Chimera Investment (CIM) 10-Q 7 May 20 2020 Q1 Quarterly report Financial data

COVER PAGE

COVER PAGE - shares	3 Months Ended
	Mar. 31, 2020	Apr. 30, 2020
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Mar. 31, 2020
Document Transition Report	false
Entity File Number	1-33796
Entity Registrant Name	CHIMERA INVESTMENT CORP
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-0630461
Entity Address, Address Line One	520 Madison Avenue 32nd Floor
Entity Address, City or Town	New York
Entity Address, State or Province	NY
Entity Address, Postal Zip Code	10022
City Area Code	212
Local Phone Number	626-2300
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding (in shares)		192,218,251
Entity Central Index Key	0001409493
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q1
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		Mar. 31, 2020	Dec. 31, 2019
Cash and cash equivalents		$ 261,491	$ 109,878
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)		2,174,400	2,614,408
Agency RMBS, at fair value		105,644	6,490,293
Agency CMBS, at fair value		2,832,716	2,850,717
Loans held for investment, at fair value		13,306,818	14,292,815
Receivable for investments sold		0	446,225
Accrued interest receivable		93,343	116,423
Other assets		467,451	194,301
Derivatives, at fair value, net		0	3,611
Total assets	[1]	19,241,863	27,118,671
Liabilities:
Repurchase agreements ($8.8 billion and $15.4 billion pledged as collateral, respectively)		7,146,996	13,427,545
Securitized debt, collateralized by Non-Agency RMBS ($522 million and $598 million pledged as collateral, respectively)		128,683	133,557
Securitized debt at fair value, collateralized by loans held for investment ($11.9 billion and $12.1 billion pledged as collateral, respectively)		7,864,196	8,179,608
Payable for investments purchased		699,164	1,256,337
Accrued interest payable		45,709	63,600
Dividends payable		98,434	98,568
Accounts payable and other liabilities		14,827	6,163
Total liabilities	[1]	15,998,009	23,165,378
Commitments and Contingencies (See Note 15)
Stockholders' Equity:
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 185,860,307 and 187,226,081 shares issued and outstanding, respectively		1,860	1,873
Additional paid-in-capital		4,255,054	4,275,963
Accumulated other comprehensive income		502,491	708,336
Cumulative earnings		3,422,285	3,793,040
Cumulative distributions to stockholders		(4,938,208)	(4,826,291)
Total stockholders' equity		3,243,854	3,953,293
Total liabilities and stockholders' equity		19,241,863	27,118,671
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	$ 80
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2020 , and December 31, 2019 , total assets of consolidated VIEs were $12,334,195 and $12,544,744 , respectively, and total liabilities of consolidated VIEs were $7,777,605 and $8,064,235

CONSOLIDATED STATEMENTS OF FI_2

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($)		3 Months Ended	12 Months Ended
		Mar. 31, 2020	Dec. 31, 2019
Assets	[1]	$ 19,241,863,000	$ 27,118,671,000
Liabilities	[1]	15,998,009,000	23,165,378,000
Allowance for credit losses		$ 6,314,000	$ 0
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	500,000,000
Common stock, shares issued (shares)		185,860,307	187,226,081
Common stock, shares outstanding (shares)		185,860,307	187,226,081
Non-Agency RMBS
Allowance for credit losses		$ 6,000,000	$ 0
Repurchase Agreements
Securities pledged as collateral		8,341,399,000	15,399,244,000
Repurchase Agreements | Residential Mortgage-Backed Securities
Securities pledged as collateral		8,800,000,000	15,400,000,000
Securitized Loans | Non-Agency RMBS
Securities pledged as collateral		522,000,000	598,000,000
Securitized Loans | Loans Held for Investment at Fair Value
Securities pledged as collateral		$ 11,900,000,000	$ 12,100,000,000
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	8,000,000
Preferred stock, shares outstanding (shares)		8,000,000	8,000,000
Preferred Stock, liquidation preference		$ 200,000	$ 200,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Assets		12,334,195,000	12,544,744,000
Liabilities		$ 7,777,605,000	$ 8,064,235,000
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2020 , and December 31, 2019 , total assets of consolidated VIEs were $12,334,195 and $12,544,744 , respectively, and total liabilities of consolidated VIEs were $7,777,605 and $8,064,235

CONSOLIDATED STATEMENTS OF OPER

CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Net interest income:
Interest income	$ 300,266	$ 350,389	[1]
Interest expense	142,083	202,950	[2]
Net interest income	158,183	147,439
Provision for credit losses	(6,314)	0
Other-than-temporary impairments:
Net other-than-temporary credit impairment losses		(4,853)
Other investment gains (losses):
Net unrealized gains (losses) on derivatives	201,000	(89,315)
Realized gains (losses) on terminations of interest rate swaps	(463,966)	(108,046)
Net realized gains (losses) on derivatives	(41,086)	(7,277)
Net gains (losses) on derivatives	(304,052)	(204,638)
Net unrealized gains (losses) on financial instruments at fair value	(260,887)	200,812
Net realized gains (losses) on sales of investments	75,854	8,603
Total other gains (losses)	(489,085)	4,777
Other expenses:
Compensation and benefits	12,934	14,370
General and administrative expenses	5,678	5,821
Servicing fees	9,989	8,963
Transaction expenses	4,906	62
Total other expenses	33,507	29,216
Income (loss) before income taxes	(370,723)	118,147
Income taxes	32	0
Net income (loss)	(370,755)	118,147
Dividends on preferred stock	18,438	17,392
Net income (loss) available to common shareholders	$ (389,193)	$ 100,755
Net income (loss) per share available to common shareholders:
Basic (usd per share)	$ (2.08)	$ 0.54
Diluted (usd per share)	$ (2.08)	$ 0.54
Weighted average number of common shares outstanding:
Basic (shares)	187,018,602	187,112,454
Diluted (shares)	187,018,602	188,199,711
[1]	Includes interest income of consolidated VIEs of $174,681 and $207,112 for the quarters ended March 31, 2020 and 2019 , respectively. See Note 8 to consolidated financial statements for further discussion.
[2]	Includes interest expense of consolidated VIEs of $64,629 and $91,027 for the quarters ended March 31, 2020 and 2019 , respectively. See Note 8 to consolidated financial statements for further discussion.

CONSOLIDATED STATEMENTS OF OP_2

CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Variable Interest Entities, Primary Beneficiary - Non Agency Residential Mortgage Backed Securities And Securitized Loans - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Interest income, assets of consolidated VIEs	$ 174,681	$ 207,112
Interest expense, Non-recourse liabilities of VIEs	$ 64,629	$ 91,027

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Comprehensive income (loss):
Net income (loss)	$ (370,755)	$ 118,147
Other comprehensive income:
Unrealized gains (losses) on available-for-sale securities, net	(199,204)	26,385
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses	0	4,853
Reclassification adjustment for net realized losses (gains) included in net income	(6,641)	14,918
Other comprehensive income (loss)	(205,845)	46,156
Comprehensive income (loss) before preferred stock dividends	(576,600)	164,303
Dividends on preferred stock	18,438	17,392
Comprehensive income (loss) available to common stock shareholders	$ (595,038)	$ 146,911

CONSOLIDATED STATEMENTS OF CO_2

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Paranthetical) $ in Millions	3 Months Ended
	Mar. 31, 2020USD ($)
Statement of Comprehensive Income [Abstract]
Unrealized losses on AFS securities	$ 6

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, 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)	118,147				118,147
Other comprehensive income (loss)	46,156			46,156
Stock based compensation	2,682		2,682
Common dividends declared	(93,613)					(93,613)
Preferred dividends declared	(17,392)					(17,392)	$ (3,000)		$ (7,000)		$ (5,000)
Issuance of preferred stock	193,368		193,288											80
Ending Balance at Mar. 31, 2019	3,953,177	1,871	4,268,063	672,988	3,497,636	(4,487,753)		58		130		104		80
Beginning 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
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(370,755)				(370,755)
Other comprehensive income (loss)	(205,845)			(205,845)
Repurchase of common stock	(22,065)	(14)	(22,051)
Stock based compensation		1	1,142
Common dividends declared	(93,479)					(93,479)
Preferred dividends declared	(18,438)					(18,438)	$ (3,000)		$ (7,000)		$ (5,000)		$ (4,000)
Ending Balance at Mar. 31, 2020	$ 3,243,854	$ 1,860	$ 4,255,054	$ 502,491	$ 3,422,285	$ (4,938,208)		$ 58		$ 130		$ 104		$ 80

CONSOLIDATED STATEMENTS OF CASH

CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Cash Flows From Operating Activities:
Net income	$ (370,755)	$ 118,147
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
(Accretion) amortization of investment discounts/premiums, net	36,319	6,030
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net	(18,318)	(5,955)
Amortization of swaption premium	0	160
Net unrealized losses (gains) on derivatives	(201,000)	89,315
Margin (paid) received on derivatives	325,594	(98,565)
Net unrealized losses (gains) on financial instruments at fair value	260,887	(200,812)
Net realized losses (gains) on sales of investments	(75,854)	(8,603)
Net provision for credit losses	6,314	0
Net other-than-temporary credit impairment losses	0	4,853
(Gain) loss on extinguishment of debt	0	0
Equity-based compensation expense	1,143	2,682
Changes in operating assets:
Decrease (increase) in accrued interest receivable, net	23,763	(662)
Decrease (increase) in other assets	(394,817)	1,025
Changes in operating liabilities:
Increase (decrease) in accounts payable and other liabilities	6,417	15,655
Increase (decrease) in accrued interest payable, net	(19,156)	14,554
Net cash provided by (used in) operating activities	(419,463)	(62,176)
Cash Flows From Investing Activities:
Net cash provided by (used in) investing activities	6,645,540	(880,810)
Cash Flows From Financing Activities:
Proceeds from repurchase agreements	38,210,544	25,994,053
Payments on repurchase agreements	(44,491,093)	(24,700,865)
Net proceeds from preferred stock offerings	0	193,368
Payments on repurchase of common stock	(22,066)	0
Proceeds from securitized debt borrowings, collateralized by loans held for investment	731,013	0
Payments on securitized debt borrowings, collateralized by loans held for investment	(386,362)	(354,361)
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS	(4,449)	(5,905)
Common dividends paid	(93,613)	(93,526)
Preferred dividends paid	(18,438)	(14,414)
Net cash provided by (used in) financing activities	(6,074,464)	1,018,350
Net increase (decrease) in cash and cash equivalents	151,613	75,364
Cash and cash equivalents at beginning of period	109,878	47,486
Cash and cash equivalents at end of period	261,491	122,850
Supplemental disclosure of cash flow information:
Interest received	359,664	357,111
Interest paid	178,292	194,549
Non-cash investing activities:
Payable for investments purchased	699,164	1,513,657
Receivable for investments sold	0	1,414,478
Net change in unrealized gain (loss) on available-for sale securities	(205,845)	46,156
Retained beneficial interests	0	40,825
Non-cash financing activities:
Dividends declared, not yet paid	98,434	99,050
Agency MBS portfolio
Cash Flows From Investing Activities:
Purchases	(160,516)	(1,379,467)
Sales	6,244,850	91,731
Principal payments	593,341	215,403
Non-agency RMBS Portfolio
Cash Flows From Investing Activities:
Purchases	(19,503)	(112,778)
Sales	33,797	4,394
Principal payments	67,518	78,689
Loans held for investment
Cash Flows From Investing Activities:
Sales	0	358,175
Principal payments	461,594	375,087
Purchases	$ (575,541)	$ (512,044)

Organization

Organization	3 Months Ended
	Mar. 31, 2020
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	3 Months Ended
	Mar. 31, 2020
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) 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 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) and derivative instruments (Notes 5 and 9). Actual results could differ materially from those estimates. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2019, other than the significant accounting policies discussed below. Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests gives the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance in ASC 325-40 as amended by the ASU 2016-13. Beneficial interests classified as available-for-sale (AFS) record changes in fair value in other comprehensive income (OCI). Beneficial interests for which the Company has elected the fair value option (FVO) record changes in fair value in earnings. Interest income on the Company’s beneficial interests 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 favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on BIs will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all BIs when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in management’s estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, 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 monthly 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. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes it’s investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk). Interest income on Agency Securities for which changes in fair value are recorded in earnings 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 of the projected cash flows. Changes in the amount or timing of cash flows as a result in changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis. Income Taxes The Company does not have any material unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of March 31, 2020 or December 31, 2019. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (e) Recent Accounting Pronouncements Financial Instruments - Credit Losses - (Topic 326) On January 1, 2020 the Company adopted accounting standards update (or ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaced the previous model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (or CECL) model for financial instruments measured at amortized cost and required the Company to record an allowance for credit losses on available-for-sale (or AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company did under the OTTI model. This update also revised the accounting model for purchased credit-impaired debt securities. The changes in the allowance for credit losses created in accordance with this update have been recorded in earnings. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update. The update did not have any impact on financial instruments which were 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 had no impact on the carrying value or revenue recognition of Loans held for investment. On January 1, 2020, the effective date of the update, the Company was required to record a cumulative-effect adjustment related to financial instruments under the scope of this update to the statement of financial position. As all financial instruments impacted by the update, including all purchased credit impaired debt securities, were in an unrealized gain position as of the effective date, there was no impact on the financial statements at the transition date and no cumulative-effect adjustment was required. In addition, the update superseded subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality . As of January 1, 2020, the Company accounted all investments previously classified as AFS and under subtopic 310-30, using the subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets . Reference Rate Reform (Topic 848) In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for all entities as of March 12, 2020 through December 31, 2022. An entity may elect to apply the amendments for contract modifications by Topic or Industry Subtopic as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.

