Loss Contingencies [Line Items]
Capital commitment		$ 150,000
Anacostia LLC | Kah Capital Management LLC (KAH Capital)
Loss Contingencies [Line Items]
Ownership percentage acquired		24.90%
Payment to acquire investment		$ 25
Investment Advisory Services | Kah Capital Management LLC (KAH Capital)
Loss Contingencies [Line Items]
Revenue earned			$ 4,200
Total revenue to be earned	$ 6,500		$ 6,500

Summarized Quarterly Results _3

Summarized Quarterly Results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended								12 Months Ended
	Dec. 31, 2019	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Dec. 31, 2019		Dec. 31, 2018		Dec. 31, 2017
Net interest income:
Interest income	$ 340,662	$ 330,144	$ 339,914	$ 350,389	$ 348,033	$ 321,715	$ 306,436	$ 297,132	$ 1,361,110	[1]	$ 1,273,316	[1]	$ 1,138,758	[1]
Interest expense	169,203	188,551	198,110	202,950	193,920	174,671	161,266	149,251	758,814	[2]	679,108	[2]	532,748	[2]
Net interest income	171,459	141,593	141,804	147,439	154,113	147,044	145,170	147,881	602,296		594,208		606,010
Net other-than-temporary credit impairment losses	0	0	0	(4,853)	(4,269)	(7,233)	(9,131)	(1,158)	(4,853)		(21,791)		(61,856)
Net gains (losses) on derivatives	78,030	(136,671)	(237,079)	(204,638)	(315,877)	74,078	24,502	94,504	(500,358)		(122,793)		6,188
Net unrealized gains (losses) on financial instruments at fair value	(112,751)	130,825	190,748	200,812	84,836	(34,306)	(18,364)	14,466	409,634		46,632		111,410
Net realized gains (losses) on sales of investments	17,687	1,596	(7,526)	8,603	1,213	(6,123)	2,167	0	18,770		(2,844)		9,123
Gain (loss) on Extinguishment of Debt	9,926	0	(608)	0	7,055	9,263	387	9,670	9,318		26,376		(35,274)
Total other expenses	33,998	31,015	28,424	29,216	29,855	25,395	26,587	26,322	122,653		108,161		110,825
Net income (loss)	130,318	106,326	58,760	118,147	(102,798)	157,321	118,108	239,007	413,551		411,637		524,668
Dividends on preferred stock	18,438	18,438	18,438	17,392	14,437	9,960	9,400	9,400	72,704		43,197		33,484
Net income (loss) available to common shareholders	$ 111,880	$ 87,888	$ 40,322	$ 100,755	$ (117,235)	$ 147,361	$ 108,708	$ 229,607	$ 340,847		$ 368,440		$ 491,184
Net income per common share-basic (usd per share)	$ 0.60	$ 0.47	$ 0.22	$ 0.54	$ (0.63)	$ 0.79	$ 0.58	$ 1.22	$ 1.82		$ 1.97		$ 2.62
[1]	Includes interest income of consolidated VIEs of $780,746 , $904,830 and $914,022 for the years ended December 31, 2019 , 2018 and 2017 , respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $337,387 , $395,255 and $390,858 for the years ended December 31, 2019 , 2018 and 2017 , respectively. See Note 8 to consolidated financial statements for further discussion.