ARMOUR Residential REIT (ARR) 10-Q 2 Nov 16 2016 Q3 Quarterly report Financial data

Document And Entity Information

Document And Entity Information - shares	9 Months Ended
	Sep. 30, 2016	Nov. 01, 2016
Document and Entity Information [Abstract]
Entity Registrant Name	Armour Residential REIT, Inc.
Entity Central Index Key	1,428,205
Entity Current Reporting Status	Yes
Entity Voluntary Filers	No
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Entity Well-known Seasoned Issuer	Yes
Document Type	10-Q
Document Period End Date	Sep. 30, 2016
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus (Q1,Q2,Q3,FY)	Q3
Amendment Flag	false
Entity Common Stock, Shares Outstanding		36,713,354

Condensed Consolidated Balance

Condensed Consolidated Balance Sheets - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Assets
Cash	$ 401,825	$ 289,925
Cash collateral posted to counterparties	281,397	263,799
Agency Securities, available for sale, at fair value (including pledged securities of $6,913,094 at September 30, 2016 and $12,109,868 at December 31, 2015)	7,041,228	12,461,556
Derivatives, at fair value	10,194	999
Principal payments receivable	0	37
Accrued interest receivable	19,271	34,500
Prepaid and other	3,850	4,461
Total Assets	8,855,002	13,055,277
Liabilities:
Repurchase agreements	7,360,670	11,570,481
Cash collateral posted by counterparties	15,496	0
Derivatives, at fair value	243,223	233,301
Accrued interest payable- repurchase agreements	6,025	7,724
Accounts payable and other accrued expenses	9,271	18,605
Total Liabilities	7,634,685	11,830,111
Commitments and contingencies
Preferred stock, $0.001 par value, 50,000 shares authorized;
Common stock, $0.001 par value, 125,000 shares authorized, 36,713 and 36,682 shares issued and outstanding at September 30, 2016 and December 31, 2015	37	37
Additional paid-in capital	2,560,021	2,559,361
Accumulated deficit	(1,505,020)	(1,266,938)
Accumulated other comprehensive income (loss)	165,271	(67,302)
Total Stockholders’ Equity	1,220,317	1,225,166
Total Liabilities and Stockholders’ Equity	8,855,002	13,055,277
Series A Preferred Stock
Preferred stock, $0.001 par value, 50,000 shares authorized;
Preferred stock: 8.250% Series A Cumulative Preferred Stock; 2,181 issued and outstanding ($54,514 aggregate liquidation preference); 7.875% Series B Cumulative Preferred Stock; 5,650 issued and outstanding ($141,250 aggregate liquidation preference)	2	2
Series B Preferred Stock
Preferred stock, $0.001 par value, 50,000 shares authorized;
Preferred stock: 8.250% Series A Cumulative Preferred Stock; 2,181 issued and outstanding ($54,514 aggregate liquidation preference); 7.875% Series B Cumulative Preferred Stock; 5,650 issued and outstanding ($141,250 aggregate liquidation preference)	6	6
Non-Agency Securities
Assets
Non-Agency and Interest-Only Securities at fair value	1,001,319	0
Interest-Only Securities
Assets
Non-Agency and Interest-Only Securities at fair value	$ 95,918	$ 0

Condensed Consolidated Balance3

Condensed Consolidated Balance Sheets (Parentheticals) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Agency securities pledged	$ 6,913,094	$ 12,109,868
Preferred stock, par value (in dollars per share)	$ 0.001	$ 0.001
Preferred stock, shares authorized (in shares)	50,000,000	50,000,000
Common stock, par value (in dollars per share)	$ 0.001	$ 0.001
Common stock, shares authorized (in shares)	125,000,000	125,000,000
Common stock, shares issued (in shares)	36,713,000	36,682,000
Common stock, shares outstanding (in shares)	36,713,000	36,682,000
Series A Preferred Stock
Preferred stock, par value (in dollars per share)	$ 0.001	$ 0.001
Preferred stock, shares authorized (in shares)	9,610,000
Preferred stock, dividend rate	8.25%	8.25%
Preferred stock, shares issued (in shares)	2,181,000	2,181,000
Preferred stock, shares outstanding (in shares)	2,181,000	2,181,000
Preferred stock, aggregate liquidation preference	$ 54,514	$ 54,514
Series B Preferred Stock
Preferred stock, par value (in dollars per share)	$ 0.001	$ 0.001
Preferred stock, shares authorized (in shares)	6,210,000
Preferred stock, dividend rate	7.875%	7.875%
Preferred stock, shares issued (in shares)	5,650,000	5,650,000
Preferred stock, shares outstanding (in shares)	5,650,000	5,650,000
Preferred stock, aggregate liquidation preference	$ 141,250	$ 141,250
Non-Agency Securities
Non-Agency and Interest-only securities pledged	$ 1,001,319	$ 0

Condensed Consolidated Statemen

Condensed Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Interest Income:
Agency Securities, net of amortization of premium and fees		$ 44,544	$ 85,643	$ 178,733	$ 276,896
Total Interest Income		58,365	85,643	202,736	276,896
Interest expense- repurchase agreements		(17,040)	(14,431)	(54,464)	(42,539)
Net Interest Income		41,325	71,212	148,272	234,357
Other Income (Loss):
Realized gain on sale of Agency Securities (reclassified from Other comprehensive income (loss))		2,421	69	18,937	1,562
Bargain purchase price on acquisition of JAVELIN		0	0	6,484	0
Subtotal		40,838	69	76,868	1,562
Realized loss on derivatives	[1]	19,816	(17,400)	(338,804)	(69,280)
Unrealized gain (loss) on derivatives		25,824	(266,074)	2,907	(287,905)
Subtotal		45,640	(283,474)	(335,897)	(357,185)
Total Other Income (Loss)		86,478	(283,405)	(259,029)	(355,623)
Expenses:
Management fees		6,521	6,851	19,549	20,595
Professional fees		1,090	878	4,756	2,329
Insurance		283	174	727	516
Compensation		530	543	1,636	1,731
Other		691	914	2,188	2,566
Total Expenses		9,115	9,360	28,856	27,737
Net Income (Loss)		118,688	(221,553)	(139,613)	(149,003)
Dividends on preferred stock		(3,905)	(3,905)	(11,716)	(11,716)
Net Income (Loss) related to common stockholders		$ 114,783	$ (225,458)	$ (151,329)	$ (160,719)
Net income (loss) related to common stockholders
Basic (in dollars per share)		$ 3.13	$ (5.18)	$ (4.12)	$ (3.68)
Diluted (in dollars per share)		3.12	(5.18)	(4.12)	(3.68)
Dividends declared per common share (in dollars per share)		$ 0.66	$ 0.98	$ 2.36	$ 2.90
Weighted average common shares outstanding:
Basic (in shares)		36,703	43,561	36,693	43,709
Diluted (in shares)		36,746	43,561	36,693	43,709
Non-Agency Securities
Interest Income:
Non-Agency, including discount accretion, and Interest-only Securities		$ 12,969	$ 0	$ 23,148	$ 0
Other Income (Loss):
Gain (loss) on Securities		39,522	0	53,795	0
Interest-Only Securities
Interest Income:
Non-Agency, including discount accretion, and Interest-only Securities		852	0	855	0
Other Income (Loss):
Gain (loss) on Securities		$ (1,105)	$ 0	$ (2,348)	$ 0
[1]	Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the condensed consolidated statements of operations. For additional information, see Note 9 to the condensed consolidated financial statements.

Condensed Consolidated Stateme5

Condensed Consolidated Statements of Comprehensive Income (Loss) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Statement of Comprehensive Income [Abstract]
Net Income (Loss)	$ 118,688	$ (221,553)	$ (139,613)	$ (149,003)
Other comprehensive income (loss):
Reclassification adjustment for realized gain on sale of available for sale Agency Securities	(2,421)	(69)	(18,937)	(1,562)
Net unrealized gain (loss) on available for sale Agency Securities	(7,526)	137,312	251,510	5,241
Other comprehensive income (loss)	(9,947)	137,243	232,573	3,679
Comprehensive Income (Loss)	$ 108,741	$ (84,310)	$ 92,960	$ (145,324)

Condensed Consolidated Stateme6

Condensed Consolidated Statements of Stockholders' Equity - 9 months ended Sep. 30, 2016 - USD ($) shares in Thousands, $ in Thousands	Total	Series A Preferred Stock	Series B Preferred Stock	Preferred StockSeries A Preferred Stock	Preferred StockSeries B Preferred Stock	Additional Paid-in Capital	Additional Paid-in CapitalSeries A Preferred Stock	Additional Paid-in CapitalSeries B Preferred Stock	Additional Paid-in CapitalCommon Stock	Common Stock	Accumulated Deficit	Accumulated DeficitSeries A Preferred Stock	Accumulated DeficitSeries B Preferred Stock	Accumulated Other Comprehensive Income (Loss)
Beginning balance (in shares) at Dec. 31, 2015				2,181	5,650					36,682
Beginning balance at Dec. 31, 2015	$ 1,225,166			$ 2	$ 6	$ 2,559,361	$ 53,172	$ 136,547	$ 2,369,642	$ 37	$ (1,266,938)			$ (67,302)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Preferred stock dividends		$ (3,373)	$ (8,343)									$ (3,373)	$ (8,343)
Common stock dividends	(86,753)										(86,753)
Stock based compensation, net of withholding requirements (in shares)										31
Stock based compensation, net of withholding requirements	660					660			660
Net Loss	(139,613)										(139,613)
Other comprehensive income	232,573													232,573
Ending balance (in shares) at Sep. 30, 2016				2,181	5,650					36,713
Ending balance at Sep. 30, 2016	$ 1,220,317			$ 2	$ 6	$ 2,560,021	$ 53,172	$ 136,547	$ 2,370,302	$ 37	$ (1,505,020)			$ 165,271

Condensed Consolidated Stateme7

Condensed Consolidated Statements of Cash Flows - USD ($)	9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015
Cash Flows From Operating Activities:
Net Income (Loss)	$ (139,613,000)	$ (149,003,000)
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Net amortization of premium on Agency Securities	60,127,000	85,203,000
Accretion of net discount on Non-Agency Securities	(1,336,000)	0
Realized gain on sale of Agency Securities	(18,937,000)	(1,562,000)
Stock based compensation	660,000	717,000
Bargain purchase price on acquisition of JAVELIN	(6,484,000)	0
Changes in operating assets and liabilities:
Decrease in accrued interest receivable	16,597,000	4,348,000
(Increase) decrease in prepaid and other assets	1,440,000	(3,195,000)
(Increase) decrease in derivatives, at fair value	(16,825,000)	260,340,000
Decrease in accrued interest payable- repurchase agreements	(2,612,000)	(3,082,000)
Decrease in accounts payable and other accrued expenses	(16,951,000)	(13,278,000)
Net cash provided by (used in) operating activities	(171,699,000)	180,488,000
Cash Flows From Investing Activities:
Purchases of Agency Securities	(391,277,000)	(3,485,806,000)
Principal repayments of Agency Securities	1,020,179,000	1,486,497,000
Principal repayments of Non-Agency Securities	37,698,000	0
Proceeds from sales of Agency Securities	5,428,174,000	3,395,902,000
Increase (decrease) in cash collateral	22,499,000	(333,103,000)
Net cash used in the acquisition of JAVELIN	(73,174,000)	0
Net cash provided by investing activities	5,181,486,000	1,063,490,000
Cash Flows From Financing Activities:
Issuance of common stock, net of expenses	0	124,000
Proceeds from repurchase agreements	108,505,750,000	64,947,629,000
Principal repayments on repurchase agreements	(113,305,168,000)	(66,233,977,000)
Common stock dividends paid	(86,753,000)	(127,669,000)
Common stock repurchased	0	(36,441,000)
Net cash used in financing activities	(4,897,887,000)	(1,462,050,000)
Net increase (decrease) in cash	111,900,000	(218,072,000)
Cash - beginning of period	289,925,000	494,561,000
Cash - end of period	401,825,000	276,489,000
Supplemental Disclosure:
Cash paid during the period for interest	130,758,000	184,928,000
Non-Cash Investing and Financing Activities:
Net unrealized gain on available for sale Agency Securities	251,510,000	5,241,000
Amounts payable for common stock repurchased	0	(9,530,000)
Series A Preferred Stock
Cash Flows From Financing Activities:
Preferred dividends paid	(3,373,200)	(3,373,000)
Series B Preferred Stock
Cash Flows From Financing Activities:
Preferred dividends paid	(8,343,000)	(8,343,000)
Interest-Only Securities
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Net amortization of premium on Agency Securities	3,682,000	0
Gain (loss) on Securities	2,348,000	0
Cash Flows From Investing Activities:
Purchases of Non-Agency Securities	(101,947,000)	0
Non-Agency Securities
Adjustments to reconcile net loss to net cash provided by (used in) operating activities:
Gain (loss) on Securities	(53,795,000)	0
Cash Flows From Investing Activities:
Purchases of Non-Agency Securities	$ (760,666,000)	$ 0

Basis of Presentation

Basis of Presentation	9 Months Ended
	Sep. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Basis of Presentation	Note 1 -Basis of Presentation The accompanying condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Certain prior year amounts have been reclassified to conform to the current year's presentation. All per share amounts, common shares outstanding and stock-based compensation amounts for all periods presented reflect our one-for-eight reverse stock split (the “Reverse Stock Split”), which was effective July 31, 2015. Operating results for the quarter and nine months ended September 30, 2016 are not necessarily indicative of the results that may be expected for the calendar year ending December 31, 2016 . These unaudited financial statements should be read in conjunction with the audited financial statements and notes thereto included in our annual report on Form 10-K for the year ended December 31, 2015 . The condensed consolidated financial statements include the accounts of ARMOUR Residential REIT, Inc. and its subsidiaries including the results of JAVELIN Mortgage Investment Corp. ("JAVELIN") since its acquisition on April 6, 2016. All intercompany accounts and transactions have been eliminated. The preparation of the condensed consolidated 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. Actual results could differ from those estimates. Significant estimates affecting the accompanying condensed consolidated financial statements include the valuation of MBS (as defined below), including an assessment of whether other-than-temporary impairment (“OTTI”) exists, and derivative instruments.

Organization and Nature of Busi

Organization and Nature of Business Operations	9 Months Ended
	Sep. 30, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Nature of Business Operations	Note 2 -Organization and Nature of Business Operations References to “we,” “us,” “our,” “ARMOUR” or the “Company” are to ARMOUR Residential REIT, Inc. References to “ACM” are to ARMOUR Capital Management LP, a Delaware limited partnership. We are a Maryland corporation incorporated in 2008. ARMOUR and its subsidiaries, including JAVELIN are managed by ACM, an investment advisor registered with the SEC (see Note 10 -Commitments and Contingencies and Note 15 -Related Party Transactions for additional discussion). We invest in residential mortgage backed securities issued or guaranteed by a United States (“U.S.”) Government-sponsored entity (“GSE”), such as the Federal National Mortgage Association (Fannie Mae) or the Federal Home Loan Mortgage Corporation (Freddie Mac), or a government agency such as Government National Mortgage Administration (Ginnie Mae) (collectively, “Agency Securities”). Interest-only Securities are the interest portion of Agency Securities, which is separated and sold individually from the principal portion of the same payment. Other securities backed by residential mortgages in which we invest, for which the payment of principal and interest is not guaranteed by a GSE or government agency may benefit from credit enhancement derived from structural elements such as subordination, over collateralization or insurance (collectively, “Non-Agency Securities”). Agency Securities, Non-Agency Securities and Interest-only Securities are collectively referred to as “MBS”. At September 30, 2016 and December 31, 2015 , investments in Agency Securities accounted for 86.5% and 100.0% of our MBS portfolio, respectively. During the first quarter of 2016, we began to invest in Non-Agency Securities. At September 30, 2016 , investments in Non-Agency Securities accounted for 12.3% of our MBS portfolio. During the second quarter of 2016, we began to invest in Interest-only Securities. At September 30, 2016 , investments in Interest-only Securities accounted for 1.2% of our MBS portfolio. Our charter permits us to invest in Agency Securities, Non-Agency Securities and Interest-only Securities. Our MBS portfolio consists primarily of Agency Securities backed by fixed rate home loans. From time to time, a portion of our assets may be invested in Agency Securities backed by hybrid adjustable rate and adjustable rate home loans as well as unsecured notes and bonds issued by GSEs, U.S. Treasuries and money market instruments, subject to certain income tests we must satisfy for our qualification as a real estate investment trust (“REIT”). We have elected to be taxed as a REIT under the Internal Revenue Code, as amended (“the Code”). Our qualification as a REIT depends on our ability to meet, on a continuing basis, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the concentration of ownership of our capital stock. We believe that we are organized in conformity with the requirements for qualification as a REIT under the Code and our manner of operations enables us to meet the requirements for taxation as a REIT for federal income tax purposes. As a REIT, we will generally not be subject to federal income tax on the REIT taxable income that we currently distribute to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to federal income tax at regular corporate rates. Even if we qualify as a REIT for federal income tax purposes, we may still be subject to some federal, state and local taxes on our income.