Mortgage-Backed Securities

Mortgage-Backed Securities	3 Months Ended
	Mar. 31, 2020
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, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2020 and December 31, 2019 . March 31, 2020 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,924,284 $ 1,870 $ (922,847 ) $ 1,003,307 $ (5,410 ) $ 1,420,224 $ 424,613 $ (2,286 ) $ 422,327 Subordinated 900,396 8,496 (341,888 ) 567,004 (904 ) 528,178 42,782 (80,704 ) (37,922 ) Interest-only 6,931,077 287,092 — 287,092 — 225,998 41,151 (102,245 ) (61,094 ) Agency RMBS Pass-through — — — — — — — — — Interest-only 1,484,016 135,180 — 135,180 — 105,644 — (29,536 ) (29,536 ) Agency CMBS Project loans 2,506,241 49,294 (4,878 ) 2,550,657 — 2,786,527 235,985 (115 ) 235,870 Interest-only 1,764,487 47,163 — 47,163 — 46,189 1,614 (2,588 ) (974 ) Total $ 15,510,501 $ 529,095 $ (1,269,613 ) $ 4,590,403 $ (6,314 ) $ 5,112,760 $ 746,145 $ (217,474 ) $ 528,671 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 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 March 31, 2020 and December 31, 2019 . All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses. March 31, 2020 (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 $ 85,768 $ (2,286 ) 14 $ — $ — — $ 85,768 $ (2,286 ) 14 Subordinated 407,971 (80,429 ) 32 1,435 (275 ) 10 409,406 (80,704 ) 42 Interest-only 75,692 (35,469 ) 97 43,493 (66,776 ) 66 119,185 (102,245 ) 163 Agency RMBS Pass-through — — — — — — — — — Interest-only 104,396 (28,624 ) 23 1,250 (912 ) 1 105,646 (29,536 ) 24 Agency CMBS Project loans — — — 39,863 (115 ) 3 39,863 (115 ) 3 Interest-only 2,333 (196 ) 3 8,809 (2,392 ) 7 11,142 (2,588 ) 10 Total $ 676,160 $ (147,004 ) 169 $ 94,850 $ (70,470 ) 87 $ 771,010 $ (217,474 ) 256 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 At March 31, 2020 , 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 March 31, 2020 . 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 $115 thousand and $1 million as of March 31, 2020 and December 31, 2019 , respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at March 31, 2020 and December 31, 2019 , 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), net of any allowance for credit losses, was $9 million at March 31, 2020. After evaluating the securities and recording the allowance for credit losses, we concluded that the remaining unrealized losses reflected above were non-credit related and would be recovered from the securities' estimated future cash flows. We considered a number of factors in reaching this conclusion, including that we did not intend to sell the securities, it was not considered more likely than not that we would be forced to sell the securities prior to recovering the amortized cost, and there were no material credit events that would have caused us to otherwise conclude that we would not recover the amortized cost. Credit losses are calculated by comparing the estimated future cash flows of each security discontinued at the yield determined as of the initial acquisition date or, if since revised, as of the last date previously revised, to the net amortized cost basis. Significant judgment is used in projecting cash flows for Non-Agency RMBS. 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), was $348 thousand at December 31, 2019 . Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of other-than-temporary 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 credit related 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 credit loss allowance for the quarter ended March 31, 2020 is presented below. For the Quarter Ended March 31, 2020 (dollars in thousands) Beginning balance of the allowance for credit losses on available-for-sale securities at the beginning of period $ — Transition impact from CECL standard — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (6,314 ) Allowance on purchased financial assets with credit deterioration — Reductions for the securities sold during the period — Write-offs charged against the allowance — Recoveries of amounts previously written off — Ending balance of the allowance for credit losses on available-for-sale securities at the end of period $ (6,314 ) The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of March 31, 2020. For the Quarter Ended March 31, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 165,966,737 6.0% 3.1% 50.8% Subordinated 55,410,172 7.5% 0.9% 39.0% The increase in the allowance for credit losses is primarily due to increased expected losses and delinquencies. In addition, the decline in fair value on certain Non-Agency RMBS positions which had previously been in an unrealized gain position as of the prior year end, and are now in an unrealized loss position as of the end of the current period. These Non-Agency RMBS positions now in an unrealized loss have resulted in the recognition of an allowance for credit losses which was previously limited by unrealized gains on these investments. The following tables present a summary of unrealized gains and losses at March 31, 2020 and December 31, 2019 . March 31, 2020 (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 $ 424,613 $ — $ 424,613 $ (2,286 ) $ — $ (2,286 ) Subordinated 35,815 6,967 42,782 (6,817 ) (73,887 ) (80,704 ) Interest-only — 41,151 41,151 — (102,245 ) (102,245 ) Agency RMBS Pass-through — — — — — — Interest-only — — — — (29,536 ) (29,536 ) Agency CMBS Project loans 51,281 184,704 235,985 (115 ) — (115 ) Interest-only — 1,614 1,614 — (2,588 ) (2,588 ) Total $ 511,709 $ 234,436 $ 746,145 $ (9,218 ) $ (208,256 ) $ (217,474 ) 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 ) Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s MBS portfolio at March 31, 2020 and December 31, 2019 . March 31, 2020 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,924,284 $ 52.14 73.81 4.8 % 17.3 % Subordinated 900,396 62.97 58.66 3.8 % 6.8 % Interest-only 6,931,077 4.14 3.26 1.3 % 11.5 % Agency RMBS Interest-only 1,484,016 9.11 7.12 1.6 % 4.1 % Agency CMBS Project loans 2,506,241 101.77 111.18 3.8 % 3.6 % Interest-only 1,764,487 2.67 2.62 0.6 % 4.8 % (1) Bond Equivalent Yield at period end. December 31, 2019 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 $ 2,024,564 $ 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. The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 AAA 0.7 % 0.4 % AA 0.1 % 0.1 % A 1.0 % 0.9 % BBB 1.7 % 1.6 % BB 3.9 % 3.8 % B 1.5 % 1.6 % Below B or not rated 91.1 % 91.6 % Total 100.0 % 100.0 % Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at March 31, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. March 31, 2020 (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 $ 9,861 $ 344,239 $ 559,033 $ 507,091 $ 1,420,224 Subordinated — 29,670 112,528 385,980 528,178 Interest-only — 113,900 109,067 3,031 225,998 Agency RMBS Pass-through — — — — — Interest-only — 1,250 104,394 — 105,644 Agency CMBS Project loans 14,951 — 31,252 2,740,324 2,786,527 Interest-only 2,333 39,945 3,911 — 46,189 Total fair value $ 27,145 $ 529,004 $ 920,185 $ 3,636,426 $ 5,112,760 Amortized cost Non-Agency RMBS Senior $ 9,961 $ 273,374 $ 369,124 $ 350,848 $ 1,003,307 Subordinated — 21,487 111,344 434,173 567,004 Interest-only 1,752 145,034 137,145 3,161 287,092 Agency RMBS Pass-through — — — — — Interest-only — 2,162 133,018 — 135,180 Agency CMBS Project loans 14,981 — 28,646 2,507,030 2,550,657 Interest-only 2,529 40,879 3,755 — 47,163 Total amortized cost $ 29,223 $ 482,936 $ 783,032 $ 3,295,212 $ 4,590,403 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 The Non-Agency RMBS portfolio is subject to credit risk. The Non-Agency RMBS portfolio is primarily collateralized by Alt-A first lien mortgages. An Alt-A mortgage is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or prime, and less risky than subprime, the riskiest category. Alt-A interest rates, which are determined by credit risk, therefore tend to be between those of prime and subprime home loans. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher loan-to-value ratios. At origination of the loan, Alt-A mortgage securities are defined as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) the FICO scores are greater than 720 and RMBS have 30% or less of the underlying collateral composed of full documentation loans. At March 31, 2020 and December 31, 2019 , 58% of the Non-Agency RMBS collateral was classified as Alt-A, based on fair value. At March 31, 2020 and December 31, 2019 , 13% and 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 March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Weighted average maturity (years) 23.3 23.6 Weighted average amortized loan to value (1) 62.7 % 63.2 % Weighted average FICO (2) 718 719 Weighted average loan balance (in thousands) $ 308 $ 313 Weighted average percentage owner occupied 81.1 % 80.6 % Weighted average percentage single family residence 60.3 % 60.0 % Weighted average current credit enhancement 0.9 % 1.1 % Weighted average geographic concentration of top four states CA 33.4 % CA 32.5 % FL 6.9 % FL 6.6 % NY 6.8 % NY 6.3 % TX 2.1 % TX 2.0 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at March 31, 2020 and December 31, 2019 . Origination Year March 31, 2020 December 31, 2019 2003 and prior 1.1 % 1.3 % 2004 1.7 % 1.5 % 2005 10.9 % 10.7 % 2006 52.5 % 52.9 % 2007 26.8 % 26.6 % 2008 and later 7.0 % 7.0 % Total 100.0 % 100.0 % Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2020 and 2019 are as follows: For the Quarters Ended March 31, 2020 March 31, 2019 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 33,797 4,430 Agency RMBS 5,710,134 1,482,369 Agency CMBS 105,017 22,482 Gross realized gains: Non-Agency RMBS 1,256 285 Agency RMBS 74,264 27,012 Agency CMBS 6,150 — Gross realized losses: Non-Agency RMBS — (1,320 ) Agency RMBS (5,816 ) (15,149 ) Agency CMBS — (2,225 ) Net realized gain (loss) $ 75,854 $ 8,603 During the quarter ended March 31, 2020, the Company transferred Non-Agency RMBS investments with a market value of $135 million to a third party. As part of the transfer, the Company purchased an option to re-acquire these assets for a fixed price at a future date. This transfer was accounted for as a secured borrowing within the Repurchase agreements on the Statement of Financial Condition.

Loans Held for Investment

Loans Held for Investment	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 , 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 $13.4 billion and $13.7 billion as of March 31, 2020 and December 31, 2019 , respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2020 and December 31, 2019 : For the Quarter Ended For the Year Ended March 31, 2020 December 31, 2019 (dollars in thousands) Balance, beginning of period $ 14,292,815 $ 12,572,581 Purchases 183,566 5,086,491 Principal paydowns (461,594 ) (1,717,745 ) Sales and settlements (171 ) (1,812,760 ) Net periodic accretion (amortization) (26,284 ) (77,491 ) Realized gains (losses) on sales and settlements — 1,590 Change in fair value (681,514 ) 240,149 Balance, end of period $ 13,306,818 $ 14,292,815 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, with the Company retaining $124 million of beneficial interests. There were no sales of loans during the quarter ended March 31, 2020. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following periods: Origination Year March 31, 2020 December 31, 2019 2002 and prior 6.7 % 6.8 % 2003 5.8 % 6.0 % 2004 12.4 % 12.6 % 2005 18.7 % 18.6 % 2006 23.2 % 22.5 % 2007 21.7 % 20.7 % 2008 6.2 % 6.4 % 2009 1.2 % 1.5 % 2010 and later 4.1 % 4.9 % Total 100.0 % 100.0 % (1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019 , respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods. The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Number of loans 137,605 139,194 Weighted average maturity (years) 19.5 19.3 Weighted average loan to value (2) 86.5 % 87.4 % Weighted average FICO (2) 631 627 Weighted average loan balance (in thousands) $ 97 $ 95 Weighted average percentage owner occupied 87.8 % 88.0 % Weighted average percentage single family residence 83.8 % 84.4 % Weighted average geographic concentration of top five states CA 12.4 % CA 11.6 % FL 7.7 % FL 7.4 % NY 7.1 % NY 6.9 % PA 5.1 % OH 5.3 % OH 5.1 % PA 5.3 % (1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019 , respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods. (2) As provided by the Trustee. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at March 31, 2020 and December 31, 2019. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure Loss Mitigation REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2020 (1) $ 967,534 $ 333,270 $ 339,452 $ 299,129 $ 296,935 $ 4 $ 58,728 $ 2,295,052 $ 13,284,786 % of Unpaid Principal Balance 7.3 % 2.5 % 2.6 % 2.3 % 2.2 % — % 0.4 % 17.3 % December 31, 2019 (1) $ 1,070,173 $ 336,950 $ 291,866 $ 322,288 $ 298,526 $ — $ 59,389 $ 2,379,192 $ 13,169,843 % of Unpaid Principal Balance 8.1 % 2.6 % 2.2 % 2.4 % 2.3 % — % 0.5 % 18.1 % (1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019 , respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods. The fair value of residential mortgage loans 90 days or more past due was $563 million and $597 million as of March 31, 2020 and December 31, 2019 , respectively.

Fair Value Measurements

Fair Value Measurements	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 , 60 investment holdings with an internally developed fair value of $893 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 $13 million higher than the third-party prices provided of $880 million . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at March 31, 2020 in excess of the derived predetermined threshold for the period. 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. 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. This subjective estimation process renders the majority of the Non-Agency RMBS fair value estimates as Level 3 in the fair value hierarchy. Certain Non-Agency IO investments are classified as level 2 in the fair value hierarchy as they were based on recent transfers. 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 March 31, 2020 , the internally developed fair value of five loan pool of $532 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 $56 million higher than the third-party price provided of $476 million . After review and discussion, the Company affirmed and valued the investment at the higher internally developed price. 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 price was $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. 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. At March 31, 2020, the internally developed fair value of eight securitized debt collateralized by loans held for investment securities of $148 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 $45 million higher than the third-party price provided of $103 million . After review and discussion, the Company affirmed and valued those securities at the higher internally developed price. At December 31, 2019, there were no pricing differences in excess of the predetermined thresholds between the model generated prices and third party prices. The Company’s estimates of fair value of 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 and fair value of the financial instruments carried with fair value option as of March 31, 2020 and December 31, 2019 , respectively: March 31, 2020 December 31, 2019 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-agency RMBS Subordinated 610,205 359,343 580,761 422,826 Interest-only 6,931,077 225,998 7,458,653 288,899 Agency RMBS Pass-through — — 6,080,549 6,362,628 Interest-only 1,484,016 105,644 1,539,941 127,667 Agency CMBS Project loans 1,779,044 1,991,823 1,753,755 1,889,923 Interest-only 1,764,487 46,189 1,817,246 49,025 Loans held for investment, at fair value 13,594,580 13,306,818 13,924,291 14,292,815 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,521,651 7,864,196 8,184,369 8,179,608 The table below shows the impact of change in fair value on each of the financial instruments carried with fair value option in statement of operations as of March 31, 2020 and March 31, 2019 , respectively: Quarter ended Quarter ended March 31, 2020 March 31, 2019 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Senior — 227 Subordinated (80,803 ) 1,319 Interest-only (48,823 ) 24,136 Agency RMBS Pass-through (151,056 ) 52,011 Interest-only (17,665 ) 2,327 Agency CMBS Project loans 75,662 41,162 Interest-only 1,143 1,914 Loans held for investment, at fair value (681,515 ) 106,545 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 642,171 (28,829 ) 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 March 31, 2020 and December 31, 2019 are presented below. March 31, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ 135,118 $ 2,039,282 $ — $ 2,174,400 Agency RMBS, at fair value — 105,644 — — 105,644 Agency CMBS, at fair value — 2,832,716 — — 2,832,716 Loans held for investment, at fair value — — 13,306,818 — 13,306,818 Derivatives — — — — — Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 7,864,196 — 7,864,196 Derivatives — — — — — 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 ) — The table below provides a summary of the changes in the fair value of financial instruments classified as Level 3 at March 31, 2020 and December 31, 2019 . Fair Value Reconciliation, Level 3 For the Quarter Ended March 31, 2020 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 Transfers in to Level 3 — — — Transfers out of Level 3 (135,118 ) — — Purchases of assets/ issuance of debt 19,512 183,566 731,008 Principal payments (67,518 ) (461,594 ) (386,362 ) Sales and Settlements (33,797 ) (171 ) — Net accretion (amortization) 10,499 (26,284 ) (17,893 ) Gains (losses) included in net income Provision for credit losses (6,314 ) — — Realized gains (losses) on sales and settlements 1,256 — — Net unrealized gains (losses) included in income (129,627 ) (681,514 ) (642,165 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (234,019 ) — — Ending balance Level 3 $ 2,039,282 $ 13,306,818 $ 7,864,196 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 There were transfers out of Level 3 of $135 million , during the quarter ended March 31, 2020 as prices were based on unadjusted quoted prices on theses assets. However, due to the dislocation in the current markets as of March 31, 2020, these assets are classified as Level 2 in the fair value hierarchy. There were no transfers in to Level 3 during the quarter ended March 31, 2020 . There were no transfers in or out from Level 3 during the year ended December 31, 2019 , 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 represents 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 Level 3 Non-Agency RMBS held for investment at fair value as of March 31, 2020 and December 31, 2019 follows. The weighted average discount rates were based on fair value. Previously issued financial statement filings were based on amortized cost. We believe fair value provides an improved presentation of weighted average discount rates. March 31, 2020 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 4% -9% 5.7% 2%-25% 6.5% 0%-10% 1.8% 27%-80% 46.4% Subordinated 0% -13% 7.2% 3%-35% 8.4% 0%-6% 1.3% 10%-60% 38.1% Interest-only 10% -100% 12.9% 4%-30% 22.7% 0%-2% 0.6% 0%-83% 37.0% 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% 5.3% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 11.4% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of March 31, 2020 and December 31, 2019 follows: March 31, 2020 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% -35% 5.2% 5%-25% 8.8% 0%-3% 1.5% 30%-75% 61.1% 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% 59.9% 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 March 31, 2020 and December 31, 2019 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 March 31, 2020 and December 31, 2019 follows: March 31, 2020 December 31, 2019 Factor: Coupon Base Rate 5.5% 4.3% Actual 6.4% 6.6% FICO Base Rate 637 636 Actual 628 624 Loan-to-value (LTV) Base Rate 89% 86% Actual 87% 88% Loan Characteristics: Occupancy Owner Occupied 89% 89% Investor 2% 2% Secondary 9% 9% Property Type Single family 85% 85% Manufactured housing 3% 4% Multi-family/mixed use/other 12% 11% 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

Repurchase Agreements

Repurchase Agreements	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 were: March 31, 2020 December 31, 2019 Repurchase agreements outstanding secured by: Agency RMBS (in thousands) $ 75,866 $ 6,247,275 Agency CMBS (in thousands) 2,206,233 2,013,515 Non-agency RMBS and Loans held for investment (in thousands) 4,864,897 5,166,755 Total: $ 7,146,996 $ 13,427,545 MBS pledged as collateral at fair value on Repurchase agreements: Agency RMBS (in thousands) $ 89,561 $ 6,602,039 Agency CMBS (in thousands) 2,347,087 2,102,520 Non-agency RMBS and Loans held for investment (in thousands) 5,904,751 6,694,685 Total: $ 8,341,399 $ 15,399,244 Average balance of Repurchase agreements secured by: Agency RMBS (in thousands) $ 4,406,107 $ 8,062,881 Agency CMBS (in thousands) 2,112,244 1,993,372 Non-agency RMBS and Loans held for investment (in thousands) 5,236,442 4,436,133 Total: $ 11,754,793 $ 14,492,386 Average borrowing rate of Repurchase agreements secured by: Agency RMBS (in thousands) 0.94 % 2.10 % Agency CMBS (in thousands) 1.06 % 2.10 % Non-agency RMBS and Loans held for investment (in thousands) 3.59 % 3.19 % Average remaining maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 4 Days 14 Days Agency CMBS (in thousands) 14 Days 13 Days Non-agency RMBS and Loans held for investment (in thousands) 230 Days 255 Days Average original maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 16 Days 38 Days Agency CMBS (in thousands) 30 Days 34 Days Non-agency RMBS and Loans held for investment (in thousands) 250 Days 279 Days At March 31, 2020 and December 31, 2019, we pledged $419 million and $20 million , respectively, of margin cash collateral to our repurchase agreement counterparties. At March 31, 2020 and December 31, 2019 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. March 31, 2020 December 31, 2019 (dollars in thousands) Overnight $ 40,836 $ — 1 to 29 days 3,634,255 9,709,387 30 to 59 days 502,333 800,648 60 to 89 days 633,939 608,520 90 to 119 days 113,370 — Greater than or equal to 120 days 2,222,263 2,308,990 Total $ 7,146,996 $ 13,427,545 At March 31, 2020 and December 31, 2019 , there was no amount at risk with any counterparty greater than 10%

Securitized Debt

Securitized Debt	3 Months Ended
	Mar. 31, 2020
Debt Disclosure [Abstract]
Securitized Debt	Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as Loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At March 31, 2020 and December 31, 2019 , the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $147 million and $152 million , respectively. At March 31, 2020 and December 31, 2019 , the debt carried a weighted average coupon of 6.5% . As of March 31, 2020 , the maturities of the debt range between the years 2035 and 2037 . None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. The Company did no t acquire any securitized debt collateralized by Non-Agency RMBS during the quarters ended March 31, 2020 and 2019 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at March 31, 2020 and December 31, 2019 , based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 15,131 $ 18,826 One to Three Years 16,149 18,332 Three to Five Years 5,056 4,453 Greater Than Five Years 461 665 Total $ 36,797 $ 42,276 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 March 31, 2020 and December 31, 2019 , the Company’s securitized debt collateralized by loans held for investment had a principal balance of $8.5 billion and $8.2 million , respectively. At March 31, 2020 and December 31, 2019 , the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 4.0% and 3.3% , respectively. As of March 31, 2020 , the maturities of the debt range between the years 2023 and 2067 . The Company did no t acquire any securitized debt collateralized by loans during the quarters ended March 31, 2020 and 2019 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at March 31, 2020 and December 31, 2019 , based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 1,647,041 $ 1,582,646 One to Three Years 2,663,326 2,563,699 Three to Five Years 1,815,521 1,791,756 Greater Than Five Years 2,290,166 2,129,460 Total $ 8,416,054 $ 8,067,561 Maturities of the Company’s securitized debt collateralized by loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by loans held for investment contain call provisions at the option of the Company. The following table presents the par value of the callable debt by year at March 31, 2020 . March 31, 2020 (dollars in thousands) Year Principal 2020 3,352,884 2021 2,698,398 2022 1,009,753 2023 415,633 Total $ 7,476,668

Consolidated Securitization Veh

Consolidated Securitization Vehicles and Other Variable Interest Entities	3 Months Ended
	Mar. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Consolidated Securitization Vehicles and Other Variable Interest Entities	Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of March 31, 2020 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $12.3 billion and liabilities with a carrying value of $7.8 billion . 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 . During the quarter ended March 31, 2020 , the Company securitized and consolidated approximately $883 million unpaid principal balance of seasoned residential subprime mortgage loans. During the quarter ended December 31, 2019 , the Company securitized and consolidated approximately $1.5 billion unpaid principal balance 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 March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 521,683 $ 598,080 Loans held for investment, at fair value 11,722,057 11,853,659 Accrued interest receivable 63,154 63,218 Other assets 27,301 29,787 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 128,683 $ 133,557 Securitized debt at fair value, collateralized by loans held for investment 7,617,507 7,899,259 Accrued interest payable 28,561 28,775 Other liabilities 2,854 2,644 Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters ended March 31, 2020 March 31, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 174,681 $ 207,112 Interest expense, Non-recourse liabilities of VIEs 64,629 91,027 Net interest income $ 110,052 $ 116,085 Provision for credit losses $ (141 ) $ — Net other-than-temporary credit impairment losses $ — $ (4,255 ) Servicing fees $ 8,238 $ 8,739 VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at March 31, 2020 , ranged from less than $1 million to $160 million , with an aggregate amount of $1.7 billion . 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 Company’s maximum exposure to loss from these unconsolidated VIEs was $1.5 billion , and $1.6 billion at March 31, 2020 and December 31, 2019

Derivative Instruments

Derivative Instruments	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 . The Company did not have any derivative instruments as of March 31, 2020. March 31, 2020 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 $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — 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 $ — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ — The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of March 31, 2020 March 31, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 204,611 $ (94,075 ) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (470,352 ) (102,584 ) Treasury Futures Net unrealized gains (losses) on derivatives (3,611 ) 5,325 Treasury Futures Net realized gains (losses) on derivatives (34,700 ) (12,579 ) Swaptions Net unrealized gains (losses) on derivatives — (565 ) Swaptions Net realized gains (losses) on derivatives — (160 ) Total $ (304,052 ) $ (204,638 ) (1) Includes loss on termination of interest rate swaps of $464 million and $108 million during the quarters ended March 31, 2020 and 2019 , respectively. The company paid $464 million to terminate interest rate swaps with a notional value of $4.1 billion during the quarter ended March 31, 2020 . The terminated swaps had original maturities from 2023 to 2048 . During the quarter ended March 31, 2019 , the company paid $108 million to terminate interest rate swaps with a notional of $1.5 billion . The terminated swaps had original maturities of 2028. The Company did not have any interest rate swaps as of March 31, 2020 . 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 maturity on the Company’s interest rate swaps at December 31, 2019 was 6 years. When the Company enters into derivative contracts, they are typically 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.

Capital Stock

Capital Stock	3 Months Ended
	Mar. 31, 2020
Equity [Abstract]
Capital Stock	Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million , or $0.50 per preferred share during the quarters ended March 31, 2020 and 2019 , respectively. The Company declared dividends to Series B preferred stockholders of $7 million , or $0.50 per preferred share during the quarters ended March 31, 2020 and 2019 , respectively. The Company declared dividends to Series C preferred stockholders of $5 million , or $0.48 per preferred share during the quarters ended March 31, 2020 and 2019 . The Company declared dividends to Series D preferred stockholders of $4 million , or $0.50 per preferred share during the quarter ended March 31, 2020 . The Company did not declare dividends to series D preferred stockholders during the quarter ended March 31, 2019 due to long first pay period. Common Stock In March 2020, our Board of Directors reauthorized $150 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 1.4 million shares of its common stock at an average price of $15.34 per share for a total of $22 million during the quarter ended March 31, 2020 . The Company did not repurchase any of its common stock during the quarter ended March 31, 2019 . The approximate dollar value of shares that may yet be purchased under the Repurchase Program is $128 million as of March 31, 2020 . The Company declared dividends to common shareholders of $93 million and $94 million , or $0.50 , per share during the quarters ended March 31, 2020 and March 31, 2019 , respectively. Earnings per share for the quarters ended March 31, 2020 and 2019 respectively, are computed as follows: For the Quarters Ended March 31, 2020 March 31, 2019 (dollars in thousands) Numerator: Net income available to common shareholders $ (389,193 ) $ 100,755 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ (389,193 ) $ 100,755 Denominator: Weighted average basic shares 187,018,602 187,112,454 Effect of dilutive securities — 1,087,257 Weighted average dilutive shares 187,018,602 188,199,711 Net income per average share attributable to common stockholders - Basic $ (2.08 ) $ 0.54 Net income per average share attributable to common stockholders - Diluted $ (2.08 ) $ 0.54 For the quarter ended March 31, 2020 potentially dilutive securities of 1.3 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive securities for the quarter ended March 31, 2020 comprised of restricted stock units and performance stock units discussed in Note 12.

Accumulated Other Comprehensive

Accumulated Other Comprehensive Income	3 Months Ended
	Mar. 31, 2020
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 quarters ended March 31, 2020 and 2019 : March 31, 2020 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2019 $ 708,336 $ 708,336 OCI before reclassifications (199,204 ) (199,204 ) Amounts reclassified from AOCI (6,641 ) (6,641 ) Net current period OCI (205,845 ) (205,845 ) Balance as of March 31, 2020 $ 502,491 $ 502,491 March 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 26,385 26,385 Amounts reclassified from AOCI 19,771 19,771 Net current period OCI 46,156 46,156 Balance as of March 31, 2019 $ 672,988 $ 672,988 The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2020 and 2019 : March 31, 2020 March 31, 2019 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 $ 6,641 $ (14,918 ) Net realized gains (losses) on sales of investments — (4,853 ) Net other-than-temporary credit impairment losses $ 6,641 $ (19,771 ) Income before income taxes — — Income taxes $ 6,641 $ (19,771 ) Net of tax

Equity Compensation, Employment

Equity Compensation, Employment Agreements and other Benefit Plans	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 . 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 2020 and 2019 , 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 135 thousand RSU awards during the quarter ended March 31, 2020 , with a grant date fair value of $3 million for the 2020 performance year. The Company granted 399 thousand RSU awards during the year ended March 31, 2019 with a grant date fair value $7 million for the 2018 and 2019 performance years. 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 quarter ended March 31, 2020 , and March 31, 2019 include a three-year performance period ending on December 31, 2022 and December 31, 2021, respectively. 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 quarter ended March 31, 2020 , the Company granted 202 thousand PSU awards to senior management with a grant date fair value of $4 million . During the quarter ended March 31, 2019 , the Company granted 152 thousand PSU awards to senior management with a grant date fair value of $3 million . The Company recognized stock based compensation expenses of $4 million and $5 million , respectively for the quarters ended March 31, 2020 and 2019 . 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 quarter ended March 31, 2020 , employees may contribute, through payroll deductions, up to $19,500 if under the age of 50 years and an additional $6,500 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expenses related to the Company’s qualified plan for the quarters ended March 31, 2020 and 2019 , were $148 thousand and $142 thousand , respectively.

Income Taxes

Income Taxes	3 Months Ended
	Mar. 31, 2020
Income Tax Disclosure [Abstract]
Income Taxes	Income Taxes For the quarter ended March 31, 2020 and the year ended December 31, 2019, 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 quarters ended March 31, 2020 and year ended December 31, 2019. 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	3 Months Ended
	Mar. 31, 2020
Offsetting [Abstract]
Credit Risk and Interest Rate Risk	Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, borrowings under repurchase agreements and securitized debt. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related financing. The Company attempts to minimize credit risk through due diligence, asset selection and portfolio monitoring. The Company has established a whole loan target market including prime and subprime borrowers, Alt-A documentation, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and repurchase agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a repurchase agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty. Our repurchase agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. The Company presents its assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of March 31, 2020 and December 31, 2019 . March 31, 2020 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,146,996 ) $ — $ (7,146,996 ) $ 8,341,399 $ 419,160 $ 1,613,563 Total $ (7,146,996 ) $ — $ (7,146,996 ) $ 8,341,399 $ 419,160 $ 1,613,563 (1) Included in other assets 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 — — — — — — Total $ (13,628,545 ) $ 204,611 $ (13,423,934 ) $ 15,399,244 $ 141,194 $ 2,116,504 (1) Included in other assets

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2020
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. The Company has made a $150 million capital commitment to Hains Point, LLC (Hains Point), a fund which is consolidated by the Company as the sole investor in the fund. As of March 31, 2020 , the Company has funded $101 million

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Coronavirus Pandemic The recent outbreak of a novel and highly contagious form of coronavirus (“COVID-19”), which the World Health Organization has declared to constitute a pandemic, has resulted in numerous deaths, adversely impacted global commercial activity and contributed to significant volatility in certain equity and debt markets. The impact of the outbreak is rapidly evolving, and many countries have reacted by instituting quarantines, prohibitions on travel and the closure of offices, businesses, schools, retail stores and other public venues. Businesses are also implementing similar precautionary measures. Such measures, as well as the general uncertainty surrounding the dangers and impact of COVID-19, are creating significant disruption in supply chains and economic activity and are having a particularly adverse impact on transportation, hospitality, tourism, entertainment and other industries. The impact of COVID-19 has led to significant volatility and declines in the global public equity/credit markets and it is uncertain how long this volatility will continue. As COVID-19 continues to spread, the potential impacts, including a global, regional or other economic recession, are increasingly uncertain and difficult to assess. Any public health emergency, including any outbreak of COVID-19 or other existing or new epidemic diseases, or the threat thereof, and the resulting financial and economic market uncertainty could have a significant adverse impact on the Company, including the fair value of its investments. Convertible Senior Notes In April 2020, the Company completed its registered underwritten public offering of $374 million (including exercise of the underwriters' overallotment option) aggregate principal amount of 7.00% convertible senior notes due 2023 (the “Notes” or “Note Offering”). These Notes require semi-annual interest payments at a fixed coupon rate of 7% until maturity or conversion, which will be no later than April 1, 2023. After deducting the underwriting discount and offering costs, the Company received $362 million . At completion of the offering, these notes were convertible at the option of the holder at a conversion rate of 153.8461 common shares per $1,000 principal amount of convertible senior notes (equivalent to a conversion price of $6.50 per common share). Upon conversion of these notes by a holder, the holder will receive shares of our common stock. Prior to the issuance date of this report approximately $51 million of senior notes were converted into approximately 8 million common stock of the Company. In April 2020, concurrently with the pricing of the Notes, the Company entered into call option transactions with respect to the Common Stock (the “Capped Call Transactions”) with affiliates of Credit Suisse Securities (USA) LLC (the “Counterparty”). The Capped Call Transactions have an initial strike price of approximately $6.50 per share and cover approximately $250 million of the offering. The Capped Call Transactions will expire upon the maturity of the Notes, if not earlier exercised or terminated. The Capped Call Transactions are expected generally to reduce the potential dilution to the Company’s common stock upon any conversion of the Notes and/or offset any cash payments the Company is required to make in excess of the principal amount of converted Notes, as the case may be, with such reduction and/or offset subject to a cap initially equal to approximately $8.45 (which represents a premium of approximately 30% over the last reported sale price of the common stock on April 7, 2020). The Capped Call Transactions are separate transactions, entered into by the Company with the Counterparty, and are not part of the terms of the Notes. The Company used approximately $33.75 million of the net proceeds from the offering of the Notes to pay the cost of the Capped Call Transactions.