Summary of Significant Accounti

Summary of Significant Accounting Policies	9 Months Ended
	Sep. 30, 2016
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Note 3 -Summary of Significant Accounting Policies Cash Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held. Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral. Cash collateral posted to/by counterparties may include collateral for interest rate swap contracts (including swaptions and basis swap contracts), Eurodollar Futures Contracts (“Futures Contracts”) and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities”). MBS, at Fair Value We generally intend to hold most of our MBS for extended periods of time. We may, from time to time, sell any of our MBS as part of the overall management of our MBS portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Purchases and sales of our MBS are recorded on the trade date. Agency Securities, Available For Sale - At September 30, 2016 and December 31, 2015 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the condensed consolidated statements of comprehensive income (loss). Non-Agency Securities, Trading - At September 30, 2016 , all of our Non-Agency Securities were classified as trading securities. Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the condensed consolidated statements of operations. We estimate future cash flows for each Non-Agency Security and then discount those cash flows based on our estimates of current market yield for each individual security. We then compare our calculated price with our pricing services and/or dealer marks. Our estimates for future cash flows and current market yields incorporate such factors as coupons, prepayment speeds, defaults, delinquencies and severities. Interest-only Securities, Trading - At September 30, 2016 , all of our Interest-only Securities were classified as trading securities. Interest-only Securities represent the right to receive a specified proportion of the contractual interest flows of specific Agency MBS. Interest-only Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the condensed consolidated statements of operations. Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date. Accrued Interest Receivable and Payable Accrued interest receivable includes interest accrued between payment dates on MBS. Accrued interest payable includes interest payable on our repurchase agreements and may, at certain times, contain interest payable on U.S. Treasury Securities sold short. Repurchase Agreements We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement (“MRA”), settlement through the same brokerage or clearing account and maturing on the same day. We did not have any reverse repurchase agreements outstanding at September 30, 2016 and December 31, 2015 . Obligations to Return Securities Received as Collateral, at Fair Value At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our condensed consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. We did not have any obligations to return securities received as collateral at September 30, 2016 and December 31, 2015 . Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our condensed consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our condensed consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts, interest rate swaptions and basis swap contracts. We also may utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.” When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative. Revenue Recognition Agency Securities, Available For Sale - Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur. Fair Value of Agency Securities: We invest in Agency Securities representing interests in or obligations backed by pools of fixed rate, hybrid adjustable rate and adjustable rate mortgage loans. GAAP requires us to classify our investments as either trading, available for sale or held to maturity securities. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify all of our Agency Securities as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). Security purchase and sale transactions, including purchase of TBA Agency Securities, are recorded on the trade date to the extent it is probable that we will take or make timely physical delivery of the related securities. Gains or losses realized from the sale of securities are included in income and are determined using the specific identification method. Impairment of Assets: We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities. Non-Agency Securities and Interest-only Securities, Trading - Interest income on Non-Agency Securities and Interest-only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. Comprehensive Income (Loss) Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period, except those resulting from investments by owners and distributions to owners. Reclassification Certain amounts included in other expenses in the first and second quarters of 2016 have been reclassified to Interest Income Agency Securities. All per share amounts, common shares outstanding and stock-based compensation amounts for all periods presented reflect the Reverse Stock Split, which was effective July 31, 2015. No other reclassifications have been made to previously reported amounts.

Recent Accounting Pronouncement

Recent Accounting Pronouncements	9 Months Ended
	Sep. 30, 2016
Accounting Changes and Error Corrections [Abstract]
Recent Accounting Pronouncements	Note 4 -Recent Accounting Pronouncements In September 2015, the Financial Accounting Standards Board issued ASU 2015-16, Business Combinations Simplifying the Accounting for Measurement-Period Adjustments (Topic 805). The amendment simplifies the accounting for measurement-period adjustments. An acquirer is required to recognize adjustments to provisional amounts that are identified during the measurement period in the reporting period in which the adjustment amounts are determined. The amendment also requires acquirers to present separately on the face of the income statement or disclose in the notes, the portion of the amount recorded in current-period earnings by line item that would have been recorded in previous reporting periods if the adjustments to the provisional amounts had been recognized as of the acquisition date. The amendment is effective for fiscal years beginning after December 15, 2015 and has not had a significant impact on the consolidated financial statements for the quarter. In February 2016, the Financial Accounting Standards Board issued ASU 2016-02, Leases (Topic 842). The standard introduces a new lessee model that will require most leases to be recorded on the balance sheet recognizing a right-of-use lease asset and a liability to make lease payments. The standard will be effective for annual periods beginning after December 15, 2018. The Company is assessing the impact of this standard but does not expect it to have a significant impact on the consolidated financial statements. In July 2016 the Financial Accounting Standards Board issued ASU 2016-13, Financial Instruments–Credit Losses (Topic 326) . The standard introduces a new model for recognizing credit losses on financial instruments based on an estimate of current expected credit losses. The standard will apply to (1) loans, accounts receivable, trade receivables, and other financial assets measured at amortized cost, (2) loan commitments and certain other off–balance sheet credit, exposures, (3) debt securities and other financial assets measured at fair value through other comprehensive income, and (4) beneficial interests in securitized financial assets. The standard is effective for fiscal years beginning after December 15, 2019. The Company is assessing the impact of this standard but does not expect it to have significant impact on the consolidated financial statements.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2016
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Note 5 -Fair Value of Financial Instruments Our valuation techniques for financial instruments use observable and unobservable inputs. Observable inputs reflect readily obtainable data from third party sources, while unobservable inputs reflect management’s market assumptions. The Accounting Standards Codification Topic No. 820, “Fair Value Measurement,” classifies these inputs into the following hierarchy: Level 1 Input s - Quoted prices for identical instruments in active markets. Level 2 Inputs - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level 3 Inputs - Prices determined using significant unobservable inputs. Unobservable inputs may be used in situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period). Unobservable inputs reflect management’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. The following describes the valuation methodologies used for our assets and liabilities measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. Any transfers between levels are assumed to occur at the beginning of the reporting period. Cash - Cash includes cash on deposit with financial institutions. The carrying amount of cash is deemed to be its fair value and is classified as Level 1. Cash balances posted by us to counterparties or posted by counterparties to us as collateral are classified as Level 2 because they are integrally related to the Company's repurchase financing and interest rate swap agreements, which are classified as Level 2. Agency Securities, Available for Sale - Fair value for the Agency Securities in our MBS portfolio is based on obtaining a valuation for each Agency Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Agency Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Agency Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At September 30, 2016 and December 31, 2015 , all of our Agency Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Non-Agency Securities Trading - The fair value for the Non-Agency Securities in our MBS portfolio is based on estimates prepared by our Portfolio Management group, which organizationally reports to our Chief Investment Officer. In preparing the estimates, our Portfolio Management group uses commercially available and proprietary models and data as well as market intelligence gained from discussions with, and transactions by, other market participants. We estimate the fair value of our Non-Agency Securities by estimating the future cash flows for each Non-Agency Security and then discounting those cash flows based on our estimates of current market yield for each individual security. Our estimates for future cash flows and current market yields incorporate such factors as collateral type, bond structure and priority of payments, coupons, prepayment speeds, defaults, delinquencies and severities. Quarterly, we compare our estimates of fair value of our Non-Agency Securities with pricing from third party pricing services, dealer marks received and recent purchase and financing transaction history to validate our assumptions of cash flow and market yield and calibrate our models. Fair values calculated in this manner are considered Level 3. At September 30, 2016 , all of our Non-Agency Security fair values are calculated in this manner and therefore were classified as Level 3. Interest-Only Securities Trading - The fair value for the Interest-Only Securities in our MBS portfolio is based on obtaining a valuation for each Interest-Only Security from third party pricing services and/or dealer quotes. The third party pricing services use common market pricing methods that may include pricing models consistent with those models used to price Agency Securities underlying the Interest-Only Securities that may incorporate such factors as coupons, prepayment speeds, spread to the Treasury curves and interest rate swap curves, duration, periodic and life caps and credit enhancement. If the fair value of an Interest-Only Security is not available from the third party pricing services or such data appears unreliable, we obtain pricing indications from up to three dealers who make markets in similar Interest-Only Securities. Management reviews pricing used to ensure that current market conditions are properly reflected. This review includes, but is not limited to, comparisons of similar market transactions or alternative third party pricing services, dealer pricing indications and comparisons to a third party pricing model. Fair values obtained from the third party pricing services for similar instruments are classified as Level 2 securities if the inputs to the pricing models used are consistent with the Level 2 definition. If quoted prices for a security are not reasonably available from the third party pricing service, but dealer pricing indications are, the security will be classified as a Level 2 security. If neither is available, management will determine the fair value based on characteristics of the security that we receive from the issuer and based on available market information and classify it as a Level 3 security. At September 30, 2016 , all of our Interest-Only Security fair values are classified as Level 2 based on the inputs used by our third party pricing services and dealer quotes. Receivables and Payables for Unsettled Sales and Purchases - The carrying amount is generally deemed to be fair value because of the relatively short time to settlement. Such receivables and payables are classified as Level 2 because they are effectively secured by the related securities and could potentially be subject to counterparty credit considerations. Repurchase Agreements - The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at the estimated LIBOR based market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity, of our repurchase agreements. The fair value of the repurchase agreements approximates their carrying amount due to the short-term nature of these financial instruments. Our repurchase agreements are classified as Level 2. Obligations to Return Securities Received as Collateral - The fair value of the obligations to return securities received as collateral are based upon the prices of the related U.S. Treasury Securities obtained from a third party pricing service. Such obligations are classified as Level 1. Derivative Transactions - Our Futures Contracts are traded on the Chicago Mercantile Exchange (“CME”) and are classified as Level 1. The fair values of our interest rate swap contracts, interest rate swaptions and basis swaps are valued using third party pricing services that incorporate common market pricing methods that may include current interest rate curves, forward interest rate curves and market spreads to interest rate curves. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. Management compares pricing used to dealer quotes to ensure that the current market conditions are properly reflected. The fair values of our interest rate swap contracts, interest rate swaptions, basis swap contracts and TBA Agency Securities are classified as Level 2. The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at September 30, 2016 and December 31, 2015 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at September 30, 2016 Assets at Fair Value: Agency Securities, available for sale $ — $ 7,041,228 $ — $ 7,041,228 Non-Agency Securities, trading $ — $ — $ 1,001,319 $ 1,001,319 Interest-Only Securities, trading $ — $ 95,918 $ — $ 95,918 Derivatives $ — $ 10,194 $ — $ 10,194 Liabilities at Fair Value: Derivatives $ — $ 243,223 $ — $ 243,223 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the quarter and nine months ended September 30, 2016 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2015 Assets at Fair Value: Agency Securities, available for sale $ — $ 12,461,556 $ — $ 12,461,556 Derivatives $ — $ 999 $ — $ 999 Liabilities at Fair Value: Derivatives $ — $ 233,301 $ — $ 233,301 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the year ended December 31, 2015 . The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at September 30, 2016 and December 31, 2015 . September 30, 2016 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 401,825 $ 401,825 $ 401,825 $ — $ — Cash collateral posted to counterparties $ 281,397 $ 281,397 $ — $ 281,397 $ — Accrued interest receivable $ 19,271 $ 19,271 $ — $ 19,271 $ — Financial Liabilities: Repurchase agreements $ 7,360,670 $ 7,360,670 $ — $ 7,360,670 $ — Cash collateral posted by counterparties $ 15,496 $ 15,496 $ — $ 15,496 $ — Accrued interest payable- repurchase agreements $ 6,025 $ 6,025 $ — $ 6,025 $ — December 31, 2015 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 289,925 $ 289,925 $ 289,925 $ — $ — Cash collateral posted to counterparties $ 263,799 $ 263,799 $ — $ 263,799 $ — Principal payments receivable $ 37 $ 37 $ — $ 37 $ — Accrued interest receivable $ 34,500 $ 34,500 $ — $ 34,500 $ — Financial Liabilities: Repurchase agreements $ 11,570,481 $ 11,570,481 $ — $ 11,570,481 $ — Accrued interest payable- repurchase agreements $ 7,724 $ 7,724 $ — $ 7,724 $ — The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at September 30, 2016 . We did not have Level 3 assets at December 31, 2015 . For the Quarter For the Nine Months Ended Non-Agency Securities September 30, 2016 September 30, 2016 Balance, beginning of period $ 916,571 $ — Non-Agency Securities acquired in the acquisition of JAVELIN, at fair value — 223,220 Purchases of Non-Agency Securities, at cost 68,186 760,666 Principal repayments of Non-Agency Securities (23,707 ) (37,698 ) Gain on Non-Agency Securities 39,522 53,795 Discount accretion 747 1,336 Balance, end of period $ 1,001,319 $ 1,001,319 Gain on Non-Agency Securities $ 39,522 $ 53,795 The significant unobservable inputs used in the fair value measurement of our Level 3 Non-Agency Securities include assumptions for underlying loan collateral, cumulative default rates and loss severities in the event of default, as well as discount rates. The following table presents the range of our estimates of cumulative default and loss severities, together with the discount rates implicit in our Level 3 Non-Agency Security fair values at September 30, 2016 . We did not have Level 3 assets at December 31, 2015 . September 30, 2016 Unobservable Level 3 Input Minimum Weighted Average Maximum Cumulative default 0.00 % 1.74 % 40.90 % Loss severity (life) 0.00 % 23.00 % 75.73 % Discount rate 2.38 % 4.08 % 7.84 % Delinquency (life) 0.00 % 4.14 % 47.09 % Voluntary prepayments (life) 1.56 % 15.71 % 28.14 % The table above includes the effects of the structural elements of our Non-Agency Securities, such as subordination and over collateralization or insurance. Significant increases or decreases in any of these inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the assumption used for the probability of cumulative default is accompanied by a directionally similar change in the assumption used for the delinquency and loss severity and a directionally opposite change in the assumption used for voluntary prepayment rates for the life of the security. However, given the interrelationship between loss estimates and the discount rate, overall Non-Agency Security market conditions would likely have a more significant impact on our Level 3 fair values than changes in any one unobservable input.

Agency Securities, Available fo

Agency Securities, Available for Sale	9 Months Ended
	Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Agency Securities, Available for Sale	Note 6 -Agency Securities, Available for Sale All of our Agency Securities are classified as available for sale and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income (loss). At September 30, 2016 and December 31, 2015 , investments in Agency Securities accounted for 86.5% and 100.0% of our MBS portfolio. We evaluated our Agency Securities with unrealized losses at September 30, 2016 , September 30, 2015 and December 31, 2015 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. As a result of this evaluation, no other than temporary impairment was recognized for the quarters and nine months ended September 30, 2016 and September 30, 2015 and for the year ended December 31, 2015 , respectively, because we determined that we 1) did not have the intent to sell the Agency Securities in an unrealized loss position, 2) did not believe it more likely than not that we were required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations), and/or (3) determined that a credit loss did not exist. At September 30, 2016 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at September 30, 2016 are also presented below. Our Agency Securities had a weighted average coupon of 3.53% at September 30, 2016 . September 30, 2016 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 39,700 $ (93 ) $ 351 $ 39,958 0.57 % Multi-Family MBS 1,473,296 — 83,738 1,557,034 22.11 10 Year Fixed 96,512 (376 ) 866 97,002 1.38 15 Year Fixed 2,728,932 (10 ) 45,721 2,774,643 39.41 20 Year Fixed 590,738 (6 ) 5,520 596,252 8.47 25 Year Fixed 11,956 — 113 12,069 0.17 30 Year Fixed 1,120,524 — 20,065 1,140,589 16.20 Total Fannie Mae $ 6,061,658 $ (485 ) $ 156,374 $ 6,217,547 88.31 % Freddie Mac 10 Year Fixed 50,846 (79 ) 864 51,631 0.73 15 Year Fixed 372,397 — 7,714 380,111 5.40 20 Year Fixed 218,072 (3 ) 1,322 219,391 3.12 25 Year Fixed 123,857 — 360 124,217 1.76 Total Freddie Mac $ 765,172 $ (82 ) $ 10,260 $ 775,350 11.01 % Ginnie Mae ARMs & Hybrids 48,832 (823 ) 3 48,012 0.68 15 Year Fixed 295 — 24 319 0.00 Total Ginnie Mae $ 49,127 $ (823 ) $ 27 $ 48,331 0.68 % Total Agency Securities $ 6,875,957 $ (1,390 ) $ 166,661 $ 7,041,228 100.00 % At December 31, 2015 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2015 are also presented below. Our Agency Securities had a weighted average coupon of 3.47% at December 31, 2015 . December 31, 2015 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs&Hybrids $ 46,512 $ (210 ) $ 486 $ 46,788 0.38 % Multi-Family MBS 2,182,156 (30,879 ) 7,312 2,158,589 17.32 10 Year Fixed 91,752 (362 ) 605 91,995 0.74 15 Year Fixed 4,302,585 (10,462 ) 5,498 4,297,621 34.49 20 Year Fixed 2,692,310 (25,429 ) 5,289 2,672,170 21.44 25 Year Fixed 18,488 (128 ) — 18,360 0.15 30 Year Fixed 1,447,835 (6,645 ) 492 1,441,682 11.56 Total Fannie Mae $ 10,781,638 $ (74,115 ) $ 19,682 $ 10,727,205 86.08 % Freddie Mac ARMs&Hybrids 12,738 (46 ) 197 12,889 0.10 10 Year Fixed 37,657 (92 ) 652 38,217 0.31 15 Year Fixed 192,982 (995 ) 310 192,297 1.54 20 Year Fixed 1,443,652 (16,380 ) 4,006 1,431,278 11.49 Total Freddie Mac $ 1,687,029 $ (17,513 ) $ 5,165 $ 1,674,681 13.44 % Ginnie Mae ARMs&Hybrids 59,877 (610 ) 69 59,336 0.48 15 Year Fixed 314 — 20 334 0.00 Total Ginnie Mae $ 60,191 $ (610 ) $ 89 $ 59,670 0.48 % Total Agency Securities $ 12,528,858 $ (92,238 ) $ 24,936 $ 12,461,556 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at September 30, 2016 and December 31, 2015 . September 30, 2016 December 31, 2015 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 8 $ 9 $ 19 $ 19 Greater than or equal to one year and less than three years 60,891 60,792 30,189 30,375 Greater than or equal to three years and less than five years 4,247,064 4,184,635 6,037,851 6,039,218 Greater than or equal to five years 2,733,265 2,630,521 6,393,497 6,459,246 Total Agency Securities $ 7,041,228 $ 6,875,957 $ 12,461,556 $ 12,528,858 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at September 30, 2016 and December 31, 2015 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2016 $ 60,563 $ (322 ) $ 58,538 $ (1,068 ) $ 119,101 $ (1,390 ) December 31, 2015 $ 7,105,363 $ (58,799 ) $ 1,861,211 $ (33,439 ) $ 8,966,574 $ (92,238 ) During the quarter and nine months ended September 30, 2016 , we sold $460,169 and $5,428,174 of Agency Securities, which resulted in realized gains of $2,421 and $18,937 , respectively. During the quarter and nine months ended September 30, 2015 , we sold $331,196 and $3,148,831 of Agency Securities, which resulted in realized gains of $69 and $1,562 , respectively. Sales of Agency Securities are done to reposition our MBS portfolio and to reach our target level of liquidity. Note 7 -Non-Agency Securities, Trading All of our Non-Agency Securities are classified as trading securities and reported at their estimated fair value. Fair value changes are reported in the condensed consolidated statements of operations in the period in which they occur. At September 30, 2016 , investments in Non-Agency Securities accounted for 12.3% of our MBS portfolio. The components of the carrying value of our Non-Agency Securities at September 30, 2016 are presented in the table below. Non-Agency Securities September 30, 2016 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 753,901 $ 703,932 $ 716,916 5.08 % NPL/RPL 134,850 133,443 134,329 3.80 % Legacy Prime Fixed 20,868 20,029 25,381 6.01 % Legacy ALTA Fixed 62,114 59,619 78,901 5.85 % Legacy Prime Hybrid 12,098 11,567 14,198 2.65 % Legacy ALTA Hybrid 6,118 5,927 7,263 3.02 % New Issue Prime Fixed Non-Agency 11,370 10,802 11,405 3.66 % Total Non-Agency Securities $ 1,001,319 $ 945,319 $ 988,393 4.93 % The following table summarizes the weighted average lives of our Non-Agency Securities at September 30, 2016 September 30, 2016 Weighted Average Life of all Non-Agency Securities Fair Value Amortized Cost Less than one year $ — $ — Greater than or equal to one year and less than three years 216,630 210,023 Greater than or equal to three years and less than five years 460,256 433,484 Greater than or equal to five years 324,433 301,812 Total Non-Agency Securities $ 1,001,319 $ 945,319 We use a third party model to calculate the weighted average lives of our Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Non-Agency Securities at September 30, 2016 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Non-Agency Securities could be longer or shorter than estimated. At September 30, 2016 , we had no Non-Agency Securities in an unrealized losses position less than or greater than twelve months. Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at September 30, 2016 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies.