Summary of the Significant Ac_2

Summary of the Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2020
Accounting Policies [Abstract]
Basis of Presentation and Consolidation and Statements of Financial Condition Presentation	Statements of Financial Condition PresentationThe 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.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. Financial Instruments - Credit Losses - (Topic 326) On January 1, 2020 the Company adopted accounting standards update (or ASU) No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaced the previous model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (or CECL) model for financial instruments measured at amortized cost and required the Company to record an allowance for credit losses on available-for-sale (or AFS) debt securities for all expected (rather than incurred) credit losses of the asset rather than reduce the carrying amount, as the Company did under the OTTI model. This update also revised the accounting model for purchased credit-impaired debt securities. The changes in the allowance for credit losses created in accordance with this update have been recorded in earnings. Expected credit losses are limited to the amount of the unrealized loss on the debt securities impacted by the update. The update did not have any impact on financial instruments which were 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 had no impact on the carrying value or revenue recognition of Loans held for investment. On January 1, 2020, the effective date of the update, the Company was required to record a cumulative-effect adjustment related to financial instruments under the scope of this update to the statement of financial position. As all financial instruments impacted by the update, including all purchased credit impaired debt securities, were in an unrealized gain position as of the effective date, there was no impact on the financial statements at the transition date and no cumulative-effect adjustment was required. In addition, the update superseded subtopic 310-30, Receivables - Loans and Debt Securities Acquired with Deteriorated Credit Quality . As of January 1, 2020, the Company accounted all investments previously classified as AFS and under subtopic 310-30, using the subtopic 326-30 Financial Instruments - Credit Losses; Available-for-Sale Debt Securities and subtopic 325-40, Investments -Other-Beneficial Interests in Securitized Financial Assets . Reference Rate Reform (Topic 848) In March 2020, the FASB issued ASU No. 2020-4, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in this update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this update apply only to contracts, hedging relationships, and other transactions that reference London Inter Bank Offering Rate (or LIBOR) or another reference rate expected to be discontinued because of reference rate reform. The amendments in this update are effective for all entities as of March 12, 2020 through December 31, 2022. An entity may elect to apply the amendments for contract modifications by Topic or Industry Subtopic as of any date from the beginning of an interim period that includes or is subsequent to March 12, 2020, or prospectively from a date within an interim period that includes or is subsequent to March 12, 2020, up to the date that the financial statements are available to be issued. The Company has not yet adopted this guidance and is currently evaluating what impact this update will have on the consolidated financial statements.
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 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) and derivative instruments (Notes 5 and 9). Actual results could differ materially from those estimates.
Significant Accounting Policies and Recent Accounting Pronouncements	Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2019, other than the significant accounting policies discussed below. Interest Income Recognition and Allowance for Credit Losses Investments in Non-agency RMBS securities The Company considers its investments in Non-Agency RMBS as beneficial interests. Beneficial interests gives the Company the right to receive all or portions of specified cash flows received by a trust or other entity. Beneficial interests held by the Company are created in connection with securitization transactions such as those involving mortgage loan obligations. Beneficial interests are accounted for in accordance with guidance in ASC 325-40 as amended by the ASU 2016-13. Beneficial interests classified as available-for-sale (AFS) record changes in fair value in other comprehensive income (OCI). Beneficial interests for which the Company has elected the fair value option (FVO) record changes in fair value in earnings. Interest income on the Company’s beneficial interests 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 favorable changes or adverse changes. Adverse changes in the timing or amount of cash flows on beneficial interests classified as AFS could result in the Company recording an increase in the allowance for credit losses. The allowance for credit losses are calculated using a discounted cash flow (DCF) approach and is measured as the difference between the beneficial interest’s amortized cost and the estimate of cash flows expected to be collected discounted at the effective interest rate used to accrete the beneficial interest. The allowance for credit losses is recorded as a contra-asset and a reduction in earnings. The allowance for credit losses will be limited to the amount of the unrealized losses on the beneficial interest. Any allowance for credit losses in excess of the unrealized losses on the beneficial interests are accounted for as a prospective reduction of the effective interest rate. No allowance is recorded for beneficial interests in an unrealized gain position. Favorable changes in the DCF will result in a reduction in the allowance for credit losses, if any. Any reduction in allowance for credit losses is recorded in earnings. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective increase to the effective interest rate. Beneficial interests for which other than temporary impairment (OTTI) had been recognized prior to the effective date of ASU 2016-13 shall apply the guidance in the update on a prospective basis. In addition the yield used to accrete the beneficial interest on beneficial interests with prior OTTI will remain unchanged as a result of the adoption of ASU 2016-13. Recoveries of amounts previously written off relating to improvements in cash flows shall be recorded in income in the period received. Therefore, subsequent favorable changes in the DCF of the beneficial interests with prior OTTI will not be reflected as an adjustment to their yield used to accrete the discount. Subsequent adverse changes in the DCF will result in an increase to the allowance for credit losses, limited to the amount of the unrealized losses on the beneficial interest. Credit losses recognized on BIs will be accreted on a monthly basis at the rate used to recognize interest income, the effective interest rate. The accretion will be recorded as a reduction to interest income in the statement of operations. The Company presents separately all accrued interest on the statement of financial position. Interest is accrued on all BIs when due. Interest which is not received at the due date is written off when it becomes delinquent. As all interest not received when due is charged off against interest income, no allowance for accrued interest is required. No allowances for credit losses are recognized on beneficial interests for which the Company has elected the fair value option. All favorable or adverse changes in management’s estimates of cash flows expected to be collected results in a prospective increase or decrease in the effective interest rate used to recognize interest income. Investments in agency MBS securities The Company invests in pass-through mortgage-backed securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC) (collectively “Agency Securities”). Interest income for Agency Securities for which changes in fair value are recorded in OCI, 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 monthly 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. This adjustment is accounted for as a change in estimate with a cumulative effect adjustment on interest income as a result in the change in the yield. Prepayments are estimated using models generally accepted in the industry. All securities carried at fair value with changes in fair value recorded in OCI need to be evaluated for expected losses, even if the risk of loss is considered remote. However, the Company is not required to measure expected credit losses on securities in which historical credit loss information adjusted for current conditions and reasonable and supportable forecasts results in an expectation that incurring a credit loss is zero. Based on the current facts and circumstances, the Company believes it’s investments Agency Securities would qualify for zero expected credit losses. The factors considered in reaching this conclusion include the long history of zero credit losses, the explicit guarantee by the US government (although limited for FNMA and FHLMC securities) and yields that, while not risk-free, generally trade based on market views of prepayment and liquidity risk (not credit risk). Interest income on Agency Securities for which changes in fair value are recorded in earnings 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 of the projected cash flows. Changes in the amount or timing of cash flows as a result in changes in expected prepayments from those originally projected, or from those estimated at the last evaluation date, are reflected prospectively as an adjustment to the effective interest rate used to recognize interest income. This recalculation of the effective interest rate is updated on a monthly basis.
Income Taxes	Income Taxes
Fair Value Disclosure	Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements.

Mortgage-Backed Securities (Tab

Mortgage-Backed Securities (Tables)	3 Months Ended
	Mar. 31, 2020
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, allowance for credit losses, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2020 and December 31, 2019 . March 31, 2020 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Allowance for credit losses Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 1,924,284 $ 1,870 $ (922,847 ) $ 1,003,307 $ (5,410 ) $ 1,420,224 $ 424,613 $ (2,286 ) $ 422,327 Subordinated 900,396 8,496 (341,888 ) 567,004 (904 ) 528,178 42,782 (80,704 ) (37,922 ) Interest-only 6,931,077 287,092 — 287,092 — 225,998 41,151 (102,245 ) (61,094 ) Agency RMBS Pass-through — — — — — — — — — Interest-only 1,484,016 135,180 — 135,180 — 105,644 — (29,536 ) (29,536 ) Agency CMBS Project loans 2,506,241 49,294 (4,878 ) 2,550,657 — 2,786,527 235,985 (115 ) 235,870 Interest-only 1,764,487 47,163 — 47,163 — 46,189 1,614 (2,588 ) (974 ) Total $ 15,510,501 $ 529,095 $ (1,269,613 ) $ 4,590,403 $ (6,314 ) $ 5,112,760 $ 746,145 $ (217,474 ) $ 528,671 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
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 March 31, 2020 and December 31, 2019 . All available for sale securities in an unrealized loss position have been evaluated by the Company for current expected credit losses. March 31, 2020 (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 $ 85,768 $ (2,286 ) 14 $ — $ — — $ 85,768 $ (2,286 ) 14 Subordinated 407,971 (80,429 ) 32 1,435 (275 ) 10 409,406 (80,704 ) 42 Interest-only 75,692 (35,469 ) 97 43,493 (66,776 ) 66 119,185 (102,245 ) 163 Agency RMBS Pass-through — — — — — — — — — Interest-only 104,396 (28,624 ) 23 1,250 (912 ) 1 105,646 (29,536 ) 24 Agency CMBS Project loans — — — 39,863 (115 ) 3 39,863 (115 ) 3 Interest-only 2,333 (196 ) 3 8,809 (2,392 ) 7 11,142 (2,588 ) 10 Total $ 676,160 $ (147,004 ) 169 $ 94,850 $ (70,470 ) 87 $ 771,010 $ (217,474 ) 256 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
Schedule of summary of credit loss allowance	A summary of the credit loss allowance for the quarter ended March 31, 2020 is presented below. For the Quarter Ended March 31, 2020 (dollars in thousands) Beginning balance of the allowance for credit losses on available-for-sale securities at the beginning of period $ — Transition impact from CECL standard — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (6,314 ) Allowance on purchased financial assets with credit deterioration — Reductions for the securities sold during the period — Write-offs charged against the allowance — Recoveries of amounts previously written off — Ending balance of the allowance for credit losses on available-for-sale securities at the end of period $ (6,314 )
Schedule of significant credit quality indicators	The following table presents significant credit quality indicators used for the credit loss allowance on our Non-Agency RMBS investments as of March 31, 2020. For the Quarter Ended March 31, 2020 (dollars in thousands) Prepay Rate CDR Loss Severity Amortized Cost Weighted Average Weighted Average Weighted Average Non-Agency RMBS Senior 165,966,737 6.0% 3.1% 50.8% Subordinated 55,410,172 7.5% 0.9% 39.0%
Summary of unrealized gains and losses on MBS	The following tables present a summary of unrealized gains and losses at March 31, 2020 and December 31, 2019 . March 31, 2020 (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 $ 424,613 $ — $ 424,613 $ (2,286 ) $ — $ (2,286 ) Subordinated 35,815 6,967 42,782 (6,817 ) (73,887 ) (80,704 ) Interest-only — 41,151 41,151 — (102,245 ) (102,245 ) Agency RMBS Pass-through — — — — — — Interest-only — — — — (29,536 ) (29,536 ) Agency CMBS Project loans 51,281 184,704 235,985 (115 ) — (115 ) Interest-only — 1,614 1,614 — (2,588 ) (2,588 ) Total $ 511,709 $ 234,436 $ 746,145 $ (9,218 ) $ (208,256 ) $ (217,474 ) 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 )
Residential mortgage backed securities collateral characteristics	The following tables provide a summary of the Company’s MBS portfolio at March 31, 2020 and December 31, 2019 . March 31, 2020 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 1,924,284 $ 52.14 73.81 4.8 % 17.3 % Subordinated 900,396 62.97 58.66 3.8 % 6.8 % Interest-only 6,931,077 4.14 3.26 1.3 % 11.5 % Agency RMBS Interest-only 1,484,016 9.11 7.12 1.6 % 4.1 % Agency CMBS Project loans 2,506,241 101.77 111.18 3.8 % 3.6 % Interest-only 1,764,487 2.67 2.62 0.6 % 4.8 % (1) Bond Equivalent Yield at period end. December 31, 2019 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 $ 2,024,564 $ 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.
Credit ratings of residential MBS	The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 AAA 0.7 % 0.4 % AA 0.1 % 0.1 % A 1.0 % 0.9 % BBB 1.7 % 1.6 % BB 3.9 % 3.8 % B 1.5 % 1.6 % Below B or not rated 91.1 % 91.6 % Total 100.0 % 100.0 %
Schedule of MBS by estimated weighted average life classification	The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at March 31, 2020 and December 31, 2019 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. March 31, 2020 (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 $ 9,861 $ 344,239 $ 559,033 $ 507,091 $ 1,420,224 Subordinated — 29,670 112,528 385,980 528,178 Interest-only — 113,900 109,067 3,031 225,998 Agency RMBS Pass-through — — — — — Interest-only — 1,250 104,394 — 105,644 Agency CMBS Project loans 14,951 — 31,252 2,740,324 2,786,527 Interest-only 2,333 39,945 3,911 — 46,189 Total fair value $ 27,145 $ 529,004 $ 920,185 $ 3,636,426 $ 5,112,760 Amortized cost Non-Agency RMBS Senior $ 9,961 $ 273,374 $ 369,124 $ 350,848 $ 1,003,307 Subordinated — 21,487 111,344 434,173 567,004 Interest-only 1,752 145,034 137,145 3,161 287,092 Agency RMBS Pass-through — — — — — Interest-only — 2,162 133,018 — 135,180 Agency CMBS Project loans 14,981 — 28,646 2,507,030 2,550,657 Interest-only 2,529 40,879 3,755 — 47,163 Total amortized cost $ 29,223 $ 482,936 $ 783,032 $ 3,295,212 $ 4,590,403 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
Schedule of collateral characteristics of underlying Mortgages of Non-Agency RMBS portfolio	The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 Weighted average maturity (years) 23.3 23.6 Weighted average amortized loan to value (1) 62.7 % 63.2 % Weighted average FICO (2) 718 719 Weighted average loan balance (in thousands) $ 308 $ 313 Weighted average percentage owner occupied 81.1 % 80.6 % Weighted average percentage single family residence 60.3 % 60.0 % Weighted average current credit enhancement 0.9 % 1.1 % Weighted average geographic concentration of top four states CA 33.4 % CA 32.5 % FL 6.9 % FL 6.6 % NY 6.8 % NY 6.3 % TX 2.1 % TX 2.0 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination.
Schedule of percentage of Non-Agency RMBS by year originated	The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at March 31, 2020 and December 31, 2019 . Origination Year March 31, 2020 December 31, 2019 2003 and prior 1.1 % 1.3 % 2004 1.7 % 1.5 % 2005 10.9 % 10.7 % 2006 52.5 % 52.9 % 2007 26.8 % 26.6 % 2008 and later 7.0 % 7.0 % Total 100.0 % 100.0 %
Schedule of gains and losses from sales of investments	The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2020 and 2019 are as follows: For the Quarters Ended March 31, 2020 March 31, 2019 (dollars in thousands) Proceeds from sales: Non-Agency RMBS 33,797 4,430 Agency RMBS 5,710,134 1,482,369 Agency CMBS 105,017 22,482 Gross realized gains: Non-Agency RMBS 1,256 285 Agency RMBS 74,264 27,012 Agency CMBS 6,150 — Gross realized losses: Non-Agency RMBS — (1,320 ) Agency RMBS (5,816 ) (15,149 ) Agency CMBS — (2,225 ) Net realized gain (loss) $ 75,854 $ 8,603

Loans Held for Investment (Tabl

Loans Held for Investment (Tables)	3 Months Ended
	Mar. 31, 2020
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Summary of changes in carrying value of securitized loans held for investment carried at fair value	The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at March 31, 2020 and December 31, 2019 : For the Quarter Ended For the Year Ended March 31, 2020 December 31, 2019 (dollars in thousands) Balance, beginning of period $ 14,292,815 $ 12,572,581 Purchases 183,566 5,086,491 Principal paydowns (461,594 ) (1,717,745 ) Sales and settlements (171 ) (1,812,760 ) Net periodic accretion (amortization) (26,284 ) (77,491 ) Realized gains (losses) on sales and settlements — 1,590 Change in fair value (681,514 ) 240,149 Balance, end of period $ 13,306,818 $ 14,292,815
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 March 31, 2020 December 31, 2019 2002 and prior 6.7 % 6.8 % 2003 5.8 % 6.0 % 2004 12.4 % 12.6 % 2005 18.7 % 18.6 % 2006 23.2 % 22.5 % 2007 21.7 % 20.7 % 2008 6.2 % 6.4 % 2009 1.2 % 1.5 % 2010 and later 4.1 % 4.9 % Total 100.0 % 100.0 % (1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019 , respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods.
Schedule of securitized loans held for investment types and characteristics of underlying collateral	30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure Loss Mitigation REO Total Unpaid Principal Balance (dollars in thousands) March 31, 2020 (1) $ 967,534 $ 333,270 $ 339,452 $ 299,129 $ 296,935 $ 4 $ 58,728 $ 2,295,052 $ 13,284,786 % of Unpaid Principal Balance 7.3 % 2.5 % 2.6 % 2.3 % 2.2 % — % 0.4 % 17.3 % December 31, 2019 (1) $ 1,070,173 $ 336,950 $ 291,866 $ 322,288 $ 298,526 $ — $ 59,389 $ 2,379,192 $ 13,169,843 % of Unpaid Principal Balance 8.1 % 2.6 % 2.2 % 2.4 % 2.3 % — % 0.5 % 18.1 % (1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019 , respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods.
Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Schedule of securitized loans held for investment carried at fair value key characteristics of underlying collateral	The following table presents a summary of key characteristics of the residential loan portfolio at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Number of loans 137,605 139,194 Weighted average maturity (years) 19.5 19.3 Weighted average loan to value (2) 86.5 % 87.4 % Weighted average FICO (2) 631 627 Weighted average loan balance (in thousands) $ 97 $ 95 Weighted average percentage owner occupied 87.8 % 88.0 % Weighted average percentage single family residence 83.8 % 84.4 % Weighted average geographic concentration of top five states CA 12.4 % CA 11.6 % FL 7.7 % FL 7.4 % NY 7.1 % NY 6.9 % PA 5.1 % OH 5.3 % OH 5.1 % PA 5.3 % (1) The table above excludes approximately $310 million and $754 million of Loans held for investments for March 31, 2020 and December 31, 2019 , respectively, which were purchased prior to those reporting dates and will settle subsequent to those reporting periods. (2) As provided by the Trustee.