Non-Agency Securities, Trading

Non-Agency Securities, Trading	9 Months Ended
	Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Non-Agency Securities, Trading	Note 6 -Agency Securities, Available for Sale All of our Agency Securities are classified as available for sale and, as such, are reported at their estimated fair value and changes in fair value reported as part of the statements of comprehensive income (loss). At September 30, 2016 and December 31, 2015 , investments in Agency Securities accounted for 86.5% and 100.0% of our MBS portfolio. We evaluated our Agency Securities with unrealized losses at September 30, 2016 , September 30, 2015 and December 31, 2015 , to determine whether there was an other than temporary impairment. All of our Agency Securities are issued and guaranteed by GSEs or Ginnie Mae. The GSEs have a long term credit rating of AA+. At those dates, we also considered whether we intended to sell Agency Securities and whether it was more likely than not that we could meet our liquidity requirements and contractual obligations without selling Agency Securities. As a result of this evaluation, no other than temporary impairment was recognized for the quarters and nine months ended September 30, 2016 and September 30, 2015 and for the year ended December 31, 2015 , respectively, because we determined that we 1) did not have the intent to sell the Agency Securities in an unrealized loss position, 2) did not believe it more likely than not that we were required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations), and/or (3) determined that a credit loss did not exist. At September 30, 2016 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at September 30, 2016 are also presented below. Our Agency Securities had a weighted average coupon of 3.53% at September 30, 2016 . September 30, 2016 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 39,700 $ (93 ) $ 351 $ 39,958 0.57 % Multi-Family MBS 1,473,296 — 83,738 1,557,034 22.11 10 Year Fixed 96,512 (376 ) 866 97,002 1.38 15 Year Fixed 2,728,932 (10 ) 45,721 2,774,643 39.41 20 Year Fixed 590,738 (6 ) 5,520 596,252 8.47 25 Year Fixed 11,956 — 113 12,069 0.17 30 Year Fixed 1,120,524 — 20,065 1,140,589 16.20 Total Fannie Mae $ 6,061,658 $ (485 ) $ 156,374 $ 6,217,547 88.31 % Freddie Mac 10 Year Fixed 50,846 (79 ) 864 51,631 0.73 15 Year Fixed 372,397 — 7,714 380,111 5.40 20 Year Fixed 218,072 (3 ) 1,322 219,391 3.12 25 Year Fixed 123,857 — 360 124,217 1.76 Total Freddie Mac $ 765,172 $ (82 ) $ 10,260 $ 775,350 11.01 % Ginnie Mae ARMs & Hybrids 48,832 (823 ) 3 48,012 0.68 15 Year Fixed 295 — 24 319 0.00 Total Ginnie Mae $ 49,127 $ (823 ) $ 27 $ 48,331 0.68 % Total Agency Securities $ 6,875,957 $ (1,390 ) $ 166,661 $ 7,041,228 100.00 % At December 31, 2015 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2015 are also presented below. Our Agency Securities had a weighted average coupon of 3.47% at December 31, 2015 . December 31, 2015 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs&Hybrids $ 46,512 $ (210 ) $ 486 $ 46,788 0.38 % Multi-Family MBS 2,182,156 (30,879 ) 7,312 2,158,589 17.32 10 Year Fixed 91,752 (362 ) 605 91,995 0.74 15 Year Fixed 4,302,585 (10,462 ) 5,498 4,297,621 34.49 20 Year Fixed 2,692,310 (25,429 ) 5,289 2,672,170 21.44 25 Year Fixed 18,488 (128 ) — 18,360 0.15 30 Year Fixed 1,447,835 (6,645 ) 492 1,441,682 11.56 Total Fannie Mae $ 10,781,638 $ (74,115 ) $ 19,682 $ 10,727,205 86.08 % Freddie Mac ARMs&Hybrids 12,738 (46 ) 197 12,889 0.10 10 Year Fixed 37,657 (92 ) 652 38,217 0.31 15 Year Fixed 192,982 (995 ) 310 192,297 1.54 20 Year Fixed 1,443,652 (16,380 ) 4,006 1,431,278 11.49 Total Freddie Mac $ 1,687,029 $ (17,513 ) $ 5,165 $ 1,674,681 13.44 % Ginnie Mae ARMs&Hybrids 59,877 (610 ) 69 59,336 0.48 15 Year Fixed 314 — 20 334 0.00 Total Ginnie Mae $ 60,191 $ (610 ) $ 89 $ 59,670 0.48 % Total Agency Securities $ 12,528,858 $ (92,238 ) $ 24,936 $ 12,461,556 100.00 % Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Actual maturities of Agency Securities are generally shorter than stated contractual maturities because actual maturities of Agency Securities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following table summarizes the weighted average lives of our Agency Securities at September 30, 2016 and December 31, 2015 . September 30, 2016 December 31, 2015 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 8 $ 9 $ 19 $ 19 Greater than or equal to one year and less than three years 60,891 60,792 30,189 30,375 Greater than or equal to three years and less than five years 4,247,064 4,184,635 6,037,851 6,039,218 Greater than or equal to five years 2,733,265 2,630,521 6,393,497 6,459,246 Total Agency Securities $ 7,041,228 $ 6,875,957 $ 12,461,556 $ 12,528,858 We use a third party model to calculate the weighted average lives of our Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Agency Securities at September 30, 2016 and December 31, 2015 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Agency Securities could be longer or shorter than estimated. The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2016 $ 60,563 $ (322 ) $ 58,538 $ (1,068 ) $ 119,101 $ (1,390 ) December 31, 2015 $ 7,105,363 $ (58,799 ) $ 1,861,211 $ (33,439 ) $ 8,966,574 $ (92,238 ) During the quarter and nine months ended September 30, 2016 , we sold $460,169 and $5,428,174 of Agency Securities, which resulted in realized gains of $2,421 and $18,937 , respectively. During the quarter and nine months ended September 30, 2015 , we sold $331,196 and $3,148,831 of Agency Securities, which resulted in realized gains of $69 and $1,562 , respectively. Sales of Agency Securities are done to reposition our MBS portfolio and to reach our target level of liquidity. Note 7 -Non-Agency Securities, Trading All of our Non-Agency Securities are classified as trading securities and reported at their estimated fair value. Fair value changes are reported in the condensed consolidated statements of operations in the period in which they occur. At September 30, 2016 , investments in Non-Agency Securities accounted for 12.3% of our MBS portfolio. The components of the carrying value of our Non-Agency Securities at September 30, 2016 are presented in the table below. Non-Agency Securities September 30, 2016 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 753,901 $ 703,932 $ 716,916 5.08 % NPL/RPL 134,850 133,443 134,329 3.80 % Legacy Prime Fixed 20,868 20,029 25,381 6.01 % Legacy ALTA Fixed 62,114 59,619 78,901 5.85 % Legacy Prime Hybrid 12,098 11,567 14,198 2.65 % Legacy ALTA Hybrid 6,118 5,927 7,263 3.02 % New Issue Prime Fixed Non-Agency 11,370 10,802 11,405 3.66 % Total Non-Agency Securities $ 1,001,319 $ 945,319 $ 988,393 4.93 % The following table summarizes the weighted average lives of our Non-Agency Securities at September 30, 2016 September 30, 2016 Weighted Average Life of all Non-Agency Securities Fair Value Amortized Cost Less than one year $ — $ — Greater than or equal to one year and less than three years 216,630 210,023 Greater than or equal to three years and less than five years 460,256 433,484 Greater than or equal to five years 324,433 301,812 Total Non-Agency Securities $ 1,001,319 $ 945,319 We use a third party model to calculate the weighted average lives of our Non-Agency Securities. Weighted average life is calculated based on expectations for estimated prepayments for the underlying mortgage loans of our Non-Agency Securities. These estimated prepayments are based on assumptions such as interest rates, current and future home prices, housing policy and borrower incentives. The weighted average lives of our Non-Agency Securities at September 30, 2016 in the table above are based upon market factors, assumptions, models and estimates from the third party model and also incorporate management’s judgment and experience. The actual weighted average lives of our Non-Agency Securities could be longer or shorter than estimated. At September 30, 2016 , we had no Non-Agency Securities in an unrealized losses position less than or greater than twelve months. Our Non-Agency Securities are subject to risk of loss with regard to principal and interest payments and at September 30, 2016 , have generally either been assigned below investment grade ratings by rating agencies, or have not been rated. We evaluate each investment based on the characteristics of the underlying collateral and securitization structure, rather than relying on the ratings assigned by rating agencies.

Repurchase Agreements

Repurchase Agreements	9 Months Ended
	Sep. 30, 2016
Disclosure of Repurchase Agreements [Abstract]
Repurchase Agreements	Note 8 -Repurchase Agreements At September 30, 2016 , we had MRAs with 42 counterparties and had $7,360,670 in outstanding borrowings with 27 of those counterparties. At December 31, 2015 , we had MRAs with 38 counterparties and had $11,570,481 in outstanding borrowings with 26 of those counterparties. The following table represents the contractual repricing regarding our repurchase agreements to finance our MBS purchases at September 30, 2016 and December 31, 2015 . No amounts below are subject to offsetting. September 30, 2016 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,601,439 0.73 % 19 4.80 % Non-Agency Securities 735,912 2.21 % 33 23.75 % U.S. Treasury Securities 23,319 0.46 % 0 0.00 % Total or Weighted Average $ 7,360,670 0.88 % 21 6.68 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2015 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 11,570,481 0.57 % 38 4.79 % Total or Weighted Average $ 11,570,481 0.57 % 38 4.79 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. Our repurchase agreements require that we maintain adequate pledged collateral. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels. We manage this risk by maintaining an adequate balance of available cash and unpledged securities. An event of default or termination event under the standard MRA would give our counterparty the option to terminate all repurchase transactions existing with us and require any amount due to be payable immediately. In addition, certain of our MRAs contain a restriction that prohibits our leverage from exceeding twelve times our stockholders’ equity as well as termination events in the case of significant reductions in equity capital. We also may receive cash or securities as collateral from our derivative counterparties which we may use as additional collateral for repurchase agreements. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. September 30, 2016 December 31, 2015 Maturing or Repricing Repurchase Agreements Weighted Average Contractual Rate Repurchase Agreements Weighted Average Contractual Rate Within 30 days $ 5,819,944 0.82 % $ 8,089,403 0.55 % 31 days to 60 days 1,360,336 0.96 % 2,487,174 0.57 % 61 days to 90 days 180,390 1.87 % 343,904 0.71 % Greater than 90 days — — % 650,000 0.67 % Total or Weighted Average $ 7,360,670 0.88 % $ 11,570,481 0.57 % At September 30, 2016 , 10 repurchase agreement counterparties individually accounted for between 5% and 10% of our aggregate borrowings. In total, these counterparties accounted for approximately 61.5% of our repurchase agreement borrowings outstanding at September 30, 2016 . At December 31, 2015 , we had 8 repurchase agreement counterparties that individually accounted for between 5% and 10% of our aggregate borrowings. In total, these counterparties accounted for 53.5% of our repurchase agreement borrowings at December 31, 2015 . At September 30, 2016 and December 31, 2015 , we did not have any repurchase counterparties that individually account for 5% or greater of our stockholders' equity.

Derivatives

Derivatives	9 Months Ended
	Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives	Note 9 -Derivatives We enter into derivative transactions to manage our interest rate risk exposure. These transactions include entering into interest rate swap contracts and interest rate swaptions as well as purchasing or selling Futures Contracts. These transactions are designed to lock in funding costs for repurchase agreements associated with our assets in such a way to help assure the realization of net interest margins. Such transactions are based on assumptions about prepayments which, if not realized, will cause transaction results to differ from expectations. Basis swap contracts allow us to exchange one floating interest rate basis for another, for example, 3 month LIBOR and Fed Funds Rates, thereby allowing us to diversify our floating rate basis exposures. We also utilize forward contracts for the purchase or sale of TBA Agency Securities. We have agreements with our derivative counterparties that provide for the posting of collateral based on the fair values of our interest rate swap contracts, swaptions, basis swap contracts and TBA Agency Securities. Through this margin process, either we or our swap counterparty may be required to pledge cash or Agency Securities as collateral. Collateral requirements vary by counterparty and change over time based on the fair value, notional amount and remaining term of the contracts. Certain interest rate swap contracts provide for cross collateralization and cross default with repurchase agreements and other contracts with the same counterparty. Interest rate swaptions generally provide us the option to enter into an interest rate swap agreement at a certain point of time in the future with a predetermined notional amount, stated term and stated rate of interest in the fixed leg and interest rate index on the floating leg. Futures Contracts are traded on the CME which requires the use of daily mark-to-market collateral and the CME provides substantial credit support. The collateral requirements of the CME require us to pledge assets under a bi-lateral margin arrangement, including either cash or Agency Securities and these requirements may vary and change over time based on the market value, notional amount and remaining term of the Futures Contracts. In the event we would be unable to meet a margin call under a Futures Contract, the counterparty to such agreement may have the option to terminate or close-out all of the outstanding Futures Contracts with us. In addition, any close-out amount due to the counterparty upon termination of the counterparty’s transactions would be immediately payable by us pursuant to the applicable agreement. TBA Agency Securities are forward contracts for the purchase (“long position”) or sale (“short position”) of Agency Securities at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency Securities delivered into the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. We may enter into TBA Agency Securities as a means of hedging against short-term changes in interest rates. We may also enter into TBA Agency Securities as a means of acquiring or disposing of Agency Securities and we may from time to time utilize TBA dollar roll transactions to finance Agency Security purchases. We estimate the fair value of TBA Agency Securities based on similar methods used to value our Agency Securities. The following tables present information about our derivatives at September 30, 2016 and December 31, 2015 . September 30, 2016 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 9 0.54 % $ 150,000 $ — $ (46 ) Interest rate swap contracts 13-24 Months 16 0.73 % 100,000 — (446 ) Interest rate swap contracts 37-48 Months 38 1.48 % 2,410,000 — (78,270 ) Interest rate swap contracts 61-72 Months 64 2.04 % 275,000 — (20,999 ) Interest rate swap contracts 73-84 Months 77 2.10 % 1,425,000 — (77,524 ) Interest rate swap contracts 109-120 Months 113 2.24 % 550,000 — (65,938 ) TBA Agency Securities — — — 2,650,000 10,194 — Total or Weighted Average $ 7,560,000 $ 10,194 $ (243,223 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. December 31, 2015 Derivative Type (4) Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount (3) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 13-24 Months 19 0.63 % $ 350,000 $ 265 $ (87 ) Interest rate swap contracts 25-36 Months 27 1.16 % 700,000 192 (1,633 ) Interest rate swap contracts 37-48 Months 47 1.46 % 2,000,000 — (18,120 ) Interest rate swap contracts 49-60 Months 49 1.53 % 350,000 — (3,085 ) Interest rate swap contracts 73-84 Months 75 2.05 % 1,025,000 — (26,047 ) Interest rate swap contracts 85-96 Months 86 2.11 % 1,375,000 — (23,543 ) Interest rate swap contracts 109-120 Months 108 2.66 % 1,000,000 — (92,927 ) Interest rate swap contracts 121-132 Months 123 2.30 % 2,000,000 — (67,858 ) Basis swap contracts (2) 0-60 Months 22 0.22 % 2,000,000 542 (1 ) Total or Weighted Average $ 10,800,000 $ 999 $ (233,301 ) (1) See Note 5, “Fair Value of Financial Instruments” for additional discussion. (2) Weighted average rate is the spread over the pay index. (3) Notional amount includes $3,775,000 of forward starting interest rate swap contracts which become effective within 6 months. (4) We did not have any TBA Agency Securities outstanding at December 31, 2015 . We have netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association. We are also required to post or hold cash collateral based upon the net underlying market value of our open positions with the counterparty. The following tables present information about interest rate swap contracts and basis swap contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at September 30, 2016 . September 30, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ — $ (243,223 ) $ 276,927 $ 33,704 Agency Securities TBA 10,194 — (3,627 ) 6,567 Totals $ 10,194 $ (243,223 ) $ 273,300 $ 40,271 September 30, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (243,223 ) $ 243,223 $ — $ — Totals $ (243,223 ) $ 243,223 $ — $ — The following tables present information about interest rate swap contracts and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at December 31, 2015 . December 31, 2015 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 457 $ (233,301 ) $ 241,604 $ 8,760 Basis swap contracts 542 — — 542 Totals $ 999 $ (233,301 ) $ 241,604 $ 9,302 December 31, 2015 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (233,301 ) $ 233,301 $ — $ — Totals $ (233,301 ) $ 233,301 $ — $ — The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying condensed consolidated statements of operations for the quarters and nine months ended September 30, 2016 and September 30, 2015 . Income (Loss) Recognized For the Quarter For the Nine Months Ended Derivatives Location on condensed consolidated statements of operations September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 Interest rate swap contracts: Realized gain (loss) Realized gain (loss) on derivatives $ (419 ) $ — $ (326,411 ) $ 28,346 Interest income Realized gain (loss) on derivatives 6,836 2,837 18,741 10,262 Interest expense Realized gain (loss) on derivatives (22,670 ) (24,864 ) (70,826 ) (101,825 ) Changes in fair value Unrealized gain (loss) on derivatives 45,154 (294,394 ) (6,626 ) (305,732 ) $ 28,901 $ (316,421 ) $ (385,122 ) $ (368,949 ) Futures Contracts: Realized loss Realized gain (loss) on derivatives — — — (184 ) Changes in fair value Unrealized gain (loss) on derivatives — — — 180 $ — $ — $ — $ (4 ) Basis swap contracts: Realized gain Realized gain (loss) on derivatives — — 1,468 — Interest income Realized gain (loss) on derivatives — — 2,617 — Interest expense Realized gain (loss) on derivatives — — (3,116 ) — Changes in fair value Unrealized gain (loss) on derivatives — 241 (661 ) (817 ) $ — $ 241 $ 308 $ (817 ) TBA Agency Securities: Realized gain Realized gain (loss) on derivatives 36,069 4,627 38,723 (5,879 ) Changes in fair value Unrealized gain (loss) on derivatives (19,330 ) 28,079 10,194 18,464 $ 16,739 $ 32,706 $ 48,917 $ 12,585 Totals $ 45,640 $ (283,474 ) $ (335,897 ) $ (357,185 )

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2016
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Note 10 -Commitments and Contingencies Management Agreements with ACM ARMOUR and its subsidiaries, including JAVELIN are managed by ACM, pursuant to management agreements see also Note 15 , “ Related Party Transactions ”. The management agreements entitle ACM to receive management fees payable monthly in arrears. Currently, the monthly ARMOUR management fee is 1/12th of the sum of (a) 1.5% of gross equity raised up to $1.0 billion plus (b) 0.75% of gross equity raised in excess of $1.0 billion . The cost of repurchased stock and any dividend representing a return of capital for tax purposes will reduce the amount of gross equity raised used to calculate the monthly management fee. In connection with the acquisition of JAVELIN, we included in accounts payable and other accrued expenses in our condensed consolidated statements of operations a liability which was recognized as the fair value of JAVELIN’s management agreement with ACM, see Note 16 -Acquisition of JAVELIN Mortgage Investment Corp. At September 30, 2016 and September 30, 2015 , the effective ARMOUR management fee was 1.05% , and 1.04% based on gross equity raised of $2,469,368 and $2,620,950 , respectively. The ACM monthly management fees are not calculated based on the performance of our assets. Accordingly, the payment of our monthly management fees may not decline in the event of a decline in our earnings and may cause us to incur losses. We are also responsible for any costs and expenses that ACM incurred solely on behalf of ARMOUR or JAVELIN other than the various overhead expenses specified in the terms of the management agreements. ACM is further entitled to receive termination fees from ARMOUR and JAVELIN under certain circumstances. Indemnifications and Litigation We enter into certain contracts that contain a variety of indemnifications, principally with ACM and underwriters, against third party claims for errors and omissions in connection with their services to us. We have not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As a result, the estimated fair value of these agreements, as well as the maximum amount attributable to past events, is not material. Accordingly, we have no liabilities recorded for these agreements at September 30, 2016 and December 31, 2015 . Nine putative class action lawsuits have been filed in connection with the tender offer (the “Tender Offer”) and merger (the “Merger”) for JAVELIN (see Note 16 -Acquisition of JAVELIN Mortgage Investment Corp. for more information about the Tender Offer and Merger). The Tender Offer and Merger are collectively defined herein as the “Transactions.” All nine suits name ARMOUR, the previous members of JAVELIN’s board of directors prior to the Merger (of which eight are current members of ARMOUR’s board of directors) (the “Individual Defendants”) and JMI Acquisition Corporation (“Acquisition” ) as defendants. Certain cases also name ACM and JAVELIN as additional defendants. The lawsuits were brought by purported holders of JAVELIN’s common stock, both individually and on behalf of a putative class of JAVELIN’s stockholders, alleging that the Individual Defendants breached their fiduciary duties owed to the plaintiffs and the putative class of JAVELIN stockholders, including claims that the Individual Defendants failed to properly value JAVELIN; failed to take steps to maximize the value of JAVELIN to its stockholders; ignored or failed to protect against conflicts of interest; failed to disclose material information about the Transactions; took steps to avoid competitive bidding and to give ARMOUR an unfair advantage by failing to adequately solicit other potential acquirors or alternative transactions; and erected unreasonable barriers to other third-party bidders. The suits also allege that ARMOUR, JAVELIN, ACM and Acquisition aided and abetted the alleged breaches of fiduciary duties by the Individual Defendants. The lawsuits seek equitable relief, including, among other relief, to enjoin consummation of the Transactions, or rescind or unwind the Transactions if already consummated, and award costs and disbursements, including reasonable attorneys’ fees and expenses. On April 25, 2016, the court issued an order consolidating the eight Maryland cases into one action, captioned In re JAVELIN Mortgage Investment Corp. Shareholder Litigation (Case No. 24-C-16-001542), and designated counsel for one of the Maryland cases as interim lead co-counsel. On May 26, 2016, interim lead counsel filed the Consolidated Amended Class Action Complaint for Breach of Fiduciary Duty asserting consolidated claims of breach of fiduciary duty, aiding and abetting the breaches of fiduciary duty, and waste. On June 27, 2016, defendants filed a Motion to Dismiss the Consolidated Amended Class Action Complaint for failing to state a claim upon which relief can be granted. The Motion to Dismiss is fully briefed and ripe for ruling from the Court. Each of ARMOUR, JAVELIN, ACM and the Individual Defendants intends to defend the claims made in these lawsuits vigorously; however, there can be no assurance that any of ARMOUR, JAVELIN, ACM or the Individual Defendants will prevail in its defense of any of these lawsuits to which it is a party. An unfavorable resolution of any such litigation surrounding the Transactions may result in monetary damages being awarded to the plaintiffs and the putative class of former stockholders of JAVELIN and the cost of defending the litigation, even if resolved favorably, could be substantial. Due to the preliminary nature all of these suits, ARMOUR is not able at this time to estimate their outcome.

Stock Based Compensation

Stock Based Compensation	9 Months Ended
	Sep. 30, 2016
Disclosure of Compensation Related Costs, Share-based Payments [Abstract]
Stock Based Compensation	Note 11 -Stock Based Compensation We adopted the 2009 Stock Incentive Plan as amended (the “Plan”) to attract, retain and reward directors and other persons who provide services to us in the course of operations. The Plan authorizes the Board to grant awards including common stock, restricted shares of common stock (“RSUs”), stock options, performance shares, performance units, stock appreciation rights and other equity and cash-based awards (collectively, “Awards”), subject to terms as provided in the Plan. On May 8, 2014, our stockholders approved an amendment to the Plan to increase the number of shares issuable thereunder from 2,000 to 15,000 shares and the Plan was amended accordingly. In connection with the Reverse Stock Split, the number of shares of common stock issuable under the Plan was properly adjusted to 1,875 shares to reflect the Reverse Stock Split. Transactions related to awards for the nine months ended September 30, 2016 are summarized below: September 30, 2016 Number of Awards Weighted Average Grant Date Fair Value per Award Unvested RSU Awards Outstanding beginning of period 78 $ 48.85 Vested (35 ) $ 56.20 Unvested RSU Awards Outstanding end of period 43 $ 43.86 At September 30, 2016 , there was approximately $980 of unvested stock based compensation related to the Awards (based on the September 30, 2016 stock price of $22.54 per share), that we expect to recognize as an expense over the remaining average service period of 0.4 years . We also pay our non-executive Board quarterly fees of $33 , which is payable in cash, common stock, or a combination of common stock and cash at the option of the director.

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 30, 2016
Equity [Abstract]
Stockholders' Equity	Note 12 -Stockholders' Equity Preferred Stock At September 30, 2016 and December 31, 2015 , we were authorized to issue up to 50,000 shares of preferred stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board of Directors (“Board”) or a committee thereof. We have designated 9,610 shares as 8.250% Series A Preferred Stock and 6,210 shares as 7.875% Series B Preferred Stock. At September 30, 2016 , a total of 34,180 shares of our authorized preferred stock remain available for designation as future series. Series A Cumulative Preferred Shares (“Series A Preferred Stock”) At September 30, 2016 and December 31, 2015 , we had 2,181 shares of Series A Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $54,514 in the aggregate. Shares designated as Series A Preferred Stock but unissued totaled 7,429 at September 30, 2016 . At September 30, 2016 and December 31, 2015 , there were no accrued or unpaid dividends on the Series A Preferred Stock. The Series A Preferred Stock is entitled to a dividend at a rate of 8.250% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on June 7, 2017 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series A Preferred Stock is senior to our common stock and therefore in the event of liquidation, dissolution or winding up, the Series A Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series A Preferred Stock generally does not have voting rights, except if we fail to pay dividends on the Series A Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series A Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series A Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series A Preferred Stock. Series B Cumulative Preferred Shares (“Series B Preferred Stock”) At September 30, 2016 and December 31, 2015 , we had 5,650 shares of Series B Preferred Stock issued and outstanding with a par value of $0.001 per share and a liquidation preference of $25.00 per share, or $141,250 in the aggregate. Shares designated as Series B Preferred Stock but unissued totaled 560 at September 30, 2016 . At September 30, 2016 and December 31, 2015 , there were no accrued or unpaid dividends on the Series B Preferred Stock. The Series B Preferred Stock is entitled to a dividend at a rate of 7.875% per year based on the $25.00 per share liquidation preference before the common stock is entitled to receive any dividends. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends exclusively at our option commencing on February 12, 2018 (subject to our right under limited circumstances to redeem the Series A Preferred Stock earlier in order to preserve our qualification as a REIT). The Series B Preferred Stock is senior to our common stock and rank on parity with the Series A Preferred Stock. In the event of liquidation, dissolution or winding up, the Series B Preferred Stock will receive a liquidation preference of $25.00 per share plus accumulated and unpaid dividends before distributions are paid to holders of our common stock, with no right or claim to any of our remaining assets thereafter. The Series B Preferred Stock generally does not have voting rights, except if we fail to pay dividends on the Series B Preferred Stock for eighteen months, whether or not consecutive. Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Board, until all unpaid dividends have been paid or declared and set aside for payment. The Series B Preferred Stock has no stated maturity, is not subject to any sinking fund or mandatory redemption and will remain outstanding indefinitely unless repurchased or redeemed by us or converted into our common stock in connection with a change of control by the holders of Series B Preferred Stock. Common Stock Common Stock On June 18, 2015, we announced that our Board of Directors had approved a Reverse Stock Split. The Reverse Stock Split took effect at approximately 5:00 p.m. Eastern Time on July 31, 2015 (the “Effective Time”). At the Effective Time, every eight issued and outstanding shares of common stock was converted into one share of common stock, and as a result, the number of outstanding shares of common stock was reduced from approximately 350,000 to approximately 43,750 . At the Effective Time, the number of authorized shares of common stock was also reduced, on a one-for- eight basis, from 1,000,000 to 125,000 . The par value of each share of common stock remained unchanged. No fractional shares were issued in connection with the Reverse Stock Split. At September 30, 2016 and December 31, 2015 , we were authorized to issue up to 125,000 shares of common stock, par value $0.001 per share, with such designations, voting and other rights and preferences as may be determined from time to time by our Board. We had 36,713 shares of common stock issued and outstanding at September 30, 2016 and 36,682 shares of common stock issued and outstanding at December 31, 2015 . Common Stock Repurchased On March 5, 2014, our Board increased the authorization under our common stock repurchase program (the “Repurchase Program”) to 50,000 shares of our common stock outstanding (on a pre-reverse stock split basis). On July 28, 2015, our Board of Directors increased the number of shares of common stock authorized for repurchase under our Repurchase Program to an aggregate of 9,000 shares on a post-reverse stock split basis, effective August 3, 2015. Under the Repurchase Program, shares may be purchased in the open market, including block trades, through privately negotiated transactions, or pursuant to a trading plan separately adopted in the future. The timing, manner, price and amount of any repurchases will be at our discretion, subject to the requirements of the Securities Exchange Act of 1934, as amended, and related rules. We are not required to repurchase any shares under the Repurchase Program and it may be modified, suspended or terminated at any time for any reason. We do not intend to purchase shares from our Board or other affiliates. Under Maryland law, such repurchased shares are treated as authorized but unissued. At September 30, 2016 , there were 1,874 authorized shares remaining under the Repurchase Program. During the nine months ended September 30, 2016 , we did not repurchase any common shares under the Repurchase Program. Dividends The following tables present our common stock dividend transactions for the nine months ended September 30, 2016 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.33 $ 12,131 February 15, 2016 February 26, 2016 $ 0.33 12,131 March 15, 2016 March 28, 2016 $ 0.33 12,131 April 15, 2016 April 27, 2016 $ 0.27 9,925 May 16, 2016 May 27, 2016 $ 0.22 8,087 June 15, 2016 June 29, 2016 $ 0.22 8,087 July 15, 2016 July 27, 2016 $ 0.22 8,087 August 15, 2016 August 29, 2016 $ 0.22 8,087 September 15, 2016 September 27, 2016 $ 0.22 8,087 Total dividends paid $ 86,753 The following tables present our Series A Preferred Stock dividend transactions for the nine months ended September 30, 2016 . Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.17 $ 374.8 February 15, 2016 February 26, 2016 $ 0.17 374.8 March 15, 2016 March 28, 2016 $ 0.17 374.8 April 15, 2016 April 27, 2016 $ 0.17 374.8 May 15, 2016 May 27, 2016 $ 0.17 374.8 June 15, 2016 June 27, 2016 $ 0.17 374.8 July 15, 2016 July 27, 2016 $ 0.17 374.8 August 15, 2016 August 29, 2016 $ 0.17 374.8 September 15, 2016 September 27, 2016 $ 0.17 374.8 Total dividends paid $ 3,373 The following tables present our Series B Preferred Stock dividend transactions for the nine months ended September 30, 2016 . Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.16 $ 927 February 15, 2016 February 26, 2016 $ 0.16 927 March 15, 2016 March 28, 2016 $ 0.16 927 April 15, 2016 April 27, 2016 $ 0.16 927 May 15, 2016 May 27, 2016 $ 0.16 927 June 15, 2016 June 27, 2016 $ 0.16 927 July 15, 2016 July 27, 2016 $ 0.16 927 August 15, 2016 August 29, 2016 $ 0.16 927 September 15, 2016 September 27, 2016 $ 0.16 927 Total dividends paid $ 8,343

Net Income (Loss) per Common Sh

Net Income (Loss) per Common Share	9 Months Ended
	Sep. 30, 2016
Earnings Per Share [Abstract]
Net Income (Loss) per Common Share	Note 13 -Net Income (Loss) per Common Share The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the quarters and nine months ended September 30, 2016 , and September 30, 2015 . For the Quarter For the Nine Months Ended September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 Net Income (Loss) $ 118,688 $ (221,553 ) $ (139,613 ) $ (149,003 ) Less: Preferred dividends (3,905 ) (3,905 ) (11,716 ) (11,716 ) Net income (loss) related to common stockholders $ 114,783 $ (225,458 ) $ (151,329 ) $ (160,719 ) Weighted average common shares outstanding – basic 36,703 43,561 36,693 43,709 Add: Effect of dilutive non-vested awards, assumed vested 43 — — — Weighted average common shares outstanding – diluted 36,746 43,561 36,693 43,709

Income Taxes

Income Taxes	9 Months Ended
	Sep. 30, 2016
Income Tax Disclosure [Abstract]
Income Taxes	Note 14 -Income Taxes The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the quarters and nine months ended September 30, 2016 and September 30, 2015 . For the Quarter For the Nine Months Ended September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 GAAP net income (loss) $ 118,688 $ (221,553 ) $ (139,613 ) $ (149,003 ) Book to tax differences: Non-Agency Securities (40,249 ) — (54,767 ) — Interest-Only Securities 438 — 1,681 — Changes in interest rate contracts (61,473 ) 261,447 283,314 265,438 Gains on Security Sales (2,421 ) (69 ) (18,937 ) (1,562 ) Amortization of deferred hedging costs (13,226 ) (1,836 ) (34,583 ) (4,929 ) Bargain purchase price on acquisition of JAVELIN — — (6,484 ) — Other 2 3 14 11 Estimated REIT taxable income $ 1,759 $ 37,992 $ 30,625 $ 109,955 Interest rate contracts are treated as hedging transactions for tax purposes. Unrealized gains and losses on open interest rate contracts are not included in the determination of taxable income. Realized gains and losses on interest rate contracts terminated before their maturity are deferred and amortized over the remainder of the original term of the contract. Net capital losses realized in 2013, 2014 and 2015 totaling $(579,322) , $(341,850) and $(5,175) will be available to offset future capital gains realized through 2018, 2019 and 2020, respectively. The aggregate tax basis of our assets and liabilities was greater than our total Stockholders’ Equity at September 30, 2016 by approximately $174,376 , or approximately $4.75 per common share (based on the 36,713 common shares then outstanding). We are required and intend to timely distribute substantially all of our REIT taxable income in order to maintain our REIT status under the Code. Total dividend payments to stockholders were $98,469 and $139,385 for the nine months ended September 30, 2016 and September 30, 2015 , respectively. Our estimated REIT taxable income available to pay dividends was $30,625 and $109,955 for the nine months ended September 30, 2016 and September 30, 2015 , respectively. Our taxable REIT income and dividend requirements to maintain our REIT status are determined on an annual basis. Dividends paid in excess of taxable REIT income for the year (including amounts carried forward from prior years) will generally not be taxable to common stockholders. Our management is responsible for determining whether tax positions taken by us are more likely than not to be sustained on their merits. We have no material unrecognized tax benefits or material uncertain tax positions.