Fair Value Measurements (Tables

Fair Value Measurements (Tables)	3 Months Ended
	Mar. 31, 2020
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 and fair value of the financial instruments carried with fair value option as of March 31, 2020 and December 31, 2019 , respectively: March 31, 2020 December 31, 2019 (dollars in thousands) Unpaid Fair Value Unpaid Fair Value Assets: Non-agency RMBS Subordinated 610,205 359,343 580,761 422,826 Interest-only 6,931,077 225,998 7,458,653 288,899 Agency RMBS Pass-through — — 6,080,549 6,362,628 Interest-only 1,484,016 105,644 1,539,941 127,667 Agency CMBS Project loans 1,779,044 1,991,823 1,753,755 1,889,923 Interest-only 1,764,487 46,189 1,817,246 49,025 Loans held for investment, at fair value 13,594,580 13,306,818 13,924,291 14,292,815 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 8,521,651 7,864,196 8,184,369 8,179,608 The table below shows the impact of change in fair value on each of the financial instruments carried with fair value option in statement of operations as of March 31, 2020 and March 31, 2019 , respectively: Quarter ended Quarter ended March 31, 2020 March 31, 2019 (dollars in thousands) Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Senior — 227 Subordinated (80,803 ) 1,319 Interest-only (48,823 ) 24,136 Agency RMBS Pass-through (151,056 ) 52,011 Interest-only (17,665 ) 2,327 Agency CMBS Project loans 75,662 41,162 Interest-only 1,143 1,914 Loans held for investment, at fair value (681,515 ) 106,545 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 642,171 (28,829 )
Schedule of financial assets and liabilities carried at fair value on a recurring basis	The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at March 31, 2020 and December 31, 2019 are presented below. March 31, 2020 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ 135,118 $ 2,039,282 $ — $ 2,174,400 Agency RMBS, at fair value — 105,644 — — 105,644 Agency CMBS, at fair value — 2,832,716 — — 2,832,716 Loans held for investment, at fair value — — 13,306,818 — 13,306,818 Derivatives — — — — — Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 7,864,196 — 7,864,196 Derivatives — — — — — 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 ) —
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 March 31, 2020 and December 31, 2019 . Fair Value Reconciliation, Level 3 For the Quarter Ended March 31, 2020 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 $ 2,614,408 $ 14,292,815 $ 8,179,608 Transfers in to Level 3 — — — Transfers out of Level 3 (135,118 ) — — Purchases of assets/ issuance of debt 19,512 183,566 731,008 Principal payments (67,518 ) (461,594 ) (386,362 ) Sales and Settlements (33,797 ) (171 ) — Net accretion (amortization) 10,499 (26,284 ) (17,893 ) Gains (losses) included in net income Provision for credit losses (6,314 ) — — Realized gains (losses) on sales and settlements 1,256 — — Net unrealized gains (losses) included in income (129,627 ) (681,514 ) (642,165 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (234,019 ) — — Ending balance Level 3 $ 2,039,282 $ 13,306,818 $ 7,864,196 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
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 Level 3 Non-Agency RMBS held for investment at fair value as of March 31, 2020 and December 31, 2019 follows. The weighted average discount rates were based on fair value. Previously issued financial statement filings were based on amortized cost. We believe fair value provides an improved presentation of weighted average discount rates. March 31, 2020 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 4% -9% 5.7% 2%-25% 6.5% 0%-10% 1.8% 27%-80% 46.4% Subordinated 0% -13% 7.2% 3%-35% 8.4% 0%-6% 1.3% 10%-60% 38.1% Interest-only 10% -100% 12.9% 4%-30% 22.7% 0%-2% 0.6% 0%-83% 37.0% 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% 5.3% 6% -35% 9.6% 0% -6% 1.3% 27% -55% 36.7% Interest-only 0% -100% 11.4% 6% -43% 18.5% 0% -6% 1.0% 26% -83% 35.3% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of March 31, 2020 and December 31, 2019 follows: March 31, 2020 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% -35% 5.2% 5%-25% 8.8% 0%-3% 1.5% 30%-75% 61.1% 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% 59.9%
Schedule of carrying value and fair value of financial instruments not carried at fair value on a recurring basis	The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at March 31, 2020 and December 31, 2019 . March 31, 2020 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,146,996 7,162,204 Securitized debt, collateralized by Non-Agency RMBS 3 128,683 101,553 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
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 March 31, 2020 and December 31, 2019 follows: March 31, 2020 December 31, 2019 Factor: Coupon Base Rate 5.5% 4.3% Actual 6.4% 6.6% FICO Base Rate 637 636 Actual 628 624 Loan-to-value (LTV) Base Rate 89% 86% Actual 87% 88% Loan Characteristics: Occupancy Owner Occupied 89% 89% Investor 2% 2% Secondary 9% 9% Property Type Single family 85% 85% Manufactured housing 3% 4% Multi-family/mixed use/other 12% 11%

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	3 Months Ended
	Mar. 31, 2020
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 March 31, 2020 and December 31, 2019 were: March 31, 2020 December 31, 2019 Repurchase agreements outstanding secured by: Agency RMBS (in thousands) $ 75,866 $ 6,247,275 Agency CMBS (in thousands) 2,206,233 2,013,515 Non-agency RMBS and Loans held for investment (in thousands) 4,864,897 5,166,755 Total: $ 7,146,996 $ 13,427,545 MBS pledged as collateral at fair value on Repurchase agreements: Agency RMBS (in thousands) $ 89,561 $ 6,602,039 Agency CMBS (in thousands) 2,347,087 2,102,520 Non-agency RMBS and Loans held for investment (in thousands) 5,904,751 6,694,685 Total: $ 8,341,399 $ 15,399,244 Average balance of Repurchase agreements secured by: Agency RMBS (in thousands) $ 4,406,107 $ 8,062,881 Agency CMBS (in thousands) 2,112,244 1,993,372 Non-agency RMBS and Loans held for investment (in thousands) 5,236,442 4,436,133 Total: $ 11,754,793 $ 14,492,386 Average borrowing rate of Repurchase agreements secured by: Agency RMBS (in thousands) 0.94 % 2.10 % Agency CMBS (in thousands) 1.06 % 2.10 % Non-agency RMBS and Loans held for investment (in thousands) 3.59 % 3.19 % Average remaining maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 4 Days 14 Days Agency CMBS (in thousands) 14 Days 13 Days Non-agency RMBS and Loans held for investment (in thousands) 230 Days 255 Days Average original maturity of Repurchase agreements secured by: Agency RMBS (in thousands) 16 Days 38 Days Agency CMBS (in thousands) 30 Days 34 Days Non-agency RMBS and Loans held for investment (in thousands) 250 Days 279 Days At March 31, 2020 and December 31, 2019, we pledged $419 million and $20 million , respectively, of margin cash collateral to our repurchase agreement counterparties. At March 31, 2020 and December 31, 2019 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. March 31, 2020 December 31, 2019 (dollars in thousands) Overnight $ 40,836 $ — 1 to 29 days 3,634,255 9,709,387 30 to 59 days 502,333 800,648 60 to 89 days 633,939 608,520 90 to 119 days 113,370 — Greater than or equal to 120 days 2,222,263 2,308,990 Total $ 7,146,996 $ 13,427,545

Securitized Debt (Tables)

Securitized Debt (Tables)	3 Months Ended
	Mar. 31, 2020
Debt Instrument [Line Items]
Schedule of callable debt	The following table presents the par value of the callable debt by year at March 31, 2020 . March 31, 2020 (dollars in thousands) Year Principal 2020 3,352,884 2021 2,698,398 2022 1,009,753 2023 415,633 Total $ 7,476,668
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 March 31, 2020 and December 31, 2019 , based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 15,131 $ 18,826 One to Three Years 16,149 18,332 Three to Five Years 5,056 4,453 Greater Than Five Years 461 665 Total $ 36,797 $ 42,276
Loans held for investment
Debt Instrument [Line Items]
Schedule of maturities of long-term debt	The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at March 31, 2020 and December 31, 2019 , based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2020 December 31, 2019 (dollars in thousands) Within One Year $ 1,647,041 $ 1,582,646 One to Three Years 2,663,326 2,563,699 Three to Five Years 1,815,521 1,791,756 Greater Than Five Years 2,290,166 2,129,460 Total $ 8,416,054 $ 8,067,561

Consolidated Securitization V_2

Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables)	3 Months Ended
	Mar. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Schedule of assets and liabilities related to the consolidated VIEs	The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of March 31, 2020 and December 31, 2019 . March 31, 2020 December 31, 2019 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 521,683 $ 598,080 Loans held for investment, at fair value 11,722,057 11,853,659 Accrued interest receivable 63,154 63,218 Other assets 27,301 29,787 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 128,683 $ 133,557 Securitized debt at fair value, collateralized by loans held for investment 7,617,507 7,899,259 Accrued interest payable 28,561 28,775 Other liabilities 2,854 2,644
Schedule of Income, OTTI and expense amounts related to consolidated VIEs	Income and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters ended March 31, 2020 March 31, 2019 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 174,681 $ 207,112 Interest expense, Non-recourse liabilities of VIEs 64,629 91,027 Net interest income $ 110,052 $ 116,085 Provision for credit losses $ (141 ) $ — Net other-than-temporary credit impairment losses $ — $ (4,255 ) Servicing fees $ 8,238 $ 8,739

Derivative Instruments (Tables)

Derivative Instruments (Tables)	3 Months Ended
	Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of location and fair value of the derivatives	The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of March 31, 2020 and December 31, 2019 . The Company did not have any derivative instruments as of March 31, 2020. March 31, 2020 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 $ — Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Treasury Futures — Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ — $ — $ — 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 $ — Treasury Futures 619,700 Derivatives, at fair value, net 3,611 Derivatives, at fair value, net — Total $ 4,731,000 $ 3,611 $ —
Schedule of derivative instruments effects on operating results	The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of March 31, 2020 March 31, 2019 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 204,611 $ (94,075 ) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (470,352 ) (102,584 ) Treasury Futures Net unrealized gains (losses) on derivatives (3,611 ) 5,325 Treasury Futures Net realized gains (losses) on derivatives (34,700 ) (12,579 ) Swaptions Net unrealized gains (losses) on derivatives — (565 ) Swaptions Net realized gains (losses) on derivatives — (160 ) Total $ (304,052 ) $ (204,638 ) (1) Includes loss on termination of interest rate swaps of $464 million and $108 million during the quarters ended March 31, 2020 and 2019 , respectively.

Capital Stock (Tables)

Capital Stock (Tables)	3 Months Ended
	Mar. 31, 2020
Equity [Abstract]
Schedule of earnings per share	Earnings per share for the quarters ended March 31, 2020 and 2019 respectively, are computed as follows: For the Quarters Ended March 31, 2020 March 31, 2019 (dollars in thousands) Numerator: Net income available to common shareholders $ (389,193 ) $ 100,755 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ (389,193 ) $ 100,755 Denominator: Weighted average basic shares 187,018,602 187,112,454 Effect of dilutive securities — 1,087,257 Weighted average dilutive shares 187,018,602 188,199,711 Net income per average share attributable to common stockholders - Basic $ (2.08 ) $ 0.54 Net income per average share attributable to common stockholders - Diluted $ (2.08 ) $ 0.54 For the quarter ended March 31, 2020 potentially dilutive securities of 1.3 million were excluded from the computation of fully diluted EPS because their effect would have been anti-dilutive. Anti-dilutive securities for the quarter ended March 31, 2020 comprised of restricted stock units and performance stock units discussed in Note 12.

Accumulated Other Comprehensi_2

Accumulated Other Comprehensive Income (Tables)	3 Months Ended
	Mar. 31, 2020
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 quarters ended March 31, 2020 and 2019 : March 31, 2020 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2019 $ 708,336 $ 708,336 OCI before reclassifications (199,204 ) (199,204 ) Amounts reclassified from AOCI (6,641 ) (6,641 ) Net current period OCI (205,845 ) (205,845 ) Balance as of March 31, 2020 $ 502,491 $ 502,491 March 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 26,385 26,385 Amounts reclassified from AOCI 19,771 19,771 Net current period OCI 46,156 46,156 Balance as of March 31, 2019 $ 672,988 $ 672,988
Schedule of reclassifications from AOCI	The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2020 and 2019 : March 31, 2020 March 31, 2019 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 $ 6,641 $ (14,918 ) Net realized gains (losses) on sales of investments — (4,853 ) Net other-than-temporary credit impairment losses $ 6,641 $ (19,771 ) Income before income taxes — — Income taxes $ 6,641 $ (19,771 ) Net of tax

Credit Risk and Interest Rate_2

Credit Risk and Interest Rate Risk (Tables)	3 Months Ended
	Mar. 31, 2020
Offsetting [Abstract]
Schedule of assets and liabilities subject to netting arrangements	The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of March 31, 2020 and December 31, 2019 . March 31, 2020 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,146,996 ) $ — $ (7,146,996 ) $ 8,341,399 $ 419,160 $ 1,613,563 Total $ (7,146,996 ) $ — $ (7,146,996 ) $ 8,341,399 $ 419,160 $ 1,613,563 (1) Included in other assets 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 — — — — — — Total $ (13,628,545 ) $ 204,611 $ (13,423,934 ) $ 15,399,244 $ 141,194 $ 2,116,504 (1) Included in other assets

Organization - Narrative (Detai

Organization - Narrative (Detail)	3 Months Ended
	Mar. 31, 2020subsidiary
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 - Narrative (Details) - USD ($)	Mar. 31, 2020	Dec. 31, 2019
Accounting Policies [Abstract]
Accruals for penalties and interest	$ 0	$ 0

Mortgage-Backed Securities - Su

Mortgage-Backed Securities - Summary (Detail) - USD ($)	Mar. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Principal or Notional Value	$ 15,510,501,000	$ 22,419,481,000
Total Premium	529,095,000	687,503,000
Total Discount	(1,269,613,000)	(1,291,790,000)
Amortized Cost	4,590,403,000	10,999,354,000
Allowance for credit losses	(6,314,000)	0
Fair Value	5,112,760,000	11,955,418,000
Gross Unrealized Gains	746,145,000	1,042,048,000
Gross Unrealized Losses	(217,474,000)	(85,984,000)
Net Unrealized Gain/(Loss)	528,671,000	956,064,000
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	165,966,737
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Amortized Cost	55,410,172
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value	1,924,284,000	2,024,564,000
Total Premium	1,870,000	2,038,000
Total Discount	(922,847,000)	(953,916,000)
Amortized Cost	1,003,307,000	1,072,686,000
Allowance for credit losses	(5,410,000)
Fair Value	1,420,224,000	1,700,911,000
Gross Unrealized Gains	424,613,000	628,518,000
Gross Unrealized Losses	(2,286,000)	(293,000)
Net Unrealized Gain/(Loss)	422,327,000	628,225,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value	900,396,000	876,592,000
Total Premium	8,496,000	9,915,000
Total Discount	(341,888,000)	(332,913,000)
Amortized Cost	567,004,000	553,594,000
Allowance for credit losses	(904,000)
Fair Value	528,178,000	624,598,000
Gross Unrealized Gains	42,782,000	76,272,000
Gross Unrealized Losses	(80,704,000)	(5,268,000)
Net Unrealized Gain/(Loss)	(37,922,000)	71,004,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value	6,931,077,000	7,458,653,000
Total Premium	287,092,000	301,170,000
Total Discount	0	0
Amortized Cost	287,092,000	301,170,000
Allowance for credit losses	0
Fair Value	225,998,000	288,899,000
Gross Unrealized Gains	41,151,000	51,481,000
Gross Unrealized Losses	(102,245,000)	(63,752,000)
Net Unrealized Gain/(Loss)	(61,094,000)	(12,271,000)
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value	0	6,080,547,000
Total Premium	0	131,023,000
Total Discount	0	0
Amortized Cost	0	6,211,570,000
Allowance for credit losses	0
Fair Value	0	6,362,626,000
Gross Unrealized Gains	0	152,271,000
Gross Unrealized Losses	0	(1,215,000)
Net Unrealized Gain/(Loss)	0	151,056,000
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,484,016,000	1,539,941,000
Total Premium	135,180,000	139,536,000
Total Discount	0	0
Amortized Cost	135,180,000	139,536,000
Allowance for credit losses	0
Fair Value	105,644,000	127,667,000
Gross Unrealized Gains	0	220,000
Gross Unrealized Losses	(29,536,000)	(12,089,000)
Net Unrealized Gain/(Loss)	(29,536,000)	(11,869,000)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value	2,506,241,000	2,621,938,000
Total Premium	49,294,000	52,681,000
Total Discount	(4,878,000)	(4,961,000)
Amortized Cost	2,550,657,000	2,669,658,000
Allowance for credit losses	0
Fair Value	2,786,527,000	2,801,692,000
Gross Unrealized Gains	235,985,000	132,700,000
Gross Unrealized Losses	(115,000)	(666,000)
Net Unrealized Gain/(Loss)	235,870,000	132,034,000
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value	1,764,487,000	1,817,246,000
Total Premium	47,163,000	51,140,000
Total Discount	0	0
Amortized Cost	47,163,000	51,140,000
Allowance for credit losses	0
Fair Value	46,189,000	49,025,000
Gross Unrealized Gains	1,614,000	586,000
Gross Unrealized Losses	(2,588,000)	(2,701,000)
Net Unrealized Gain/(Loss)	$ (974,000)	$ (2,115,000)