Related Party Transactions

Related Party Transactions	9 Months Ended
	Sep. 30, 2016
Related Party Transactions [Abstract]
Related Party Transactions	Note 15 -Related Party Transactions ARMOUR and its subsidiaries, including JAVELIN are managed by ACM, pursuant to management agreements with ARMOUR and JAVELIN. All of our executive officers are also employees of ACM. ACM manages our day-to-day operations, subject to the direction and oversight of the Board. The ARMOUR management agreement runs through June 18, 2022 and is thereafter automatically renewed for successive five -year terms unless terminated under certain circumstances. The JAVELIN Management Agreement runs through October 5, 2017 and is thereafter automatically renewed for successive one-year terms unless terminated under certain circumstances. Either party must provide 180 days prior written notice of any such termination. Under the terms of the management agreements, ACM is responsible for costs incident to the performance of its duties, such as compensation of its employees and various overhead expenses. ACM is responsible for the following primary roles: • Advising us with respect to, arranging for and managing the acquisition, financing, management and disposition of, elements of our investment portfolio; • Evaluating the duration risk and prepayment risk within the investment portfolio and arranging borrowing and hedging strategies; • Coordinating capital raising activities; • Advising us on the formulation and implementation of operating strategies and policies, arranging for the acquisition of assets, monitoring the performance of those assets and providing administrative and managerial services in connection with our day-to-day operations; and • Providing executive and administrative personnel, office space and other appropriate services required in rendering management services to us. In accordance with management agreements, we incurred $6,521 and $19,549 in management fees for the quarter and nine months ended September 30, 2016 . For the quarter and nine months ended September 30, 2015 , we incurred $6,851 and $20,595 in management fees. In accordance with the JAVELIN management agreement, we paid management fees of $565 and $1,092 , for the quarter and nine months ended September 30, 2016 , reducing the liability recorded upon acquisition. We are required to take actions as may be reasonably required to permit and enable ACM to carry out its duties and obligations. We are also responsible for any costs and expenses that ACM incurred solely on our behalf other than the various overhead expenses specified in the terms of the management agreements. For the quarter and nine months ended September 30, 2016 , we reimbursed ACM $362 and $1,245 , respectively, for other expenses incurred on our behalf. For the quarter and nine months ended September 30, 2015 , we reimbursed ACM $480 and $1,352 , respectively, for other expenses incurred on our behalf. In consideration of our 2012 results, in 2013, we also elected to make a restricted stock award to our executive officers and other ACM employees through ACM. No new awards have been granted since 2013. The award vests through 2017 and resulted in our recognizing stock based compensation expense of $123 and $351 for the quarter and nine months ended September 30, 2016 and $140 and $477 for the quarter and nine months ended September 30, 2015 .

Acquisition of JAVELIN Mortgage

Acquisition of JAVELIN Mortgage Investment Corp.	9 Months Ended
	Sep. 30, 2016
Business Combinations [Abstract]
Acquisition of JAVELIN Mortgage Investment Corp.	Note 16 -Acquisition of JAVELIN Mortgage Investment Corp. On March 1, 2016, we entered into an agreement to purchase all of the outstanding common stock of JAVELIN and commenced a Tender Offer for cash at a price of $7.18 , without interest and less any applicable withholding taxes. On April 1, 2016, the Tender Offer expired as the minimum condition was successfully met as greater than 50% of the total outstanding shares of common shares were validly tendered and not withdrawn. On April 6, 2016, we completed our acquisition of all of the outstanding common stock of JAVELIN upon the merger of Acquisition with and into JAVELIN, for cash consideration of $85,200 . Subsequently, JAVELIN became a wholly-owned subsidiary of ARMOUR and continues to be managed by ACM pursuant to the pre-existing management agreement between JAVELIN and ACM. The acquisition expanded and diversified our investment portfolio. JAVELIN's complementary assets provided us with investment opportunities in Non-Agency MBS. We recognized JAVELIN’s assets and liabilities (including JAVELIN’s liability under JAVELIN’s management agreement with ACM) at their fair values on the date of the Merger. None of the bargain purchase price reflected in the table below was included in income for income tax purposes. The following table summarizes the consideration paid for JAVELIN and the amounts of the assets acquired and liabilities assumed recognized at the acquisition date, as well as the fair value at the acquisition date (amounts in millions): Consideration: Cash $ 85.2 Fair value of consideration transferred $ 85.2 Acquisition related costs (included in professional fees and other expenses) $ 2.5 Recognized amounts of identifiable assets acquired and liabilities assumed: Cash $ 12.0 Cash collateral 24.6 Agency Securities 440.7 Non-Agency Securities 223.2 Accrued interest receivable 1.4 Prepaid and other assets 5.4 Repurchase agreements (589.6 ) Derivatives (17.5 ) Accrued interest payable (0.9 ) Accounts payable and other accrued expenses (7.6 ) Total identifiable net assets $ 91.7 Goodwill/(Bargain purchase price) (6.5 ) Total $ 85.2 Included in accounts payable and other accrued expenses was a liability of $3,375 which was recognized as the fair value of JAVELIN’s management agreement with ACM as of April 6, 2016. From the date of the acquisition, total interest income of $4,882 and $10,013 and net income of $6,931 and $10,150 are included in the condensed consolidated statements of operations from the operations of JAVELIN for the quarter and nine months ended September 30, 2016 , respectively. Total identifiable net assets of $102,846 are included in the condensed consolidated balance sheet for the period ended September 30, 2016 . We recognized a gain of $6,484 which is included in Other Income (Loss) in our condensed consolidated statements of operations for the nine months ended September 30, 2016 as the amount of the identifiable net assets acquired above exceeded the value of the consideration transferred.

Interest Rate Risk

Interest Rate Risk	9 Months Ended
	Sep. 30, 2016
Interest Rate Risk [Abstract]
Interest Rate Risk	Note 17 -Interest Rate Risk Our primary market risk is interest rate risk. Interest rates are highly sensitive to many factors, including governmental monetary and tax policies, domestic and international economic and political considerations and other factors beyond our control. Changes in the general level of interest rates can affect net interest income, which is the difference between the interest income earned and the interest expense incurred in connection with the liabilities, by affecting the spread between the interest-earning assets and interest-bearing liabilities. Changes in the level of interest rates also can affect the value of MBS and our ability to realize gains from the sale of these assets. A decline in the value of the MBS pledged as collateral for borrowings under repurchase agreements could result in the counterparties demanding additional collateral pledges or liquidation of some of the existing collateral to reduce borrowing levels.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2016
Subsequent Events [Abstract]
Subsequent Events	Note 18 -Subsequent Events Dividends On October 27, 2016, a cash dividend of $0.17 per outstanding share of Series A Preferred Stock, or $375 in the aggregate, and $0.16 per outstanding share of Series B Preferred Stock, or $927 in the aggregate, was paid to holders of record on October 15, 2016. We have also declared cash dividends of $0.17 and $0.16 per outstanding share of Series A Preferred Stock and Series B Preferred Stock, respectively, payable November 28, 2016 to holders of record on November 15, 2016 and payable December 27, 2016 to holders of record on December 15, 2016. On October 27, 2016, a cash dividend of $0.22 per outstanding common share, or $8,087 in the aggregate, was paid to holders of record on October 14, 2016. We have also declared cash dividends of $0.22 per outstanding common share payable November 15, 2016 to holders of record on November 29, 2016.

Summary of Significant Accoun26

Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2016
Accounting Policies [Abstract]
Basis of Presentation	The accompanying condensed consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (the “SEC”). Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair presentation have been included. Certain prior year amounts have been reclassified to conform to the current year's presentation.
Cash	Cash Cash includes cash on deposit with financial institutions. We may maintain deposits in federally insured financial institutions in excess of federally insured limits. However, management believes we are not exposed to significant credit risk due to the financial position and creditworthiness of the depository institutions in which those deposits are held.
Cash Collateral Posted To/By Counterparties	Cash Collateral Posted To/By Counterparties Cash collateral posted to/by counterparties represents cash posted by us to counterparties or posted by counterparties to us as collateral. Cash collateral posted to/by counterparties may include collateral for interest rate swap contracts (including swaptions and basis swap contracts), Eurodollar Futures Contracts (“Futures Contracts”) and repurchase agreements on our MBS and our Agency Securities purchased or sold on a to-be-announced basis (“TBA Agency Securities”).
MBS, at Fair Value	MBS, at Fair Value We generally intend to hold most of our MBS for extended periods of time. We may, from time to time, sell any of our MBS as part of the overall management of our MBS portfolio. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. Purchases and sales of our MBS are recorded on the trade date. Fair Value of Agency Securities: We invest in Agency Securities representing interests in or obligations backed by pools of fixed rate, hybrid adjustable rate and adjustable rate mortgage loans. GAAP requires us to classify our investments as either trading, available for sale or held to maturity securities. Management determines the appropriate classifications of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify all of our Agency Securities as available for sale. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the statements of comprehensive income (loss). Security purchase and sale transactions, including purchase of TBA Agency Securities, are recorded on the trade date to the extent it is probable that we will take or make timely physical delivery of the related securities. Gains or losses realized from the sale of securities are included in income and are determined using the specific identification method.
Agency Securities, Available for Sale	Agency Securities, Available For Sale - At September 30, 2016 and December 31, 2015 , all of our Agency Securities were classified as available for sale securities. Agency Securities classified as available for sale are reported at their estimated fair values with unrealized gains and losses excluded from earnings and reported as part of the condensed consolidated statements of comprehensive income (loss).
Non-Agency and Interest-only Securities, Trading	Non-Agency Securities, Trading - At September 30, 2016 , all of our Non-Agency Securities were classified as trading securities. Non-Agency Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the condensed consolidated statements of operations. We estimate future cash flows for each Non-Agency Security and then discount those cash flows based on our estimates of current market yield for each individual security. We then compare our calculated price with our pricing services and/or dealer marks. Our estimates for future cash flows and current market yields incorporate such factors as coupons, prepayment speeds, defaults, delinquencies and severities. Interest-only Securities, Trading - At September 30, 2016 , all of our Interest-only Securities were classified as trading securities. Interest-only Securities represent the right to receive a specified proportion of the contractual interest flows of specific Agency MBS. Interest-only Securities classified as trading are reported at their estimated fair values with unrealized gains and losses included in Other Income (Loss) as a component of the condensed consolidated statements of operations.
Receivables and Payables for Unsettled Sales and Purchases	Receivables and Payables for Unsettled Sales and Purchases We account for purchases and sales of securities on the trade date, including purchases and sales for forward settlement. Receivables and payables for unsettled trades represent the agreed trade price multiplied by the outstanding balance of the securities at the balance sheet date.
Accrued Interest Receivable and Payable	Accrued Interest Receivable and Payable Accrued interest receivable includes interest accrued between payment dates on MBS. Accrued interest payable includes interest payable on our repurchase agreements and may, at certain times, contain interest payable on U.S. Treasury Securities sold short.
Repurchase Agreements	Repurchase Agreements We finance the acquisition of our MBS through the use of repurchase agreements. Our repurchase agreements are secured by our MBS and bear interest rates that have historically moved in close relationship to the Federal Funds Rate and the London Interbank Offered Rate (“LIBOR”). Under these repurchase agreements, we sell MBS to a lender and agree to repurchase the same MBS in the future for a price that is higher than the original sales price. The difference between the sales price that we receive and the repurchase price that we pay represents interest paid to the lender. A repurchase agreement operates as a financing arrangement under which we pledge our MBS as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. At the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then prevailing interest rate. The repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. In addition to the repurchase agreement financing discussed above, at certain times we have entered into reverse repurchase agreements with certain of our repurchase agreement counterparties. Under a typical reverse repurchase agreement, we purchase U.S. Treasury Securities from a borrower in exchange for cash and agree to sell the same securities in the future in exchange for a price that is higher than the original purchase price. The difference between the purchase price originally paid and the sale price represents interest received from the borrower. Reverse repurchase agreement receivables and repurchase agreement liabilities are presented net when they meet certain criteria, including being with the same counterparty, being governed by the same master repurchase agreement (“MRA”), settlement through the same brokerage or clearing account and maturing on the same day.
Obligations to Return Securities Received as Collateral, at Fair Value	Obligations to Return Securities Received as Collateral, at Fair Value At certain times, we also sell to third parties the U.S. Treasury Securities received as collateral for reverse repurchase agreements and recognize the resulting obligation to return said U.S. Treasury Securities as a liability on our condensed consolidated balance sheets. Interest is recorded on the repurchase agreements, reverse repurchase agreements and U.S. Treasury Securities sold short on an accrual basis and presented as interest expense. Both parties to the transaction have the right to make daily margin calls based on changes in the fair value of the collateral received and/or pledged. We did not have any obligations to return securities received as collateral at September 30, 2016 and December 31, 2015 .
Derivatives, at Fair Value	Derivatives, at Fair Value We recognize all derivatives as either assets or liabilities at fair value on our condensed consolidated balance sheets. All changes in the fair values of our derivatives are reflected in our condensed consolidated statements of operations. We designate derivatives as hedges for tax purposes and any unrealized derivative gains or losses would not affect our distributable net taxable income. These transactions include interest rate swap contracts, interest rate swaptions and basis swap contracts. We also may utilize forward contracts for the purchase or sale of TBA Agency Securities. We account for TBA Agency Securities as derivative instruments if it is reasonably possible that we will not take or make physical delivery of the Agency Security upon settlement of the contract. We account for TBA dollar roll transactions as a series of derivative transactions. We may also purchase and sell TBA Agency Securities as a means of investing in and financing Agency Securities (thereby increasing our “at risk” leverage) or as a means of disposing of or reducing our exposure to Agency Securities (thereby reducing our “at risk” leverage). Pursuant to TBA Agency Securities, we agree to purchase or sell, for future delivery, Agency Securities with certain principal and interest terms and certain types of collateral, but the particular Agency Securities to be delivered are not identified until shortly before the TBA settlement date. We may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing or selling a similar TBA Agency Security for a later settlement date. This transaction is commonly referred to as a “dollar roll.” When it is reasonably possible that we will pair off a TBA Agency Security, we account for that contract as a derivative.
Revenue Recognition	Non-Agency Securities and Interest-only Securities, Trading - Interest income on Non-Agency Securities and Interest-only Securities is recognized using the effective yield method over the life of the securities based on the future cash flows expected to be received. Future cash flow projections and related effective yields are determined for each security and updated quarterly. Other than temporary impairments, which establish a new cost basis in the security for purposes of calculating effective yields, are recognized when the fair value of a security is less than its cost basis and there has been an adverse change in the future cash flows expected to be received. Other changes in future cash flows expected to be received are recognized prospectively over the remaining life of the security. Revenue Recognition Agency Securities, Available For Sale - Interest income is earned and recognized on Agency Securities based on their unpaid principal amounts and their contractual terms. Recognition of interest income commences on the settlement date of the purchase transaction and continues through the settlement date of the sale transaction. Premiums and discounts associated with the purchase of Multi-Family MBS, which are generally not subject to prepayment, are amortized or accreted into interest income over the contractual lives of the securities using a level yield method. Premiums and discounts associated with the purchase of other Agency Securities are amortized or accreted into interest income over the actual lives of the securities, reflecting actual prepayments as they occur.
Impairment of Assets	Impairment of Assets: We evaluate Agency Securities for other than temporary impairment at least on a quarterly basis and more frequently when economic or market concerns warrant such evaluation. We consider an impairment to be other than temporary if we (1) have the intent to sell the Agency Securities, (2) believe it is more likely than not that we will be required to sell the securities before recovery (for example, because of liquidity requirements or contractual obligations) or (3) a credit loss exists. Impairment losses recognized establish a new cost basis for the related Agency Securities.
Comprehensive Income (Loss)	Comprehensive Income (Loss) Comprehensive income (loss) refers to changes in equity during a period from transactions and other events and circumstances from non-owner sources. It includes all changes in equity during a period, except those resulting from investments by owners and distributions to owners.
Reclassification	Reclassification Certain amounts included in other expenses in the first and second quarters of 2016 have been reclassified to Interest Income Agency Securities. All per share amounts, common shares outstanding and stock-based compensation amounts for all periods presented reflect the Reverse Stock Split, which was effective July 31, 2015. No other reclassifications have been made to previously reported amounts.
Recent Accounting Pronouncements	In September 2015, the Financial Accounting Standards Board issued ASU 2015-16, Business Combinations Simplifying the Accounting for Measurement-Period Adjustments (Topic 805). The amendment simplifies the accounting for measurement-period adjustments. An acquirer is required to recognize adjustments to provisional amounts that are identified during the measurement period in the reporting period in which the adjustment amounts are determined. The amendment also requires acquirers to present separately on the face of the income statement or disclose in the notes, the portion of the amount recorded in current-period earnings by line item that would have been recorded in previous reporting periods if the adjustments to the provisional amounts had been recognized as of the acquisition date. The amendment is effective for fiscal years beginning after December 15, 2015 and has not had a significant impact on the consolidated financial statements for the quarter. In February 2016, the Financial Accounting Standards Board issued ASU 2016-02, Leases (Topic 842). The standard introduces a new lessee model that will require most leases to be recorded on the balance sheet recognizing a right-of-use lease asset and a liability to make lease payments. The standard will be effective for annual periods beginning after December 15, 2018. The Company is assessing the impact of this standard but does not expect it to have a significant impact on the consolidated financial statements. In July 2016 the Financial Accounting Standards Board issued ASU 2016-13, Financial Instruments–Credit Losses (Topic 326) . The standard introduces a new model for recognizing credit losses on financial instruments based on an estimate of current expected credit losses. The standard will apply to (1) loans, accounts receivable, trade receivables, and other financial assets measured at amortized cost, (2) loan commitments and certain other off–balance sheet credit, exposures, (3) debt securities and other financial assets measured at fair value through other comprehensive income, and (4) beneficial interests in securitized financial assets. The standard is effective for fiscal years beginning after December 15, 2019. The Company is assessing the impact of this standard but does not expect it to have significant impact on the consolidated financial statements.