Mortgage-Backed Securities - Un

Mortgage-Backed Securities - Unrealized Loss Positions (Detail) $ in Thousands	Mar. 31, 2020USD ($)security	Dec. 31, 2019USD ($)security
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 676,160	$ 309,196
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (147,004)	$ (41,067)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	169	90
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 94,850	$ 219,978
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (70,470)	$ (44,917)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	87	94
Total, Estimated Fair Value	$ 771,010	$ 529,174
Total, Unrealized Losses	$ (217,474)	$ (85,984)
Total, Number of Positions | security	256	184
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 85,768	$ 0
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (2,286)	$ 0
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	14	0
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 31,635
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (293)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	1
Total, Estimated Fair Value	$ 85,768	$ 31,635
Total, Unrealized Losses	$ (2,286)	$ (293)
Total, Number of Positions | security	14	1
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 407,971	$ 69,178
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (80,429)	$ (5,064)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	32	9
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 1,435	$ 1,836
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (275)	$ (204)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	10	11
Total, Estimated Fair Value	$ 409,406	$ 71,014
Total, Unrealized Losses	$ (80,704)	$ (5,268)
Total, Number of Positions | security	42	20
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	$ 75,692	$ 50,376
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (35,469)	$ (22,737)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	97	46
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 43,493	$ 64,129
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (66,776)	$ (41,015)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	66	66
Total, Estimated Fair Value	$ 119,185	$ 114,505
Total, Unrealized Losses	$ (102,245)	$ (63,752)
Total, Number of Positions | security	163	112
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 11,398
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ (605)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	4
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 0	$ 67,552
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ 0	$ (610)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	0	5
Total, Estimated Fair Value	$ 0	$ 78,950
Total, Unrealized Losses	$ 0	$ (1,215)
Total, Number of Positions | security	0	9
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 104,396	$ 121,228
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (28,624)	$ (12,089)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	23	22
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 1,250	$ 0
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (912)	$ 0
Unrealized Loss Position for 12 Months or More, Number of Positions | security	1	0
Total, Estimated Fair Value	$ 105,646	$ 121,228
Total, Unrealized Losses	$ (29,536)	$ (12,089)
Total, Number of Positions | security	24	22
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 0	$ 41,971
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ 0	$ (277)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	0	3
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 39,863	$ 44,896
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (115)	$ (389)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	3	4
Total, Estimated Fair Value	$ 39,863	$ 86,867
Total, Unrealized Losses	$ (115)	$ (666)
Total, Number of Positions | security	3	7
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Unrealized Loss Position for Less than 12 Months, Estimated Fair Value	$ 2,333	$ 15,045
Unrealized Loss Position for Less than 12 Months, Unrealized Losses	$ (196)	$ (295)
Unrealized Loss Position for Less than 12 Months, Number of Positions | security	3	6
Unrealized Loss Position for 12 Months or More, Estimated Fair Value	$ 8,809	$ 9,930
Unrealized Loss Position for 12 Months or More, Unrealized Losses	$ (2,392)	$ (2,406)
Unrealized Loss Position for 12 Months or More, Number of Positions | security	7	7
Total, Estimated Fair Value	$ 11,142	$ 24,975
Total, Unrealized Losses	$ (2,588)	$ (2,701)
Total, Number of Positions | security	10	13

Mortgage-Backed Securities - In

Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)
Investment Holdings [Line Items]
Gross unrealized loss	$ 217,474	$ 85,984
Agency MBS
Investment Holdings [Line Items]
Gross unrealized loss	115	1,000
Non-Agency RMBS
Investment Holdings [Line Items]
Gross unrealized loss	$ 9,000	$ 348
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality
Investment Holdings [Line Items]
Percentage in Alt-A collateral	58.00%	58.00%
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality
Investment Holdings [Line Items]
Percentage in prime collateral	13.00%	12.00%
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%
Non-Agency RMBS
Investment Holdings [Line Items]
Market value of investments transferred	$ 135,000

Mortgage-Backed Securities - _2

Mortgage-Backed Securities - Summary of Credit Loss Allowance (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning balance of the allowance for credit losses on available-for-sale securities at the beginning of period	$ 0
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded	(6,314)
Allowance on purchased financial assets with credit deterioration	0
Reductions for the securities sold during the period	0
Write-offs charged against the allowance	0
Recoveries of amounts previously written off	0
Ending balance of the allowance for credit losses on available-for-sale securities at the end of period	(6,314)
Cumulative Effect, Period of Adoption, Adjustment
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward]
Beginning balance of the allowance for credit losses on available-for-sale securities at the beginning of period	$ 0

Mortgage-Backed Securities - Sc

Mortgage-Backed Securities - Schedule of Significant Credit Quality Indicators (Details)	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)
Investment Holdings [Line Items]
Amortized Cost	$ 4,590,403,000	$ 10,999,354,000
Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Amortized Cost	165,966,737
Non-Agency RMBS - Senior | Residential Mortgage-Backed Securities
Investment Holdings [Line Items]
Amortized Cost	$ 1,003,307,000	1,072,686,000
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.060
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average | CDR
Investment Holdings [Line Items]
Significant Inputs	0.031
Non-Agency RMBS - Senior | Credit Quality Indicator, Updated Quarterly | Weighted Average | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.508
Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Amortized Cost	$ 55,410,172
Non-Agency RMBS - Subordinated | Residential Mortgage-Backed Securities
Investment Holdings [Line Items]
Amortized Cost	$ 567,004,000	$ 553,594,000
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average | Discount Rate
Investment Holdings [Line Items]
Significant Inputs	0.075
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average | CDR
Investment Holdings [Line Items]
Significant Inputs	0.009
Non-Agency RMBS - Subordinated | Credit Quality Indicator, Updated Quarterly | Weighted Average | Loss Severity
Investment Holdings [Line Items]
Significant Inputs	0.390

Mortgage-Backed Securities - Gr

Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	$ 511,709	$ 709,335
Gross Unrealized Gain Included in Cumulative Earnings	234,436	332,713
Total Gross Unrealized Gain	746,145	1,042,048
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(9,218)	(999)
Gross Unrealized Loss Included in Cumulative Earnings	(208,256)	(84,985)
Total Gross Unrealized Loss	(217,474)	(85,984)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	424,613	628,518
Gross Unrealized Gain Included in Cumulative Earnings	0	0
Total Gross Unrealized Gain	424,613	628,518
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(2,286)	(293)
Gross Unrealized Loss Included in Cumulative Earnings	0	0
Total Gross Unrealized Loss	(2,286)	(293)
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	35,815	57,174
Gross Unrealized Gain Included in Cumulative Earnings	6,967	19,098
Total Gross Unrealized Gain	42,782	76,272
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(6,817)	(55)
Gross Unrealized Loss Included in Cumulative Earnings	(73,887)	(5,213)
Total Gross Unrealized Loss	(80,704)	(5,268)
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	41,151	51,481
Total Gross Unrealized Gain	41,151	51,481
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(102,245)	(63,752)
Total Gross Unrealized Loss	(102,245)	(63,752)
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Gain Included in Cumulative Earnings	0	152,271
Total Gross Unrealized Gain	0	152,271
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	0	(1,215)
Total Gross Unrealized Loss	0	(1,215)
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	0	220
Total Gross Unrealized Gain	0	220
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(29,536)	(12,089)
Total Gross Unrealized Loss	(29,536)	(12,089)
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income	51,281	23,643
Gross Unrealized Gain Included in Cumulative Earnings	184,704	109,057
Total Gross Unrealized Gain	235,985	132,700
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	(115)	(651)
Gross Unrealized Loss Included in Cumulative Earnings	0	(15)
Total Gross Unrealized Loss	(115)	(666)
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	1,614	586
Total Gross Unrealized Gain	1,614	586
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income	0	0
Gross Unrealized Loss Included in Cumulative Earnings	(2,588)	(2,701)
Total Gross Unrealized Loss	$ (2,588)	$ (2,701)

Mortgage-Backed Securities - Co

Mortgage-Backed Securities - Collateral Characteristics (Detail) - USD ($) $ / shares in Units, $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 15,510,501	$ 22,419,481
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,924,284	$ 2,024,564
Weighted Average Amortized Cost Basis (in dollars per share)	$ 52.14	$ 52.98
Weighted Average Fair Value (in dollars per share)	$ 73.81	$ 84.01
Weighted Average Coupon	4.80%	5.00%
Weighted Average Yield at Period-End	17.30%	20.80%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Subordinated
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 900,396	$ 876,592
Weighted Average Amortized Cost Basis (in dollars per share)	$ 62.97	$ 63.15
Weighted Average Fair Value (in dollars per share)	$ 58.66	$ 71.25
Weighted Average Coupon	3.80%	3.70%
Weighted Average Yield at Period-End	6.80%	6.90%
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 6,931,077	$ 7,458,653
Weighted Average Amortized Cost Basis (in dollars per share)	$ 4.14	$ 4.04
Weighted Average Fair Value (in dollars per share)	$ 3.26	$ 3.87
Weighted Average Coupon	1.30%	1.10%
Weighted Average Yield at Period-End	11.50%	8.40%
Residential Mortgage-Backed Securities | Agency MBS - Residential
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 0	$ 6,080,547
Weighted Average Amortized Cost Basis (in dollars per share)		$ 102.15
Weighted Average Fair Value (in dollars per share)		$ 104.64
Weighted Average Coupon		4.00%
Weighted Average Yield at Period-End		3.40%
Residential Mortgage-Backed Securities | Agency RMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,484,016	$ 1,539,941
Weighted Average Amortized Cost Basis (in dollars per share)	$ 9.11	$ 9.06
Weighted Average Fair Value (in dollars per share)	$ 7.12	$ 8.29
Weighted Average Coupon	1.60%	1.60%
Weighted Average Yield at Period-End	4.10%	4.00%
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 2,506,241	$ 2,621,938
Weighted Average Amortized Cost Basis (in dollars per share)	$ 101.77	$ 101.82
Weighted Average Fair Value (in dollars per share)	$ 111.18	$ 106.86
Weighted Average Coupon	3.80%	3.70%
Weighted Average Yield at Period-End	3.60%	3.60%
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Investment Holdings [Line Items]
Principal or Notional Value at Period-End (dollars in thousands)	$ 1,764,487	$ 1,817,246
Weighted Average Amortized Cost Basis (in dollars per share)	$ 2.67	$ 2.81
Weighted Average Fair Value (in dollars per share)	$ 2.62	$ 2.70
Weighted Average Coupon	0.60%	0.70%
Weighted Average Yield at Period-End	4.80%	4.70%

Mortgage-Backed Securities - Cr

Mortgage-Backed Securities - Credit Ratings (Detail) - Non-Agency RMBS	Mar. 31, 2020	Dec. 31, 2019
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	0.70%	0.40%
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	1.00%	0.90%
BBB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.70%	1.60%
BB
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	3.90%	3.80%
B
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	1.50%	1.60%
Below B or not rated
Credit Derivatives [Line Items]
Percentage of RMBS portfolio at fair value, by credit rating	91.10%	91.60%

Mortgage-Backed Securities - Ma

Mortgage-Backed Securities - Maturities (Detail) - USD ($)	Mar. 31, 2020	Dec. 31, 2019
Fair value
Less than one year, at fair value	$ 27,145,000	$ 31,408,000
Greater than one year and less than five years, at fair value	529,004,000	6,582,162,000
Greater than five years and less than ten years, at fair value	920,185,000	1,536,886,000
Greater than ten years, at fair value	3,636,426,000	3,804,962,000
Total maturities, at fair value	5,112,760,000	11,955,418,000
Amortized cost
Less than one year, at amortized cost	29,223,000	30,290,000
Greater than one year and less than five years, at amortized cost	482,936,000	6,305,410,000
Greater than five years and less than ten years, at amortized cost	783,032,000	1,253,782,000
Greater than ten years, at amortized cost	3,295,212,000	3,409,872,000
Amortized Cost	4,590,403,000	10,999,354,000
Non-Agency RMBS - Senior
Amortized cost
Amortized Cost	165,966,737
Non-Agency RMBS - Subordinated
Amortized cost
Amortized Cost	55,410,172
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior
Fair value
Less than one year, at fair value	9,861,000	16,343,000
Greater than one year and less than five years, at fair value	344,239,000	450,185,000
Greater than five years and less than ten years, at fair value	559,033,000	676,382,000
Greater than ten years, at fair value	507,091,000	558,001,000
Total maturities, at fair value	1,420,224,000	1,700,911,000
Amortized cost
Less than one year, at amortized cost	9,961,000	15,206,000
Greater than one year and less than five years, at amortized cost	273,374,000	304,850,000
Greater than five years and less than ten years, at amortized cost	369,124,000	409,958,000
Greater than ten years, at amortized cost	350,848,000	342,672,000
Amortized Cost	1,003,307,000	1,072,686,000
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	29,670,000	43,796,000
Greater than five years and less than ten years, at fair value	112,528,000	95,973,000
Greater than ten years, at fair value	385,980,000	484,829,000
Total maturities, at fair value	528,178,000	624,598,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	21,487,000	29,085,000
Greater than five years and less than ten years, at amortized cost	111,344,000	86,033,000
Greater than ten years, at amortized cost	434,173,000	438,476,000
Amortized Cost	567,004,000	553,594,000
Residential Mortgage-Backed Securities | Non-Agency RMBS - Senior 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	113,900,000	126,631,000
Greater than five years and less than ten years, at fair value	109,067,000	159,057,000
Greater than ten years, at fair value	3,031,000	3,211,000
Total maturities, at fair value	225,998,000	288,899,000
Amortized cost
Less than one year, at amortized cost	1,752,000	0
Greater than one year and less than five years, at amortized cost	145,034,000	150,221,000
Greater than five years and less than ten years, at amortized cost	137,145,000	148,889,000
Greater than ten years, at amortized cost	3,161,000	2,060,000
Amortized Cost	287,092,000	301,170,000
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	0	5,939,408,000
Greater than five years and less than ten years, at fair value	0	421,539,000
Greater than ten years, at fair value	0	1,679,000
Total maturities, at fair value	0	6,362,626,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	0	5,796,044,000
Greater than five years and less than ten years, at amortized cost	0	414,482,000
Greater than ten years, at amortized cost	0	1,044,000
Amortized Cost	0	6,211,570,000
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	1,250,000	1,614,000
Greater than five years and less than ten years, at fair value	104,394,000	126,053,000
Greater than ten years, at fair value	0	0
Total maturities, at fair value	105,644,000	127,667,000
Amortized cost
Less than one year, at amortized cost	0	0
Greater than one year and less than five years, at amortized cost	2,162,000	2,260,000
Greater than five years and less than ten years, at amortized cost	133,018,000	137,276,000
Greater than ten years, at amortized cost	0	0
Amortized Cost	135,180,000	139,536,000
Commercial Mortgage Backed Securities | Agency MBS - Commercial
Fair value
Less than one year, at fair value	14,951,000	15,065,000
Greater than one year and less than five years, at fair value	0	0
Greater than five years and less than ten years, at fair value	31,252,000	29,385,000
Greater than ten years, at fair value	2,740,324,000	2,757,242,000
Total maturities, at fair value	2,786,527,000	2,801,692,000
Amortized cost
Less than one year, at amortized cost	14,981,000	15,084,000
Greater than one year and less than five years, at amortized cost	0	0
Greater than five years and less than ten years, at amortized cost	28,646,000	28,954,000
Greater than ten years, at amortized cost	2,507,030,000	2,625,620,000
Amortized Cost	2,550,657,000	2,669,658,000
Commercial Mortgage Backed Securities | Agency CMBS - Interest-only
Fair value
Less than one year, at fair value	2,333,000	0
Greater than one year and less than five years, at fair value	39,945,000	20,528,000
Greater than five years and less than ten years, at fair value	3,911,000	28,497,000
Greater than ten years, at fair value	0	0
Total maturities, at fair value	46,189,000	49,025,000
Amortized cost
Less than one year, at amortized cost	2,529,000	0
Greater than one year and less than five years, at amortized cost	40,879,000	22,950,000
Greater than five years and less than ten years, at amortized cost	3,755,000	28,190,000
Greater than ten years, at amortized cost	0	0
Amortized Cost	$ 47,163,000	$ 51,140,000