Fair Value of Financial Instr27

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 2016
Fair Value Disclosures [Abstract]
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis	The following tables provide a summary of our assets and liabilities that are measured at fair value on a recurring basis at September 30, 2016 and December 31, 2015 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at September 30, 2016 Assets at Fair Value: Agency Securities, available for sale $ — $ 7,041,228 $ — $ 7,041,228 Non-Agency Securities, trading $ — $ — $ 1,001,319 $ 1,001,319 Interest-Only Securities, trading $ — $ 95,918 $ — $ 95,918 Derivatives $ — $ 10,194 $ — $ 10,194 Liabilities at Fair Value: Derivatives $ — $ 243,223 $ — $ 243,223 There were no transfers of assets or liabilities between the levels of the fair value hierarchy during the quarter and nine months ended September 30, 2016 . Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance at December 31, 2015 Assets at Fair Value: Agency Securities, available for sale $ — $ 12,461,556 $ — $ 12,461,556 Derivatives $ — $ 999 $ — $ 999 Liabilities at Fair Value: Derivatives $ — $ 233,301 $ — $ 233,301
Carrying Values and Fair Values of Financial Assets and Liabilities	The following tables provide a summary of the carrying values and fair values of our financial assets and liabilities not carried at fair value but for which fair value is required to be disclosed at September 30, 2016 and December 31, 2015 . September 30, 2016 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 401,825 $ 401,825 $ 401,825 $ — $ — Cash collateral posted to counterparties $ 281,397 $ 281,397 $ — $ 281,397 $ — Accrued interest receivable $ 19,271 $ 19,271 $ — $ 19,271 $ — Financial Liabilities: Repurchase agreements $ 7,360,670 $ 7,360,670 $ — $ 7,360,670 $ — Cash collateral posted by counterparties $ 15,496 $ 15,496 $ — $ 15,496 $ — Accrued interest payable- repurchase agreements $ 6,025 $ 6,025 $ — $ 6,025 $ — December 31, 2015 Fair Value Measurements using: Carrying Value Fair Value Quoted Prices in Active Markets for Identical Assets (Level 1) Significant Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Financial Assets: Cash $ 289,925 $ 289,925 $ 289,925 $ — $ — Cash collateral posted to counterparties $ 263,799 $ 263,799 $ — $ 263,799 $ — Principal payments receivable $ 37 $ 37 $ — $ 37 $ — Accrued interest receivable $ 34,500 $ 34,500 $ — $ 34,500 $ — Financial Liabilities: Repurchase agreements $ 11,570,481 $ 11,570,481 $ — $ 11,570,481 $ — Accrued interest payable- repurchase agreements $ 7,724 $ 7,724 $ — $ 7,724 $ —
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation	The following table provides a summary of the changes in Level 3 assets measured at fair value on a recurring basis at September 30, 2016 . We did not have Level 3 assets at December 31, 2015 . For the Quarter For the Nine Months Ended Non-Agency Securities September 30, 2016 September 30, 2016 Balance, beginning of period $ 916,571 $ — Non-Agency Securities acquired in the acquisition of JAVELIN, at fair value — 223,220 Purchases of Non-Agency Securities, at cost 68,186 760,666 Principal repayments of Non-Agency Securities (23,707 ) (37,698 ) Gain on Non-Agency Securities 39,522 53,795 Discount accretion 747 1,336 Balance, end of period $ 1,001,319 $ 1,001,319 Gain on Non-Agency Securities $ 39,522 $ 53,795
Fair Value Inputs, Assets, Quantitative Information	The following table presents the range of our estimates of cumulative default and loss severities, together with the discount rates implicit in our Level 3 Non-Agency Security fair values at September 30, 2016 . We did not have Level 3 assets at December 31, 2015 . September 30, 2016 Unobservable Level 3 Input Minimum Weighted Average Maximum Cumulative default 0.00 % 1.74 % 40.90 % Loss severity (life) 0.00 % 23.00 % 75.73 % Discount rate 2.38 % 4.08 % 7.84 % Delinquency (life) 0.00 % 4.14 % 47.09 % Voluntary prepayments (life) 1.56 % 15.71 % 28.14 %

Agency Securities, Available 28

Agency Securities, Available for Sale (Tables)	9 Months Ended
	Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Available-for-sale Securities	At September 30, 2016 , we had the following Agency Securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at September 30, 2016 are also presented below. Our Agency Securities had a weighted average coupon of 3.53% at September 30, 2016 . September 30, 2016 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs & Hybrids $ 39,700 $ (93 ) $ 351 $ 39,958 0.57 % Multi-Family MBS 1,473,296 — 83,738 1,557,034 22.11 10 Year Fixed 96,512 (376 ) 866 97,002 1.38 15 Year Fixed 2,728,932 (10 ) 45,721 2,774,643 39.41 20 Year Fixed 590,738 (6 ) 5,520 596,252 8.47 25 Year Fixed 11,956 — 113 12,069 0.17 30 Year Fixed 1,120,524 — 20,065 1,140,589 16.20 Total Fannie Mae $ 6,061,658 $ (485 ) $ 156,374 $ 6,217,547 88.31 % Freddie Mac 10 Year Fixed 50,846 (79 ) 864 51,631 0.73 15 Year Fixed 372,397 — 7,714 380,111 5.40 20 Year Fixed 218,072 (3 ) 1,322 219,391 3.12 25 Year Fixed 123,857 — 360 124,217 1.76 Total Freddie Mac $ 765,172 $ (82 ) $ 10,260 $ 775,350 11.01 % Ginnie Mae ARMs & Hybrids 48,832 (823 ) 3 48,012 0.68 15 Year Fixed 295 — 24 319 0.00 Total Ginnie Mae $ 49,127 $ (823 ) $ 27 $ 48,331 0.68 % Total Agency Securities $ 6,875,957 $ (1,390 ) $ 166,661 $ 7,041,228 100.00 % At December 31, 2015 , we had the following securities in an unrealized gain or loss position as presented below. The components of the carrying value of our Agency Securities at December 31, 2015 are also presented below. Our Agency Securities had a weighted average coupon of 3.47% at December 31, 2015 . December 31, 2015 Amortized Cost Gross Unrealized Loss Gross Unrealized Gain Fair Value Percent of Total Fannie Mae ARMs&Hybrids $ 46,512 $ (210 ) $ 486 $ 46,788 0.38 % Multi-Family MBS 2,182,156 (30,879 ) 7,312 2,158,589 17.32 10 Year Fixed 91,752 (362 ) 605 91,995 0.74 15 Year Fixed 4,302,585 (10,462 ) 5,498 4,297,621 34.49 20 Year Fixed 2,692,310 (25,429 ) 5,289 2,672,170 21.44 25 Year Fixed 18,488 (128 ) — 18,360 0.15 30 Year Fixed 1,447,835 (6,645 ) 492 1,441,682 11.56 Total Fannie Mae $ 10,781,638 $ (74,115 ) $ 19,682 $ 10,727,205 86.08 % Freddie Mac ARMs&Hybrids 12,738 (46 ) 197 12,889 0.10 10 Year Fixed 37,657 (92 ) 652 38,217 0.31 15 Year Fixed 192,982 (995 ) 310 192,297 1.54 20 Year Fixed 1,443,652 (16,380 ) 4,006 1,431,278 11.49 Total Freddie Mac $ 1,687,029 $ (17,513 ) $ 5,165 $ 1,674,681 13.44 % Ginnie Mae ARMs&Hybrids 59,877 (610 ) 69 59,336 0.48 15 Year Fixed 314 — 20 334 0.00 Total Ginnie Mae $ 60,191 $ (610 ) $ 89 $ 59,670 0.48 % Total Agency Securities $ 12,528,858 $ (92,238 ) $ 24,936 $ 12,461,556 100.00 %
Investments Classified by Contractual Maturity Date	The following table summarizes the weighted average lives of our Agency Securities at September 30, 2016 and December 31, 2015 . September 30, 2016 December 31, 2015 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 8 $ 9 $ 19 $ 19 Greater than or equal to one year and less than three years 60,891 60,792 30,189 30,375 Greater than or equal to three years and less than five years 4,247,064 4,184,635 6,037,851 6,039,218 Greater than or equal to five years 2,733,265 2,630,521 6,393,497 6,459,246 Total Agency Securities $ 7,041,228 $ 6,875,957 $ 12,461,556 $ 12,528,858
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value	The following table presents the unrealized losses and estimated fair value of our Agency Securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2016 and December 31, 2015 . Unrealized Loss Position For: Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses September 30, 2016 $ 60,563 $ (322 ) $ 58,538 $ (1,068 ) $ 119,101 $ (1,390 ) December 31, 2015 $ 7,105,363 $ (58,799 ) $ 1,861,211 $ (33,439 ) $ 8,966,574 $ (92,238 )

Non-Agency Securities, Trading

Non-Agency Securities, Trading (Tables)	9 Months Ended
	Sep. 30, 2016
Schedule of Trading Securities and Other Trading Assets [Line Items]
Investments Classified by Contractual Maturity Date	The following table summarizes the weighted average lives of our Agency Securities at September 30, 2016 and December 31, 2015 . September 30, 2016 December 31, 2015 Weighted Average Life of all Agency Securities Fair Value Amortized Cost Fair Value Amortized Cost Less than one year $ 8 $ 9 $ 19 $ 19 Greater than or equal to one year and less than three years 60,891 60,792 30,189 30,375 Greater than or equal to three years and less than five years 4,247,064 4,184,635 6,037,851 6,039,218 Greater than or equal to five years 2,733,265 2,630,521 6,393,497 6,459,246 Total Agency Securities $ 7,041,228 $ 6,875,957 $ 12,461,556 $ 12,528,858
Non-Agency Securities
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading Securities	The components of the carrying value of our Non-Agency Securities at September 30, 2016 are presented in the table below. Non-Agency Securities September 30, 2016 Fair Value Amortized Cost Principal Amount Weighted Average Coupon Credit Risk Transfer $ 753,901 $ 703,932 $ 716,916 5.08 % NPL/RPL 134,850 133,443 134,329 3.80 % Legacy Prime Fixed 20,868 20,029 25,381 6.01 % Legacy ALTA Fixed 62,114 59,619 78,901 5.85 % Legacy Prime Hybrid 12,098 11,567 14,198 2.65 % Legacy ALTA Hybrid 6,118 5,927 7,263 3.02 % New Issue Prime Fixed Non-Agency 11,370 10,802 11,405 3.66 % Total Non-Agency Securities $ 1,001,319 $ 945,319 $ 988,393 4.93 %
Investments Classified by Contractual Maturity Date	The following table summarizes the weighted average lives of our Non-Agency Securities at September 30, 2016 September 30, 2016 Weighted Average Life of all Non-Agency Securities Fair Value Amortized Cost Less than one year $ — $ — Greater than or equal to one year and less than three years 216,630 210,023 Greater than or equal to three years and less than five years 460,256 433,484 Greater than or equal to five years 324,433 301,812 Total Non-Agency Securities $ 1,001,319 $ 945,319
Trading Securities, Continuous Unrealized Loss Position, Fair Value	Non-Agency Securities in an unrealized losses position less than or greater than twelve months.

Repurchase Agreements (Tables)

Repurchase Agreements (Tables)	9 Months Ended
	Sep. 30, 2016
Disclosure of Repurchase Agreements [Abstract]
Schedule of Repurchase Agreements	September 30, 2016 December 31, 2015 Maturing or Repricing Repurchase Agreements Weighted Average Contractual Rate Repurchase Agreements Weighted Average Contractual Rate Within 30 days $ 5,819,944 0.82 % $ 8,089,403 0.55 % 31 days to 60 days 1,360,336 0.96 % 2,487,174 0.57 % 61 days to 90 days 180,390 1.87 % 343,904 0.71 % Greater than 90 days — — % 650,000 0.67 % Total or Weighted Average $ 7,360,670 0.88 % $ 11,570,481 0.57 % The following table represents the contractual repricing regarding our repurchase agreements to finance our MBS purchases at September 30, 2016 and December 31, 2015 . No amounts below are subject to offsetting. September 30, 2016 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 6,601,439 0.73 % 19 4.80 % Non-Agency Securities 735,912 2.21 % 33 23.75 % U.S. Treasury Securities 23,319 0.46 % 0 0.00 % Total or Weighted Average $ 7,360,670 0.88 % 21 6.68 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount. December 31, 2015 Repurchase Agreements Weighted Average Contractual Rate Weighted Average Maturity in days Haircut for Repurchase Agreements (1) Agency Securities $ 11,570,481 0.57 % 38 4.79 % Total or Weighted Average $ 11,570,481 0.57 % 38 4.79 % (1) The Haircut represents the weighted average margin requirement, or the percentage amount by which the collateral value must exceed the loan amount.

Derivatives (Tables)

Derivatives (Tables)	9 Months Ended
	Sep. 30, 2016
Derivative [Line Items]
Schedule of Derivative Instruments	The following tables present information about our derivatives at September 30, 2016 and December 31, 2015 . September 30, 2016 Derivative Type Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 0-12 Months 9 0.54 % $ 150,000 $ — $ (46 ) Interest rate swap contracts 13-24 Months 16 0.73 % 100,000 — (446 ) Interest rate swap contracts 37-48 Months 38 1.48 % 2,410,000 — (78,270 ) Interest rate swap contracts 61-72 Months 64 2.04 % 275,000 — (20,999 ) Interest rate swap contracts 73-84 Months 77 2.10 % 1,425,000 — (77,524 ) Interest rate swap contracts 109-120 Months 113 2.24 % 550,000 — (65,938 ) TBA Agency Securities — — — 2,650,000 10,194 — Total or Weighted Average $ 7,560,000 $ 10,194 $ (243,223 ) (1) See Note 5 , “ Fair Value of Financial Instruments ” for additional discussion. December 31, 2015 Derivative Type (4) Remaining / Underlying Term Weighted Average Remaining Swap / Option Term (Months) Weighted Average Rate Notional Amount (3) Asset Fair Value (1) Liability Fair Value (1) Interest rate swap contracts 13-24 Months 19 0.63 % $ 350,000 $ 265 $ (87 ) Interest rate swap contracts 25-36 Months 27 1.16 % 700,000 192 (1,633 ) Interest rate swap contracts 37-48 Months 47 1.46 % 2,000,000 — (18,120 ) Interest rate swap contracts 49-60 Months 49 1.53 % 350,000 — (3,085 ) Interest rate swap contracts 73-84 Months 75 2.05 % 1,025,000 — (26,047 ) Interest rate swap contracts 85-96 Months 86 2.11 % 1,375,000 — (23,543 ) Interest rate swap contracts 109-120 Months 108 2.66 % 1,000,000 — (92,927 ) Interest rate swap contracts 121-132 Months 123 2.30 % 2,000,000 — (67,858 ) Basis swap contracts (2) 0-60 Months 22 0.22 % 2,000,000 542 (1 ) Total or Weighted Average $ 10,800,000 $ 999 $ (233,301 ) (1) See Note 5, “Fair Value of Financial Instruments” for additional discussion. (2) Weighted average rate is the spread over the pay index. (3) Notional amount includes $3,775,000 of forward starting interest rate swap contracts which become effective within 6 months. (4) We did not have any TBA Agency Securities outstanding at December 31, 2015 .
Derivative Instruments, Gain (Loss)	The following table represents the location and information regarding our derivatives which are included in Other Income (Loss) in the accompanying condensed consolidated statements of operations for the quarters and nine months ended September 30, 2016 and September 30, 2015 . Income (Loss) Recognized For the Quarter For the Nine Months Ended Derivatives Location on condensed consolidated statements of operations September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 Interest rate swap contracts: Realized gain (loss) Realized gain (loss) on derivatives $ (419 ) $ — $ (326,411 ) $ 28,346 Interest income Realized gain (loss) on derivatives 6,836 2,837 18,741 10,262 Interest expense Realized gain (loss) on derivatives (22,670 ) (24,864 ) (70,826 ) (101,825 ) Changes in fair value Unrealized gain (loss) on derivatives 45,154 (294,394 ) (6,626 ) (305,732 ) $ 28,901 $ (316,421 ) $ (385,122 ) $ (368,949 ) Futures Contracts: Realized loss Realized gain (loss) on derivatives — — — (184 ) Changes in fair value Unrealized gain (loss) on derivatives — — — 180 $ — $ — $ — $ (4 ) Basis swap contracts: Realized gain Realized gain (loss) on derivatives — — 1,468 — Interest income Realized gain (loss) on derivatives — — 2,617 — Interest expense Realized gain (loss) on derivatives — — (3,116 ) — Changes in fair value Unrealized gain (loss) on derivatives — 241 (661 ) (817 ) $ — $ 241 $ 308 $ (817 ) TBA Agency Securities: Realized gain Realized gain (loss) on derivatives 36,069 4,627 38,723 (5,879 ) Changes in fair value Unrealized gain (loss) on derivatives (19,330 ) 28,079 10,194 18,464 $ 16,739 $ 32,706 $ 48,917 $ 12,585 Totals $ 45,640 $ (283,474 ) $ (335,897 ) $ (357,185 )
Derivative
Derivative [Line Items]
Offsetting Assets	The following tables present information about interest rate swap contracts and Futures Contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at December 31, 2015 . December 31, 2015 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ 457 $ (233,301 ) $ 241,604 $ 8,760 Basis swap contracts 542 — — 542 Totals $ 999 $ (233,301 ) $ 241,604 $ 9,302 The following tables present information about interest rate swap contracts and basis swap contracts and the potential effects of netting if we were to offset the assets and liabilities of these financial instruments on the accompanying condensed consolidated balance sheets. Currently, we present these financial instruments at their gross amounts and they are included in derivatives, at fair value on the accompanying condensed consolidated balance sheet at September 30, 2016 . September 30, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Assets Gross and Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ — $ (243,223 ) $ 276,927 $ 33,704 Agency Securities TBA 10,194 — (3,627 ) 6,567 Totals $ 10,194 $ (243,223 ) $ 273,300 $ 40,271
Offsetting Liabilities	September 30, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (243,223 ) $ 243,223 $ — $ — Totals $ (243,223 ) $ 243,223 $ — $ — December 31, 2015 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet Liabilities Gross and Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet Financial Instruments Cash Collateral Net Amount Interest rate swap contracts $ (233,301 ) $ 233,301 $ — $ — Totals $ (233,301 ) $ 233,301 $ — $ —

Stock Based Compensation (Table

Stock Based Compensation (Tables)	9 Months Ended
	Sep. 30, 2016
Disclosure of Compensation Related Costs, Share-based Payments [Abstract]
Schedule of Nonvested Restricted Stock Units Activity	Transactions related to awards for the nine months ended September 30, 2016 are summarized below: September 30, 2016 Number of Awards Weighted Average Grant Date Fair Value per Award Unvested RSU Awards Outstanding beginning of period 78 $ 48.85 Vested (35 ) $ 56.20 Unvested RSU Awards Outstanding end of period 43 $ 43.86