Mortgage-Backed Securities - Ge

Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-Agency RMBS - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Investment Holdings [Line Items]
Weighted average maturity (years)	23 years 3 months 18 days	23 years 7 months 6 days
Weighted average amortized loan to value	62.70%	63.20%
Weighted average FICO	718	719
Weighted average loan balance (in thousands)	$ 308	$ 313
Weighted average percentage owner occupied	81.10%	80.60%
Weighted average percentage single family residence	60.30%	60.00%
Weighted average current credit enhancement	0.90%	1.10%
CA
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	33.40%	32.50%
FL
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	6.90%	6.60%
NY
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	6.80%	6.30%
TX
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states	2.10%
NJ
Investment Holdings [Line Items]
Weighted average geographic concentration of top four states		2.00%

Mortgage-Backed Securities - Ye

Mortgage-Backed Securities - Year Originated (Detail) - Non-Agency RMBS	Mar. 31, 2020	Dec. 31, 2019
Origination Year as a Percentage of Outstanding Principal Balance:
2003 (and prior)	1.10%	1.30%
2004	1.70%	1.50%
2005	10.90%	10.70%
2006	52.50%	52.90%
2007	26.80%	26.60%
2008 and later	7.00%	7.00%
Total	100.00%	100.00%

Mortgage-Backed Securities - Ga

Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Investment Holdings [Line Items]
Net realized gain (loss)	$ 75,854	$ 8,603
Non-Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	33,797	4,430
Gross realized gains:	1,256	285
Gross realized losses:	0	(1,320)
Agency RMBS
Investment Holdings [Line Items]
Proceeds from sales:	5,710,134	1,482,369
Gross realized gains:	74,264	27,012
Gross realized losses:	(5,816)	(15,149)
Agency CMBS
Investment Holdings [Line Items]
Proceeds from sales:	105,017	22,482
Gross realized gains:	6,150	0
Gross realized losses:	$ 0	$ (2,225)

Loans Held for Investment - Nar

Loans Held for Investment - Narrative (Detail) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Securitized debt loans held for investment at cost	$ 13,400	$ 13,700
Loans Held for Investment at Fair Value
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Purchases	0	1,800
Retained balance		124
Fair Value | Seasoned Subprime Residential Mortgage Loans
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Fair value of loans 90 days or more past due	$ 563	$ 597

Loans Held for Investment - Rol

Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Loans Held for Investment at Fair Value - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward]
Balance, beginning of period	$ 14,292,815	$ 12,572,581	$ 12,572,581
Purchases	183,566		5,086,491
Principal paydowns	(461,594)		(1,717,745)
Sales and settlements	(171)	(1,812,760)	(1,812,760)
Net periodic accretion (amortization)	(26,284)		(77,491)
Realized gains (losses) on sales and settlements	0	1,590	1,590
Change in fair value	(681,514)	$ 240,149	240,149
Balance, end of period	$ 13,306,818		$ 14,292,815

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	Mar. 31, 2020	Dec. 31, 2019
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
2002 and prior	6.70%	6.80%
2003	5.80%	6.00%
2004	12.40%	12.60%
2005	18.70%	18.60%
2006	23.20%	22.50%
2007	21.70%	20.70%
2008	6.20%	6.40%
2009	1.20%	1.50%
2010 and later	4.10%	4.90%
Total	100.00%	100.00%
Underlying mortgages excluded from portfolio	$ 310	$ 754

Loans Held for Investment - Col

Loans Held for Investment - Collateral Characteristics (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands	Mar. 31, 2020USD ($)loan	Dec. 31, 2019USD ($)loan
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Number of loans | loan	137,605	139,194
Weighted average maturity (years)	19 years 6 months	19 years 3 months 18 days
Weighted average loan to value	86.50%	87.40%
Weighted average FICO	631	627
Weighted average loan balance (in thousands) | $	$ 97	$ 95
Weighted average percentage owner occupied	87.80%	88.00%
Weighted average percentage single family residence	83.80%	84.40%
CA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	12.40%	11.60%
FL
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	7.70%	7.40%
NY
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	7.10%	6.90%
OH
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.10%	5.30%
PA
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Weighted average geographic concentration of top five states	5.10%	5.30%

Loans Held for Investment - Loa

Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Unpaid Principal Balance	$ 13,284,786	$ 13,169,843
Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 2,295,052	$ 2,379,192
% of Unpaid Principal Balance	17.30%	18.10%
30 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 967,534	$ 1,070,173
% of Unpaid Principal Balance	7.30%	8.10%
60 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 333,270	$ 336,950
% of Unpaid Principal Balance	2.50%	2.60%
90 Days Delinquent | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 339,452	$ 291,866
% of Unpaid Principal Balance	2.60%	2.20%
Bankruptcy | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 299,129	$ 322,288
% of Unpaid Principal Balance	2.30%	2.40%
Foreclosure | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 296,935	$ 298,526
% of Unpaid Principal Balance	2.20%	2.30%
Loss Mitigation | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 4	$ 0
% of Unpaid Principal Balance	0.00%	0.00%
REO | Residential Portfolio Segment
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items]
Outstanding balance past due	$ 58,728	$ 59,389
% of Unpaid Principal Balance	0.40%	0.50%

Fair Value Measurements - Narra

Fair Value Measurements - Narrative (Details) $ in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)loanLoan	Mar. 31, 2019USD ($)	Dec. 31, 2019USD ($)loan
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	60		6
Excess (deficit) of third party prices over internally developed price, assets	$ 13,000		$ 3,000
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price, assets	56,000		20,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure	893,000		22,000
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Assets, fair value disclosure	$ 532,000		$ 147,000
Number of loans | loan	5		1
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]
Assets, fair value disclosure	$ 880,000		$ 19,000
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Excess (deficit) of third party prices over internally developed price, assets	476,000		$ 127,000
Non-Agency RMBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Transfers out of level 3	$ 135,118	$ 0
Securitized debt | Internal Assessment | Investments with Difference Between Model Price and Third-Party Price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Loans internally valued lower than third party prices | Loan	8
Liabilities, fair value disclosure	$ 148,000
Excess (deficit) of third party prices over internally developed price, liabilities	45,000
Securitized debt | Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Liabilities, fair value disclosure	$ 103,000

Fair Value Measurements - Sched

Fair Value Measurements - Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2020	Dec. 31, 2019
Assets:
Unpaid Principal/ Notional	$ 15,510,501	$ 22,419,481
Loans held for investment, fair value	13,306,818	14,292,815
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Fair value	7,864,196	8,179,608
Non-Agency RMBS | Senior
Assets:
Year to Date Gain/(Loss) on Change in Fair Value	0	227
Non-Agency RMBS | Subordinated
Assets:
Unpaid Principal/ Notional	610,205	580,761
Fair Value	359,343	422,826
Year to Date Gain/(Loss) on Change in Fair Value	(80,803)	1,319
Non-Agency RMBS | Senior, interest-only
Assets:
Unpaid Principal/ Notional	6,931,077	7,458,653
Fair Value	225,998	288,899
Year to Date Gain/(Loss) on Change in Fair Value	(48,823)	24,136
Agency RMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,484,016	1,539,941
Fair Value	105,644	127,667
Year to Date Gain/(Loss) on Change in Fair Value	(17,665)	2,327
Agency RMBS | Pass-through
Assets:
Unpaid Principal/ Notional	0	6,080,549
Fair Value	0	1,889,923
Year to Date Gain/(Loss) on Change in Fair Value	(151,056)	52,011
Agency CMBS | Interest-only
Assets:
Unpaid Principal/ Notional	1,764,487	1,817,246
Fair Value	46,189	49,025
Year to Date Gain/(Loss) on Change in Fair Value	1,143	1,914
Agency CMBS | Project loans
Assets:
Unpaid Principal/ Notional	1,779,044	1,753,755
Fair Value	1,991,823
Year to Date Gain/(Loss) on Change in Fair Value	75,662	41,162
Agency CMBS | Project loans
Assets:
Fair Value		6,362,628
Loans held for investment
Assets:
Year to Date Gain/(Loss) on Change in Fair Value	(681,515)
Loans held for investment, Unpaid Principal/Notional	13,594,580	13,924,291
Loans held for investment, fair value	13,306,818	14,292,815
Securitized debt
Assets:
Year to Date Gain/(Loss) on Change in Fair Value	642,171	(28,829)
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional	8,521,651	8,184,369
Securitized debt at fair value, collateralized by loans held for investment, Fair value	$ 7,864,196	$ 8,179,608

Fair Value Measurements - Level

Fair Value Measurements - Level of Fair Value (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)	$ 2,174,400	$ 2,614,408
Agency RMBS, at fair value	105,644	6,490,293
Agency CMBS, at fair value	2,832,716	2,850,717
Loans held for investment, at fair value	13,306,818	14,292,815
Derivatives, at fair value, net	0	3,611
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	7,864,196	8,179,608
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Fair Value, Measurements, Recurring
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)	2,174,400	2,614,408
Agency RMBS, at fair value	105,644	6,490,293
Agency CMBS, at fair value	2,832,716
Loans held for investment, at fair value	13,306,818	14,292,815
Counterparty and Cash Collateral, netting	0	(1,092)
Derivatives, at fair value, net	0	3,611
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	7,864,196	8,179,608
Counterparty and Cash Collateral, netting	0	(205,703)
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 (net of allowance for credit losses of $6 million and $0 million, respectively)	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	0	3,611
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	0	0
Fair Value, Measurements, Recurring | Level 2
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)	135,118	0
Agency RMBS, at fair value	105,644	6,490,293
Agency CMBS, at fair value	2,832,716	2,850,717
Loans held for investment, at fair value	0	0
Derivatives	0	1,092
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	0	0
Derivatives	0	205,703
Fair Value, Measurements, Recurring | Level 3
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)	2,039,282	2,614,408
Agency RMBS, at fair value	0	0
Agency CMBS, at fair value	0	0
Loans held for investment, at fair value	13,306,818	14,292,815
Derivatives	0	0
Liabilities:
Securitized debt at fair value, collateralized by loans held for investment	7,864,196	8,179,608
Derivatives	$ 0	$ 0

Fair Value Measurements - Unobs

Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Non-Agency RMBS
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	$ 2,614,408	$ 2,486,130	$ 2,486,130
Transfers in to Level 3	0	0
Transfers out of Level 3	(135,118)	0
Purchases of assets/ issuance of debt	19,512	497,848
Principal payments	(67,518)	(415,518)
Sales and settlements	(33,797)	(38,605)
Net accretion (amortization)	10,499	95,562
Gains (losses) included in net income
Provision for credit losses	(6,314)	(4,853)
Realized gains (losses) on sales and settlements	1,256	(1,088)
Net unrealized gains (losses) included in income	(129,627)	28,577
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period	(234,019)	(33,645)
Ending balance Level 3	2,039,282		2,614,408
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized Debt
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward]
Securitized Debt, Beginning balance, Level 3	8,179,608	8,455,376	8,455,376
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	731,008	1,487,286
Securitized Debt, Principal payments	(386,362)	(1,530,818)
Securitized Debt, Sales and Settlements	0	(314,454)
Securitized Debt, Net accretion (amortization)	(17,893)	(26,758)
Securitized Debt, Other than temporary credit impairment losses	0	0
Securitized Debt, Realized gains (losses) on sales and settlements	0	(9,925)
Securitized Debt, Net unrealized gains (losses) included in income	(642,165)	118,901
Securitized Debt, Gains (losses) included in other comprehensive income	0	0
Securitized Debt, Ending balance, Level 3	7,864,196		8,179,608
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Loans held for investment
Fair Value, Assets Measured on Recurring Basis [Roll Forward]
Beginning balance Level 3	14,292,815	12,572,581	12,572,581
Transfers in to Level 3	0	0
Transfers out of Level 3	0	0
Purchases of assets/ issuance of debt	183,566	5,086,491
Principal payments	(461,594)	(1,717,745)
Sales and settlements	(171)	(1,812,760)	(1,812,760)
Net accretion (amortization)	(26,284)	(77,491)
Gains (losses) included in net income
Provision for credit losses	0	0
Realized gains (losses) on sales and settlements	0	1,590	1,590
Net unrealized gains (losses) included in income	(681,514)	240,149	240,149
Gains (losses) included in other comprehensive income
Total unrealized gains (losses) for the period	0	$ 0
Ending balance Level 3	$ 13,306,818		$ 14,292,815

Fair Value Measurements - Uno_2

Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3	Mar. 31, 2020	Dec. 31, 2019
Discount Rate | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.04	0.03
Discount Rate | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0
Discount Rate | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0
Discount Rate | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.09	0.08
Discount Rate | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.13	0.13
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	0.057	0.038
Discount Rate | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.072	0.053
Discount Rate | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.129	0.114
CPR | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.02	0.06
CPR | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.03	0.06
CPR | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.04	0.06
CPR | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.25	0.20
CPR | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.35	0.35
CPR | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.30	0.43
CPR | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.065	0.094
CPR | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.084	0.096
CPR | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.227	0.185
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	0.10	0.09
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	0.02	0.06
CDR | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.018	0.018
CDR | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.013	0.013
CDR | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.006	0.010
Loss Severity | Minimum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.27	0.26
Loss Severity | Minimum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.10	0.27
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0	0.26
Loss Severity | Maximum | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.80	0.82
Loss Severity | Maximum | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.60	0.55
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.83	0.83
Loss Severity | Weighted Average | Non-Agency RMBS - Senior
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.464	0.420
Loss Severity | Weighted Average | Non-Agency RMBS - Subordinated
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.381	0.367
Loss Severity | Weighted Average | Non-Agency RMBS - Senior interest-only
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.370	0.353

Fair Value Measurements - Uno_3

Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Loans held for investment - Level 3	Mar. 31, 2020	Dec. 31, 2019
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	0.35	0.10
Discount Rate | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.052	0.033
CPR | Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.05	0.06
CPR | Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.25	0.20
CPR | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.088	0.091
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	0.03
CDR | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.015	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	0.75
Loss Severity | Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Significant Inputs	0.611	0.599

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	Mar. 31, 2020	Dec. 31, 2019
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Coupon	6.40%	6.60%
FICO	628	624
Loan-to-value (LTV)	87.00%	88.00%
Single family
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	85.00%	85.00%
Manufactured housing
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	3.00%	4.00%
Multi-family/mixed use/other
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	12.00%	11.00%
Owner Occupied
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	89.00%	89.00%
Investor
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Weighted average percent	2.00%	2.00%
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	5.50%	4.30%
FICO	637	636
Loan-to-value (LTV)	89.00%	86.00%

Fair Value Measurements - Carry

Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 128,683	$ 133,557
Carrying Amount | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	7,146,996	13,427,545
Carrying Amount | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	128,683	133,557
Fair Value | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Repurchase agreements	7,162,204	13,450,193
Fair Value | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Securitized debt, collateralized by Non-Agency RMBS	$ 101,553	$ 117,552

Repurchase Agreements - Outstan

Repurchase Agreements - Outstanding, Weighted Average Borrowing Rates, Weighted Average Remaining Maturities, Average Daily Balances and the Fair Value of Collateral Pledged (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	$ 7,146,996	$ 13,427,545
Repurchase Agreements
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	7,146,996	13,427,545
MBS pledged as collateral at fair value on Repurchase agreements:	8,341,399	15,399,244
Average balance of Repurchase agreements secured by:	11,754,793	14,492,386
Repurchase Agreements | Agency MBS - Residential
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	75,866	6,247,275
MBS pledged as collateral at fair value on Repurchase agreements:	89,561	6,602,039
Average balance of Repurchase agreements secured by:	$ 4,406,107	$ 8,062,881
Average borrowing rate of Repurchase agreements secured by:	0.94%	2.10%
Average remaining maturity of Repurchase agreements secured by:	4 days	14 days
Average original maturity of Repurchase agreements secured by:	16 days	38 days
Repurchase Agreements | Agency CMBS
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	$ 2,206,233	$ 2,013,515
MBS pledged as collateral at fair value on Repurchase agreements:	2,347,087	2,102,520
Average balance of Repurchase agreements secured by:	$ 2,112,244	$ 1,993,372
Average borrowing rate of Repurchase agreements secured by:	1.06%	2.10%
Average remaining maturity of Repurchase agreements secured by:	14 days	13 days
Average original maturity of Repurchase agreements secured by:	30 days	34 days
Repurchase Agreements | Non-agency MBS and Loans held for investment
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding secured by:	$ 4,864,897	$ 5,166,755
MBS pledged as collateral at fair value on Repurchase agreements:	5,904,751	6,694,685
Average balance of Repurchase agreements secured by:	$ 5,236,442	$ 4,436,133
Average borrowing rate of Repurchase agreements secured by:	3.59%	3.19%
Average remaining maturity of Repurchase agreements secured by:	230 days	255 days
Average original maturity of Repurchase agreements secured by:	250 days	279 days

Repurchase Agreements - Narrati

Repurchase Agreements - Narrative (Details) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Banking and Thrift [Abstract]
Margin cash collateral pledged to repurchase agreement counterparties	$ 419,160	$ 20,211

Repurchase Agreements - Maturit

Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 7,146,996	$ 13,427,545
Overnight
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	40,836	0
1 to 29 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	3,634,255	9,709,387
30 to 59 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	502,333	800,648
60 to 89 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	633,939	608,520
90 to 119 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	113,370	0
Greater than or equal to 120 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase agreements outstanding	$ 2,222,263	$ 2,308,990

Securitized Debt - Narrative (D

Securitized Debt - Narrative (Detail) - Securitized Loans - USD ($)	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Non-Agency RMBS
Debt Instrument [Line Items]
Acquired securitized debt collateral outstanding principal balance	$ 0	$ 0
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-Agency RMBS
Debt Instrument [Line Items]
Principal balance	$ 147,000,000		$ 152,000,000
Weighted average cost of financing	6.50%		6.50%
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized debt
Debt Instrument [Line Items]
Principal balance	$ 8,500,000,000		$ 8,200,000
Weighted average cost of financing	4.00%		3.30%

Securitized Debt - Maturities (

Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Securitized debt
Debt Instrument [Line Items]
Within One Year	$ 1,647,041	$ 1,582,646
One to Three Years	2,663,326	2,563,699
Three to Five Years	1,815,521	1,791,756
Greater Than Five Years	2,290,166	2,129,460
Total	8,416,054	8,067,561
Securitized Loans | Non-Agency RMBS
Debt Instrument [Line Items]
Within One Year	15,131	18,826
One to Three Years	16,149	18,332
Three to Five Years	5,056	4,453
Greater Than Five Years	461	665
Total	$ 36,797	$ 42,276

Securitized Debt - Callable Deb

Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands	Mar. 31, 2020USD ($)
Debt Instrument, Redemption [Line Items]
2020	$ 3,352,884
2021	2,698,398
2022	1,009,753
2023	415,633
Total	$ 7,476,668

Consolidated Securitization V_3

Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2020	Dec. 31, 2019
Variable Interest Entity [Line Items]
Assets	[1]	$ 19,241,863	$ 27,118,671
Liabilities	[1]	15,998,009	23,165,378
Non-Agency RMBS
Variable Interest Entity [Line Items]
Unconsolidated VIEs, individual investments (Less than $1 million)		1,700,000
Unconsolidated VIEs, aggregate investment			2,000,000
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)		160,000	191,000
Subprime | Residential Mortgage
Variable Interest Entity [Line Items]
Financing receivable, purchases		883,000	1,500,000
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Assets		12,334,195	12,544,744
Liabilities		7,777,605	8,064,235
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure
Variable Interest Entity [Line Items]
Variable interest entity, reporting entity involvement, maximum loss exposure, amount		$ 1,500,000	$ 1,600,000
[1]	The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2020 , and December 31, 2019 , total assets of consolidated VIEs were $12,334,195 and $12,544,744 , respectively, and total liabilities of consolidated VIEs were $7,777,605 and $8,064,235

Consolidated Securitization V_4

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)	$ 2,174,400	$ 2,614,408
Loans held for investment, at fair value	13,306,818	14,292,815
Accrued interest receivable	93,343	116,423
Other Assets	467,451	194,301
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	128,683	133,557
Securitized debt at fair value, collateralized by loans held for investment	7,864,196	8,179,608
Accrued interest payable	45,709	63,600
Other liabilities	14,827	6,163
Variable Interest Entities, Primary Beneficiary
Assets:
Non-Agency RMBS, at fair value (net of allowance for credit losses of $6 million and $0 million, respectively)	521,683	598,080
Loans held for investment, at fair value	11,722,057	11,853,659
Accrued interest receivable	63,154	63,218
Other Assets	27,301	29,787
Liabilities:
Securitized debt, collateralized by Non-Agency RMBS	128,683	133,557
Securitized debt at fair value, collateralized by loans held for investment	7,617,507	7,899,259
Accrued interest payable	28,561	28,775
Other liabilities	$ 2,854	$ 2,644

Consolidated Securitization V_5

Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Variable Interest Entity [Line Items]
Net interest income	$ 158,183	$ 147,439
Provision for credit losses	(6,314)	0
Net other-than-temporary credit impairment losses		(4,853)
Servicing fees	9,989	8,963
Variable Interest Entities, Primary Beneficiary
Variable Interest Entity [Line Items]
Provision for credit losses	(141)	0
Net other-than-temporary credit impairment losses	0	(4,255)
Servicing fees	8,238	8,739
Variable Interest Entities, Primary Beneficiary | Non Agency Residential Mortgage Backed Securities And Securitized Loans
Variable Interest Entity [Line Items]
Interest income, Assets of consolidated VIEs	174,681	207,112
Interest expense, Non-recourse liabilities of VIEs	64,629	91,027
Net interest income	$ 110,052	$ 116,085

Derivative Instruments - Effect

Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	$ 0	$ 4,731,000
Derivatives, at fair value, net	0	3,611
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Interest Rate Swaps
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	0	4,111,300
Derivatives, at fair value, net	0	0
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	0	0
Treasury Futures
Derivatives, Fair Value [Line Items]
Notional Amount Outstanding	0	619,700
Derivatives, at fair value, net	0	3,611
Derivative Liabilities, Net Estimated Fair Value/Carrying Value	$ 0	$ 0

Derivative Instruments - Effe_2

Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	$ 201,000	$ (89,315)
Net gains (losses) on derivatives	(304,052)	(204,638)
Realized gains (losses) on terminations of interest rate swaps	463,966	108,046
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	204,611	(94,075)
Net realized gains (losses) on derivatives	(470,352)	(102,584)
Treasury Futures
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	(3,611)	5,325
Net realized gains (losses) on derivatives	(34,700)	(12,579)
Swaptions
Derivative Instruments, Gain (Loss) [Line Items]
Net unrealized gains (losses) on derivatives	0	(565)
Net realized gains (losses) on derivatives	$ 0	$ (160)

Derivative Instruments - Narrat

Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Derivative Instruments, Gain (Loss) [Line Items]
Realized gains (losses) on terminations of interest rate swaps	$ 463,966	$ 108,046
The weighted average pay rate on the Company's interest rate swaps			2.62%
The weighted average receive rate on the Company's interest rate swaps			1.94%
The weighted average maturity on the Company's interest rate swaps			6 years
Interest Rate Swaps
Derivative Instruments, Gain (Loss) [Line Items]
Derivative, notional amount of derivative terminated	$ 4,100,000	$ 1,500,000

Capital Stock - Preferred Stock

Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Class of Stock [Line Items]
Dividends on preferred stock	$ 18,438	$ 17,392
Series A Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 3,000	$ 3,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50
Series B Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 7,000	$ 7,000
Preferred stock dividends declared (in USD per share)	$ 0.50	$ 0.50
Series C Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 5,000	$ 5,000
Preferred stock dividends declared (in USD per share)	$ 0.48	$ 0.48
Series D Preferred Stock
Class of Stock [Line Items]
Dividends on preferred stock	$ 4,000
Preferred stock dividends declared (in USD per share)	$ 0.50

Capital Stock - Common Stock (D

Capital Stock - Common Stock (Detail) - USD ($) $ / shares in Units, shares in Millions	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Class of Stock [Line Items]
Stock repurchase program, authorized amount	$ 150,000,000
Stock repurchased during period (in shares)	1.4
Stock repurchased during period, average price (in dollars per share)	$ 15.34
Stock repurchased during period	$ 22,066,000	$ 0
Remaining authorized repurchase amount	128,000,000
Common dividends declared	93,479,000	$ 93,613,000
Dividends declared per share of common stock (usd per share)		$ 0.50
Regular Dividend
Class of Stock [Line Items]
Common dividends declared	$ 93,000,000	$ 94,000,000

Capital Stock - Earnings Per Sh

Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
Numerator:
Net income available to common shareholders	$ (389,193)	$ 100,755
Effect of dilutive securities:	0	0
Dilutive net income available to common shareholders	$ (389,193)	$ 100,755
Denominator:
Weighted average basic shares (shares)	187,018,602	187,112,454
Effect of dilutive securities (shares)	0	1,087,257
Weighted average dilutive shares (shares)	187,018,602	188,199,711
Net income per average share attributable to common stockholders - Basic (usd per share)	$ (2.08)	$ 0.54
Net income per average share attributable to common stockholders - Diluted (usd per share)	$ (2.08)	$ 0.54
Securities excluded from computation of EPS (in shares)	1,300,000

Accumulated Other Comprehensi_3

Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2020	Mar. 31, 2019
AOCI [Roll Forward]
Beginning Balance	$ 3,953,293	$ 3,703,829
OCI before reclassifications	(199,204)	26,385
Amounts reclassified from AOCI	(6,641)	19,771
Net current period OCI	(205,845)	46,156
Ending Balance	3,243,854	3,953,177
Unrealized gains (losses) on available-for-sale securities, net
AOCI [Roll Forward]
Beginning Balance	708,336	626,832
OCI before reclassifications	(199,204)	26,385
Amounts reclassified from AOCI	(6,641)	19,771
Net current period OCI	(205,845)	46,156
Ending Balance	502,491	672,988
Total Accumulated OCI Balance
AOCI [Roll Forward]
Beginning Balance	708,336	626,832
Ending Balance	$ 502,491	$ 672,988

Accumulated Other Comprehensi_4

Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items]
Net realized gains (losses) on sales of investments	$ 75,854	$ 8,603
Net other-than-temporary credit impairment losses	0	(4,853)
Income (loss) before income taxes	(370,723)	118,147
Income taxes	(32)	0	$ 0
Net income (loss)	(370,755)	118,147
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	6,641	(14,918)
Net other-than-temporary credit impairment losses	0	(4,853)
Income (loss) before income taxes	6,641	(19,771)
Income taxes	0	0
Net income (loss)	$ 6,641	$ (19,771)

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) shares in Thousands	3 Months Ended
	Mar. 31, 2020USD ($)installmentshares	Mar. 31, 2019USD ($)shares
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Common dividends declared	$ 4,000,000	$ 5,000,000
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	19,500
Maximum catch-up contribution if over the age of 50	6,500
Expense related to qualified plan	$ 148,000	$ 142,000
Maximum | 401(k) Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Employer matching contribution, percent of match	100.00%
Employer matching contribution, percent of employees' gross pay	6.00%
Stock Award Deferral Program
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of installments | installment	5
Restricted Stock | 2007 Equity Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Vesting period	3 years
Shares available for future grants (shares) | shares	4,000
Restricted Stock Units (RSUs)
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Granted shares (shares) | shares	135	399
Grant date fair value	$ 3,000,000	$ 7,000,000
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	202	152
Grant date fair value	$ 4,000,000	$ 3,000,000
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%

Income Taxes (Details)

Income Taxes (Details) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2020	Mar. 31, 2019	Dec. 31, 2019
Income Tax Disclosure [Abstract]
Income tax expenses	$ 32	$ 0	$ 0

Credit Risk and Interest Rate_3

Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands	Mar. 31, 2020	Dec. 31, 2019
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	$ (7,146,996)	$ (13,427,545)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	0
Net Amounts Offset in the Consolidated Statements of Financial Position	(7,146,996)	(13,427,545)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	8,341,399	15,399,244
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	419,160	20,211
Net Amount	1,613,563	1,991,910
Derivative Asset
Net Amounts Offset in the Consolidated Statements of Financial Position	0	3,611
Derivative Liability
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Total Liabilities
Gross Amounts of Recognized Assets (Liabilities)	(7,146,996)	(13,628,545)
Gross Amounts Offset in the Consolidated Statements of Financial Position	0	204,611
Net Amounts Offset in the Consolidated Statements of Financial Position	(7,146,996)	(13,423,934)
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments	8,341,399	15,399,244
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged	419,160	141,194
Net Amount	1,613,563	2,116,504
Interest Rate Swaps
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)		1,092
Gross Amounts Offset in the Consolidated Statements of Financial Position		(1,092)
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		119,469
Net Amount		119,469
Derivative Liability
Derivatives		(205,703)
Gross Amounts Offset in the Consolidated Statements of Financial Position		205,703
Net Amounts Offset in the Consolidated Statements of Financial Position	0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Net Amount		0
Treasury Futures
Derivative Asset
Gross Amounts of Recognized Assets (Liabilities)		3,611
Gross Amounts Offset in the Consolidated Statements of Financial Position		0
Net Amounts Offset in the Consolidated Statements of Financial Position	0	3,611
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		1,514
Net Amount		5,125
Derivative Liability
Derivatives		0
Gross Amounts Offset in the Consolidated Statements of Financial Position		0
Net Amounts Offset in the Consolidated Statements of Financial Position	$ 0	0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments		0
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged		0
Net Amount		$ 0

Commitments and Contingencies -

Commitments and Contingencies - Narrative (Details) - USD ($) $ in Millions	Mar. 31, 2020	Mar. 31, 2020
Loss Contingencies [Line Items]
Investment company, committed capital, funded	$ 101
Hains Point
Loss Contingencies [Line Items]
Capital commitment		$ 150

Subsequent Events (Details)

Subsequent Events (Details) - Subsequent Event $ / shares in Units, $ in Thousands, shares in Millions	Apr. 07, 2020USD ($)$ / shares	Apr. 30, 2020USD ($)$ / sharesshares
Convertible Senior Notes due 2023 | Convertible Debt
Subsequent Event [Line Items]
Principal balance		$ 374,000
Stated interest rate (as a percent)		7.00%
Proceeds from issuance of debt		$ 362,000
Conversion rate ratio		0.1539
Conversion price (in dollars per share) | $ / shares		$ 6.50
Debt conversion, amount converted		$ 51,000
Debt instrument, amount covered by offering		$ 250,000
Common Stock
Subsequent Event [Line Items]
Debt conversion, shares converted into (in shares) | shares		8
Debt instrument, initial strike price (in dollars per share) | $ / shares	$ 6.50
Debt instrument, strike price cap (in dollars per share) | $ / shares	$ 8.45
Premium above sale price of common stock (as a percent)	30.00%
Payments for cost of Capped Call Transactions	$ 33,750