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2016
Equity [Abstract]
Dividends Transactions	The following tables present our common stock dividend transactions for the nine months ended September 30, 2016 . Record Date Payment Date Rate per common share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.33 $ 12,131 February 15, 2016 February 26, 2016 $ 0.33 12,131 March 15, 2016 March 28, 2016 $ 0.33 12,131 April 15, 2016 April 27, 2016 $ 0.27 9,925 May 16, 2016 May 27, 2016 $ 0.22 8,087 June 15, 2016 June 29, 2016 $ 0.22 8,087 July 15, 2016 July 27, 2016 $ 0.22 8,087 August 15, 2016 August 29, 2016 $ 0.22 8,087 September 15, 2016 September 27, 2016 $ 0.22 8,087 Total dividends paid $ 86,753 The following tables present our Series A Preferred Stock dividend transactions for the nine months ended September 30, 2016 . Record Date Payment Date Rate per Series A Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.17 $ 374.8 February 15, 2016 February 26, 2016 $ 0.17 374.8 March 15, 2016 March 28, 2016 $ 0.17 374.8 April 15, 2016 April 27, 2016 $ 0.17 374.8 May 15, 2016 May 27, 2016 $ 0.17 374.8 June 15, 2016 June 27, 2016 $ 0.17 374.8 July 15, 2016 July 27, 2016 $ 0.17 374.8 August 15, 2016 August 29, 2016 $ 0.17 374.8 September 15, 2016 September 27, 2016 $ 0.17 374.8 Total dividends paid $ 3,373 The following tables present our Series B Preferred Stock dividend transactions for the nine months ended September 30, 2016 . Record Date Payment Date Rate per Series B Preferred Share Aggregate amount paid to holders of record January 15, 2016 January 27, 2016 $ 0.16 $ 927 February 15, 2016 February 26, 2016 $ 0.16 927 March 15, 2016 March 28, 2016 $ 0.16 927 April 15, 2016 April 27, 2016 $ 0.16 927 May 15, 2016 May 27, 2016 $ 0.16 927 June 15, 2016 June 27, 2016 $ 0.16 927 July 15, 2016 July 27, 2016 $ 0.16 927 August 15, 2016 August 29, 2016 $ 0.16 927 September 15, 2016 September 27, 2016 $ 0.16 927 Total dividends paid $ 8,343

Net Income (Loss) per Common 34

Net Income (Loss) per Common Share (Tables)	9 Months Ended
	Sep. 30, 2016
Earnings Per Share [Abstract]
Schedule of Weighted Average Number of Shares	The following table presents a reconciliation of net income (loss) and the shares used in calculating weighted average basic and diluted earnings per common share for the quarters and nine months ended September 30, 2016 , and September 30, 2015 . For the Quarter For the Nine Months Ended September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 Net Income (Loss) $ 118,688 $ (221,553 ) $ (139,613 ) $ (149,003 ) Less: Preferred dividends (3,905 ) (3,905 ) (11,716 ) (11,716 ) Net income (loss) related to common stockholders $ 114,783 $ (225,458 ) $ (151,329 ) $ (160,719 ) Weighted average common shares outstanding – basic 36,703 43,561 36,693 43,709 Add: Effect of dilutive non-vested awards, assumed vested 43 — — — Weighted average common shares outstanding – diluted 36,746 43,561 36,693 43,709

Income Taxes (Tables)

Income Taxes (Tables)	9 Months Ended
	Sep. 30, 2016
Income Tax Disclosure [Abstract]
Schedule of Effective Income Tax Rate Reconciliation	The following table reconciles our GAAP net income (loss) to estimated REIT taxable income for the quarters and nine months ended September 30, 2016 and September 30, 2015 . For the Quarter For the Nine Months Ended September 30, 2016 September 30, 2015 September 30, 2016 September 30, 2015 GAAP net income (loss) $ 118,688 $ (221,553 ) $ (139,613 ) $ (149,003 ) Book to tax differences: Non-Agency Securities (40,249 ) — (54,767 ) — Interest-Only Securities 438 — 1,681 — Changes in interest rate contracts (61,473 ) 261,447 283,314 265,438 Gains on Security Sales (2,421 ) (69 ) (18,937 ) (1,562 ) Amortization of deferred hedging costs (13,226 ) (1,836 ) (34,583 ) (4,929 ) Bargain purchase price on acquisition of JAVELIN — — (6,484 ) — Other 2 3 14 11 Estimated REIT taxable income $ 1,759 $ 37,992 $ 30,625 $ 109,955

Acquisition of JAVELIN Mortga36

Acquisition of JAVELIN Mortgage Investment Corp. (Tables)	9 Months Ended
	Sep. 30, 2016
Business Combinations [Abstract]
Schedule of Recognized Identified Assets Acquired and Liabilities Assumed	The following table summarizes the consideration paid for JAVELIN and the amounts of the assets acquired and liabilities assumed recognized at the acquisition date, as well as the fair value at the acquisition date (amounts in millions): Consideration: Cash $ 85.2 Fair value of consideration transferred $ 85.2 Acquisition related costs (included in professional fees and other expenses) $ 2.5 Recognized amounts of identifiable assets acquired and liabilities assumed: Cash $ 12.0 Cash collateral 24.6 Agency Securities 440.7 Non-Agency Securities 223.2 Accrued interest receivable 1.4 Prepaid and other assets 5.4 Repurchase agreements (589.6 ) Derivatives (17.5 ) Accrued interest payable (0.9 ) Accounts payable and other accrued expenses (7.6 ) Total identifiable net assets $ 91.7 Goodwill/(Bargain purchase price) (6.5 ) Total $ 85.2

Basis of Presentation Basis of

Basis of Presentation Basis of Presentation (Details)	Jul. 31, 2015
Common Stock
Class of Stock [Line Items]
Reverse stock split, conversion ratio, authorized	0.125

Organization and Nature of Bu38

Organization and Nature of Business Operations (Details) - Mortgage Backed Securities - Portfolio Concentration Risk	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Agency Securities
Concentration Risk [Line Items]
Percentage of portfolio invested	86.50%	100.00%
Non-Agency Securities
Concentration Risk [Line Items]
Percentage of portfolio invested	12.30%
Interest-Only Securities
Concentration Risk [Line Items]
Percentage of portfolio invested	1.20%

Fair Value of Financial Instr39

Fair Value of Financial Instruments - Additional Information (Details)	9 Months Ended
	Sep. 30, 2016dealer
Fair Value Disclosures [Abstract]
Number of dealers received quotes from	3

Fair Value of Financial Instr40

Fair Value of Financial Instruments - Summary of Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Assets at Fair Value:
Derivatives, at fair value	$ 10,194	$ 999
Liabilities at Fair Value:
Derivatives	243,223	233,301
Fair Value, Measurements, Recurring
Assets at Fair Value:
Agency Securities, available for sale	7,041,228	12,461,556
Derivatives, at fair value	10,194	999
Liabilities at Fair Value:
Derivatives	243,223	233,301
Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2)
Assets at Fair Value:
Agency Securities, available for sale	7,041,228	12,461,556
Derivatives, at fair value	10,194	999
Liabilities at Fair Value:
Derivatives	243,223	233,301
Non-Agency Securities
Assets at Fair Value:
Non-Agency Securities, trading	1,001,319	0
Non-Agency Securities | Fair Value, Measurements, Recurring
Assets at Fair Value:
Non-Agency Securities, trading	1,001,319
Non-Agency Securities | Fair Value, Measurements, Recurring | Significant Unobservable Inputs (Level 3)
Assets at Fair Value:
Non-Agency Securities, trading	1,001,319
Interest-Only Securities
Assets at Fair Value:
Non-Agency Securities, trading	95,918	$ 0
Interest-Only Securities | Fair Value, Measurements, Recurring
Assets at Fair Value:
Non-Agency Securities, trading	95,918
Interest-Only Securities | Fair Value, Measurements, Recurring | Significant Observable Inputs (Level 2)
Assets at Fair Value:
Non-Agency Securities, trading	$ 95,918

Fair Value of Financial Instr41

Fair Value of Financial Instruments - Carrying Values and Fair Values of Financial Assets and Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Quoted Prices in Active Markets for Identical Assets (Level 1)
Financial Assets:
Cash	$ 401,825	$ 289,925
Significant Observable Inputs (Level 2)
Financial Assets:
Cash collateral posted to counterparties	281,397	263,799
Principal payments receivable		37
Accrued interest receivable	19,271	34,500
Financial Liabilities:
Repurchase agreements	7,360,670	11,570,481
Cash collateral posted by counterparties	15,496
Accrued interest payable- repurchase agreements	6,025	7,724
Carrying Value
Financial Assets:
Cash	401,825	289,925
Cash collateral posted to counterparties	281,397	263,799
Principal payments receivable		37
Accrued interest receivable	19,271	34,500
Financial Liabilities:
Repurchase agreements	7,360,670	11,570,481
Cash collateral posted by counterparties	15,496
Accrued interest payable- repurchase agreements	6,025	7,724
Fair Value
Financial Assets:
Cash	401,825	289,925
Cash collateral posted to counterparties	281,397	263,799
Principal payments receivable		37
Accrued interest receivable	19,271	34,500
Financial Liabilities:
Repurchase agreements	7,360,670	11,570,481
Cash collateral posted by counterparties	15,496
Accrued interest payable- repurchase agreements	$ 6,025	$ 7,724

Fair Value of Financial Instr42

Fair Value of Financial Instruments - Schedule of Level 3 Assets (Details) - Non-Agency Securities - Significant Unobservable Inputs (Level 3) - USD ($) $ in Thousands	3 Months Ended	9 Months Ended
	Sep. 30, 2016	Sep. 30, 2016
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance, beginning of period	$ 916,571	$ 0
Non-Agency Securities acquired in the acquisition of JAVELIN, at fair value	0	223,220
Purchases of Non-Agency Securities, at cost	68,186	760,666
Principal repayments of Non-Agency Securities	(23,707)	(37,698)
Gain on Non-Agency Securities	39,522	53,795
Discount accretion	747	1,336
Balance, end of period	1,001,319	1,001,319
Gain on Non-Agency Securities	$ 39,522	$ 53,795

Fair Value of Financial Instr43

Fair Value of Financial Instruments - Unobservable Level 3 Input (Details)	9 Months Ended
	Sep. 30, 2016
Minimum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Cumulative default	0.00%
Loss severity (life)	0.00%
Discount rate	2.38%
Delinquency (life)	0.00%
Voluntary prepayments (life)	1.56%
Weighted Average
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Cumulative default	1.74%
Loss severity (life)	23.00%
Discount rate	4.08%
Delinquency (life)	4.14%
Voluntary prepayments (life)	15.71%
Maximum
Fair Value Inputs, Assets, Quantitative Information [Line Items]
Cumulative default	40.90%
Loss severity (life)	75.73%
Discount rate	7.84%
Delinquency (life)	47.09%
Voluntary prepayments (life)	28.14%

Agency Securities, Available 44

Agency Securities, Available for Sale - Additional Information (Details) - USD ($)	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Weighted average coupon rate	3.53%		3.53%		3.47%
Gross realized gains (losses) from sale proceeds	$ 460,169,000	$ 331,196,000	$ 5,428,174,000	$ 3,148,831,000
Realized gain (loss) on sale of Agency Securities	$ 2,421,000	$ 69,000	18,937,000	1,562,000
25-Year and 30-Year Fixed Rate Agency Securities
Schedule of Available-for-sale Securities [Line Items]
Portion recognized in earnings, net, available-for-sale securities			$ 0	$ 0	$ 0
Mortgage Backed Securities | Portfolio Concentration Risk | Agency Securities
Schedule of Available-for-sale Securities [Line Items]
Percentage of portfolio invested			86.50%		100.00%
Market Based Securities | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percentage of portfolio invested					100.00%

Agency Securities, Available 45

Agency Securities, Available for Sale - Unrealized Gain or Loss Position and Components of Carrying Value of Available for Sale Agency Securities (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 6,875,957	$ 12,528,858
Gross Unrealized Loss	(1,390)	(92,238)
Gross Unrealized Gain	166,661	24,936
Fair Value	$ 7,041,228	$ 12,461,556
Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	100.00%	100.00%
Fannie Mae
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 6,061,658	$ 10,781,638
Gross Unrealized Loss	(485)	(74,115)
Gross Unrealized Gain	156,374	19,682
Fair Value	$ 6,217,547	$ 10,727,205
Fannie Mae | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	88.31%	86.08%
Fannie Mae | ARMs & Hybrids
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 39,700	$ 46,512
Gross Unrealized Loss	(93)	(210)
Gross Unrealized Gain	351	486
Fair Value	$ 39,958	$ 46,788
Fannie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	0.57%	0.38%
Fannie Mae | Multi-Family MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 1,473,296	$ 2,182,156
Gross Unrealized Loss	0	(30,879)
Gross Unrealized Gain	83,738	7,312
Fair Value	$ 1,557,034	$ 2,158,589
Fannie Mae | Multi-Family MBS | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	22.11%	17.32%
Fannie Mae | 10 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 96,512	$ 91,752
Gross Unrealized Loss	(376)	(362)
Gross Unrealized Gain	866	605
Fair Value	$ 97,002	$ 91,995
Fannie Mae | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	1.38%	0.74%
Fannie Mae | 15 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 2,728,932	$ 4,302,585
Gross Unrealized Loss	(10)	(10,462)
Gross Unrealized Gain	45,721	5,498
Fair Value	$ 2,774,643	$ 4,297,621
Fannie Mae | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	39.41%	34.49%
Fannie Mae | 20 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 590,738	$ 2,692,310
Gross Unrealized Loss	(6)	(25,429)
Gross Unrealized Gain	5,520	5,289
Fair Value	$ 596,252	$ 2,672,170
Fannie Mae | 20 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	8.47%	21.44%
Fannie Mae | 25 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 11,956	$ 18,488
Gross Unrealized Loss	0	(128)
Gross Unrealized Gain	113	0
Fair Value	$ 12,069	$ 18,360
Fannie Mae | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	0.17%	0.15%
Fannie Mae | 30 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 1,120,524	$ 1,447,835
Gross Unrealized Loss	0	(6,645)
Gross Unrealized Gain	20,065	492
Fair Value	$ 1,140,589	$ 1,441,682
Fannie Mae | 30 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	16.20%	11.56%
Freddie Mac
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 765,172	$ 1,687,029
Gross Unrealized Loss	(82)	(17,513)
Gross Unrealized Gain	10,260	5,165
Fair Value	$ 775,350	$ 1,674,681
Freddie Mac | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	11.01%	13.44%
Freddie Mac | ARMs & Hybrids
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost		$ 12,738
Gross Unrealized Loss		(46)
Gross Unrealized Gain		197
Fair Value		$ 12,889
Freddie Mac | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total		0.10%
Freddie Mac | 10 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 50,846	$ 37,657
Gross Unrealized Loss	(79)	(92)
Gross Unrealized Gain	864	652
Fair Value	$ 51,631	$ 38,217
Freddie Mac | 10 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	0.73%	0.31%
Freddie Mac | 15 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 372,397	$ 192,982
Gross Unrealized Loss	0	(995)
Gross Unrealized Gain	7,714	310
Fair Value	$ 380,111	$ 192,297
Freddie Mac | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	5.40%	1.54%
Freddie Mac | 20 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 218,072	$ 1,443,652
Gross Unrealized Loss	(3)	(16,380)
Gross Unrealized Gain	1,322	4,006
Fair Value	$ 219,391	$ 1,431,278
Freddie Mac | 20 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	3.12%	11.49%
Freddie Mac | 25 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 123,857
Gross Unrealized Loss	0
Gross Unrealized Gain	360
Fair Value	$ 124,217
Freddie Mac | 25 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	1.76%
Ginnie Mae
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 49,127	$ 60,191
Gross Unrealized Loss	(823)	(610)
Gross Unrealized Gain	27	89
Fair Value	$ 48,331	$ 59,670
Ginnie Mae | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	0.68%	0.48%
Ginnie Mae | ARMs & Hybrids
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 48,832	$ 59,877
Gross Unrealized Loss	(823)	(610)
Gross Unrealized Gain	3	69
Fair Value	$ 48,012	$ 59,336
Ginnie Mae | ARMs & Hybrids | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	0.68%	0.48%
Ginnie Mae | 15 Year Fixed
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 295	$ 314
Gross Unrealized Loss	0	0
Gross Unrealized Gain	24	20
Fair Value	$ 319	$ 334
Ginnie Mae | 15 Year Fixed | Portfolio Concentration Risk | Available-for-sale Securities
Schedule of Available-for-sale Securities [Line Items]
Percent of Total	0.00%	0.00%

Agency Securities, Available 46

Agency Securities, Available for Sale - Summary of Weighted Average Lives of Agency Securities (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Fair Value
Less than one year	$ 8	$ 19
Greater than or equal to one year and less than three years	60,891	30,189
Greater than or equal to three years and less than five years	4,247,064	6,037,851
Greater than or equal to five years	2,733,265	6,393,497
Total Agency Securities	7,041,228	12,461,556
Amortized Cost
Less than one year	9	19
Greater than or equal to one year and less than three years	60,792	30,375
Greater than or equal to three years and less than five years	4,184,635	6,039,218
Greater than or equal to five years	2,630,521	6,459,246
Amortized Cost	$ 6,875,957	$ 12,528,858

Agency Securities, Available 47

Agency Securities, Available for Sale - Gross Unrealized Losses and Estimated Fair Value of Agency Securities (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Fair Value
Less than 12 Months	$ 60,563	$ 7,105,363
12 Months or More	58,538	1,861,211
Total	119,101	8,966,574
Unrealized Losses
Less than 12 Months	(322)	(58,799)
12 Months or More	(1,068)	(33,439)
Total	$ (1,390)	$ (92,238)

Non-Agency Securities, Tradin48

Non-Agency Securities, Trading - Additional Information (Details)	9 Months Ended
	Sep. 30, 2016
Non-Agency Securities | Mortgage Backed Securities | Portfolio Concentration Risk
Schedule of Trading Securities and Other Trading Assets [Line Items]
Percentage of portfolio invested	12.30%

Non-Agency Securities, Tradin49

Non-Agency Securities, Trading - Carrying Value of Non-Agency Securities (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Non-agency Securities, Credit Risk Transfer
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 753,901
Non-agency securities, amortized cost	703,932
Non-agency securities, principal amount	$ 716,916
Weighted Average Coupon	5.08%
NPL/RPL
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 134,850
Non-agency securities, amortized cost	133,443
Non-agency securities, principal amount	$ 134,329
Weighted Average Coupon	3.80%
Legacy Prime Fixed
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 20,868
Non-agency securities, amortized cost	20,029
Non-agency securities, principal amount	$ 25,381
Weighted Average Coupon	6.01%
Legacy ALTA Fixed
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 62,114
Non-agency securities, amortized cost	59,619
Non-agency securities, principal amount	$ 78,901
Weighted Average Coupon	5.85%
Legacy Prime Hybrid
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 12,098
Non-agency securities, amortized cost	11,567
Non-agency securities, principal amount	$ 14,198
Weighted Average Coupon	2.65%
Legacy ALTA Hybrid
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 6,118
Non-agency securities, amortized cost	5,927
Non-agency securities, principal amount	$ 7,263
Weighted Average Coupon	3.02%
New Issue Prime Fixed Non-Agency
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 11,370
Non-agency securities, amortized cost	10,802
Non-agency securities, principal amount	$ 11,405
Weighted Average Coupon	3.66%
Non-Agency Securities
Schedule of Trading Securities and Other Trading Assets [Line Items]
Non-Agency Securities, trading	$ 1,001,319	$ 0
Non-agency securities, amortized cost	945,319
Non-agency securities, principal amount	$ 988,393
Weighted Average Coupon	4.93%

Non-Agency Securities, Tradin50

Non-Agency Securities, Trading - Weighted Average Life of all Non-Agency Securities (Details) - Non-Agency Securities - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Fair Value
Less than one year	$ 0
Greater than or equal to one year and less than three years	216,630
Greater than or equal to three years and less than five years	460,256
Greater than or equal to five years	324,433
Non-Agency Securities, Fair Value	1,001,319	$ 0
Amortized Cost
Less than one year	0
Greater than or equal to one year and less than three years	210,023
Greater than or equal to three years and less than five years	433,484
Greater than or equal to five years	301,812
Non-agency securities, amortized cost	$ 945,319

Repurchase Agreements - Additio

Repurchase Agreements - Additional Information (Details) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016USD ($)counterparty	Dec. 31, 2015USD ($)counterparty
Concentration Risk [Line Items]
Number of counterparties with MRAs	42	38
Number of counterparties with repurchase agreements outstanding	27	26
Counterparty Concentration Risk | Repurchase Agreement Borrowings
Concentration Risk [Line Items]
Number of counterparties	10	8
Percentage of portfolio invested	61.50%	53.50%
Minimum | Counterparty Concentration Risk | Repurchase Agreement Borrowings | Five Repurchase Agreement Counterparties
Concentration Risk [Line Items]
Percentage of portfolio invested	5.00%
Minimum | Counterparty Concentration Risk | Repurchase Agreement Borrowings | Eight Repurchase Agreement Counterparties
Concentration Risk [Line Items]
Percentage of portfolio invested		5.00%
Maximum
Concentration Risk [Line Items]
Ratio of indebtedness to net capital	12
Maximum | Counterparty Concentration Risk | Repurchase Agreement Borrowings | Five Repurchase Agreement Counterparties
Concentration Risk [Line Items]
Percentage of portfolio invested	10.00%
Maximum | Counterparty Concentration Risk | Repurchase Agreement Borrowings | Eight Repurchase Agreement Counterparties
Concentration Risk [Line Items]
Percentage of portfolio invested		10.00%
Carrying Value
Concentration Risk [Line Items]
Repurchase agreements | $	$ 7,360,670	$ 11,570,481

Repurchase Agreements - Contrac

Repurchase Agreements - Contractual Repricing on Repurchase Agreements (Details) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 7,360,670	$ 11,570,481
Weighted Average Contractual Rate	0.88%	0.57%
Weighted Average Maturity in days	21 days	38 days
Haircut for Repurchase Agreements	6.68%	4.79%
Agency Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 6,601,439	$ 11,570,481
Weighted Average Contractual Rate	0.73%	0.57%
Weighted Average Maturity in days	19 days	38 days
Haircut for Repurchase Agreements	4.80%	4.79%
Non-Agency Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 735,912
Weighted Average Contractual Rate	2.21%
Weighted Average Maturity in days	33 days
Haircut for Repurchase Agreements	23.75%
US Treasury Securities
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 23,319
Weighted Average Contractual Rate	0.46%
Weighted Average Maturity in days	0 days
Haircut for Repurchase Agreements	0.00%

Repurchase Agreements - Repurch

Repurchase Agreements - Repurchase Agreements by Maturity Period (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 7,360,670	$ 11,570,481
Weighted Average Contractual Rate	0.88%	0.57%
Within 30 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 5,819,944	$ 8,089,403
Weighted Average Contractual Rate	0.82%	0.55%
31 days to 60 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 1,360,336	$ 2,487,174
Weighted Average Contractual Rate	0.96%	0.57%
61 days to 90 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 180,390	$ 343,904
Weighted Average Contractual Rate	1.87%	0.71%
Greater than 90 days
Assets Sold under Agreements to Repurchase [Line Items]
Repurchase Agreements	$ 0	$ 650,000
Weighted Average Contractual Rate	0.00%	0.67%

Derivatives - Interest Rate Swa

Derivatives - Interest Rate Swap Contracts, Swaptions and Futures Contracts (Details) - USD ($)	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Derivative [Line Items]
Notional Amount	$ 7,560,000,000	$ 10,800,000,000
Derivatives, at fair value	10,194,000	999,000
Liability Fair Value	$ (243,223,000)	(233,301,000)
Notional amount, becoming effective in next six months		$ 3,775,000
Interest Rate Swap 0-12 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)	9 months
Weighted Average Rate	0.54%
Notional Amount	$ 150,000,000
Derivatives, at fair value	0
Liability Fair Value	$ (46,000)
Interest Rate Swap 13-24 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)	16 months	19 months
Weighted Average Rate	0.73%	0.63%
Notional Amount	$ 100,000,000	$ 350,000,000
Derivatives, at fair value	0	265,000
Liability Fair Value	$ (446,000)	$ (87,000)
Interest Rate Swap 25-36 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)		27 months
Weighted Average Rate		1.16%
Notional Amount		$ 700,000,000
Derivatives, at fair value		192,000
Liability Fair Value		$ (1,633,000)
Interest Rate Swap 37-48 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)	38 months	47 months
Weighted Average Rate	1.48%	1.46%
Notional Amount	$ 2,410,000,000	$ 2,000,000,000
Derivatives, at fair value	0	0
Liability Fair Value	$ (78,270,000)	$ (18,120,000)
Interest Rate Swap 49-60 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)		49 months
Weighted Average Rate		1.53%
Notional Amount		$ 350,000,000
Derivatives, at fair value		0
Liability Fair Value		$ (3,085,000)
Interest Rate Swap 61-72 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)	64 months
Weighted Average Rate	2.04%
Notional Amount	$ 275,000,000
Derivatives, at fair value	0
Liability Fair Value	$ (20,999,000)
Interest Rate Swap 73-84 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)	77 months	75 months
Weighted Average Rate	2.10%	2.05%
Notional Amount	$ 1,425,000,000	$ 1,025,000,000
Derivatives, at fair value	0	0
Liability Fair Value	$ (77,524,000)	$ (26,047,000)
Interest Rate Swap 85-96 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)		86 months
Weighted Average Rate		2.11%
Notional Amount		$ 1,375,000,000
Derivatives, at fair value		0
Liability Fair Value		$ (23,543,000)
Interest Rate Swap 109-120 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)	113 months	108 months
Weighted Average Rate	2.24%	2.66%
Notional Amount	$ 550,000,000	$ 1,000,000,000
Derivatives, at fair value	0	0
Liability Fair Value	(65,938,000)	$ (92,927,000)
Interest Rate Swap 121-132 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)		123 months
Weighted Average Rate		2.30%
Notional Amount		$ 2,000,000,000
Derivatives, at fair value		0
Liability Fair Value		$ (67,858,000)
TBA Agency Securities
Derivative [Line Items]
Notional Amount	2,650,000,000
Derivatives, at fair value	10,194,000
Liability Fair Value	$ 0
Basis Swap Contracts 0-60 Months
Derivative [Line Items]
Weighted Average Remaining Swap / Option Term (Months)		22 months
Weighted Average Rate		0.22%
Notional Amount		$ 2,000,000,000
Derivatives, at fair value		542,000
Liability Fair Value		$ (1,000)
Minimum | Interest Rate Swap 0-12 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	0 months
Minimum | Interest Rate Swap 13-24 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	13 months	13 months
Minimum | Interest Rate Swap 25-36 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		25 months
Minimum | Interest Rate Swap 37-48 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	37 months	37 months
Minimum | Interest Rate Swap 49-60 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		49 months
Minimum | Interest Rate Swap 61-72 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	61 months
Minimum | Interest Rate Swap 73-84 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	73 months	73 months
Minimum | Interest Rate Swap 85-96 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		85 months
Minimum | Interest Rate Swap 109-120 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	109 months	109 months
Minimum | Interest Rate Swap 121-132 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		121 months
Minimum | Basis Swap Contracts 0-60 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		0 months
Maximum | Interest Rate Swap 0-12 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	12 months
Maximum | Interest Rate Swap 13-24 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	24 months	24 months
Maximum | Interest Rate Swap 25-36 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		36 months
Maximum | Interest Rate Swap 37-48 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	48 months	48 months
Maximum | Interest Rate Swap 49-60 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		60 months
Maximum | Interest Rate Swap 61-72 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	72 months
Maximum | Interest Rate Swap 73-84 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	84 months	84 months
Maximum | Interest Rate Swap 85-96 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		96 months
Maximum | Interest Rate Swap 109-120 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)	120 months	120 months
Maximum | Interest Rate Swap 121-132 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		132 months
Maximum | Basis Swap Contracts 0-60 Months
Derivative [Line Items]
Derivative, remaining maturity (in months)		60 months

Derivatives - Offsetting Assets

Derivatives - Offsetting Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Offsetting Assets [Line Items]
Gross Amounts of Assets Presented in the Consolidated Balance Sheet	$ 29,524	$ 999
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet	10,194	999
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments	(243,223)	(233,301)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held	273,300	241,604
Net Amount	40,271	9,302
Interest rate swap contracts
Offsetting Assets [Line Items]
Gross Amounts of Assets Presented in the Consolidated Balance Sheet	0	457
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet	0	457
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments	(243,223)	(233,301)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held	276,927	241,604
Net Amount	33,704	8,760
Basis swap contracts
Offsetting Assets [Line Items]
Gross Amounts of Assets Presented in the Consolidated Balance Sheet	29,524	542
Net Amounts of Assets Presented in the Condensed Consolidated Balance Sheet	10,194	542
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments	0	0
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Net Cash Collateral Held	(3,627)	0
Net Amount	$ 6,567	$ 542

Derivatives - Offsetting Liabil

Derivatives - Offsetting Liabilities (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Offsetting Liabilities [Line Items]
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet	$ (288,552)	$ (233,301)
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet	(243,223)	(233,301)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments	243,223	233,301
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted	0	0
Net Amount	0	0
Interest rate swap contracts
Offsetting Liabilities [Line Items]
Gross Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet	(288,552)	(233,301)
Net Amounts of Liabilities Presented in the Condensed Consolidated Balance Sheet	(243,223)	(233,301)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Financial Instruments	243,223	233,301
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet, Cash Collateral Posted	0	0
Net Amount	$ 0	$ 0

Derivatives - Location and Info

Derivatives - Location and Information of Derivatives (Details) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Derivative Instruments, Gain (Loss) [Line Items]
Realized gain (loss)	[1]	$ 19,816	$ (17,400)	$ (338,804)	$ (69,280)
Unrealized gain (loss) on derivatives		25,824	(266,074)	2,907	(287,905)
Subtotal		45,640	(283,474)	(335,897)	(357,185)
Interest rate swap contracts
Derivative Instruments, Gain (Loss) [Line Items]
Subtotal		28,901	(316,421)	(385,122)	(368,949)
Interest rate swap contracts | Realized loss on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Realized gain (loss)		(419)	0	(326,411)	28,346
Interest income		6,836	2,837	18,741	10,262
Interest expense		(22,670)	(24,864)	(70,826)	(101,825)
Interest rate swap contracts | Unrealized gain (loss) on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Unrealized gain (loss) on derivatives		45,154	(294,394)	(6,626)	(305,732)
Futures Contracts
Derivative Instruments, Gain (Loss) [Line Items]
Subtotal		0	0	0	(4)
Futures Contracts | Realized loss on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Realized gain (loss)		0	0	0	(184)
Futures Contracts | Unrealized gain (loss) on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Unrealized gain (loss) on derivatives		0	0	0	180
Basis swap contracts
Derivative Instruments, Gain (Loss) [Line Items]
Subtotal		0	241	308	(817)
Basis swap contracts | Realized loss on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Realized gain (loss)		0	0	1,468	0
Interest income		0	0	2,617	0
Interest expense		0	0	(3,116)	0
Basis swap contracts | Unrealized gain (loss) on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Unrealized gain (loss) on derivatives		0	241	(661)	(817)
TBA Agency Securities
Derivative Instruments, Gain (Loss) [Line Items]
Subtotal		16,739	32,706	48,917	12,585
TBA Agency Securities | Realized loss on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Realized gain (loss)		36,069	4,627	38,723	(5,879)
TBA Agency Securities | Unrealized gain (loss) on derivatives
Derivative Instruments, Gain (Loss) [Line Items]
Unrealized gain (loss) on derivatives		$ (19,330)	$ 28,079	$ 10,194	$ 18,464
[1]	Interest expense related to our interest rate swap contracts is recorded as realized loss on derivatives on the condensed consolidated statements of operations. For additional information, see Note 9 to the condensed consolidated financial statements.

Commitments and Contingencies (

Commitments and Contingencies (Details) $ in Thousands	Apr. 25, 2016lawsuit	Mar. 01, 2016lawsuitdefendant	Sep. 30, 2016USD ($)	Sep. 30, 2015USD ($)
Other Commitments [Line Items]
Monthly percentage of effective management fee percentage			8.33%
Gross equity raised | $			$ 2,469,368	$ 2,620,950
Transactions
Other Commitments [Line Items]
Number of new claims filed		9
Number of defendants that are current directors | defendant		8
Number of consolidated claims	1
ACM
Other Commitments [Line Items]
Percentage of gross equity raised used in calculation of management fee up to 1 Billion			1.50%
Percentage of gross equity raised used in calculation of management fee in excess of 1 Billion			0.75%
Effective management fee			1.05%	1.04%

Stock Based Compensation - Addi

Stock Based Compensation - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands	9 Months Ended
	Sep. 30, 2016	Jul. 31, 2015	May 08, 2014	May 07, 2014
Board of Directors
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Nonemployee services transaction, quarterly fee	$ 33
The 2009 Stock Incentive Plan
Share-based Compensation Arrangement by Share-based Payment Award [Line Items]
Number of shares authorized (in shares)			15,000,000	2,000,000
Common stock, shares authorized (in shares)		1,875,000
Compensation cost not yet recognized	$ 980
Share price (in dollars per share)	$ 22.54
Period for recognition for compensation cost not yet recognized (in years)	4 months 24 days

Stock Based Compensation - Rest

Stock Based Compensation - Restricted Shares (Details) - The 2009 Stock Incentive Plan - Restricted Stock shares in Thousands	9 Months Ended
	Sep. 30, 2016$ / sharesshares
Number of Awards
Unvested RSU Awards Outstanding beginning of period (in shares) | shares	78
Vested (in shares) | shares	(35)
Unvested RSU Awards Outstanding end of period (in shares) | shares	43
Weighted Average Grant Date Fair Value per Award
Unvested RSU Awards Outstanding beginning of period (in dollars per share) | $ / shares	$ 48.85
Vested (in dollars per share) | $ / shares	56.20
Unvested RSU Awards Outstanding end of period (in dollars per share) | $ / shares	$ 43.86

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands	Jul. 31, 2015shares	Sep. 30, 2016USD ($)director$ / sharesshares	Dec. 31, 2015USD ($)$ / sharesshares	Jul. 30, 2015shares	Jul. 28, 2015shares	Mar. 05, 2014shares
Class of Stock [Line Items]
Preferred stock, shares authorized (in shares)		50,000,000	50,000,000
Preferred stock, par value (in dollars per share) | $ / shares		$ 0.001	$ 0.001
Preferred stock, undesignated shares authorized		34,180,000
Common stock, shares outstanding (in shares)	43,750,000	36,713,000	36,682,000	350,000,000
Common stock, shares authorized (in shares)	125,000,000	125,000,000	125,000,000	1,000,000,000
Common stock, par value (in dollars per share) | $ / shares		$ 0.001	$ 0.001
Common stock, shares issued (in shares)		36,713,000	36,682,000
Remaining shares authorized to be repurchased (in shares)		1,874,000
Repurchase Program
Class of Stock [Line Items]
Stock repurchase program, shares authorized (in shares)					9,000,000	50,000,000
Common Stock
Class of Stock [Line Items]
Reverse stock split, conversion ratio, authorized	0.125
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock, shares authorized (in shares)		9,610,000
Preferred stock, par value (in dollars per share) | $ / shares		$ 0.001	$ 0.001
Preferred stock, dividend rate		8.25%	8.25%
Preferred stock, shares issued (in shares)		2,181,000	2,181,000
Preferred stock, shares outstanding (in shares)		2,181,000	2,181,000
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares		$ 25	$ 25
Preferred stock, aggregate liquidation preference | $		$ 54,514	$ 54,514
Preferred stock, designated but unissued shares authorized		7,429,000
Preferred stock, period stock receives voting rights if dividends are not paid (in months)		18 months
Number of additional directors elected | director		2
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock, shares authorized (in shares)		6,210,000
Preferred stock, par value (in dollars per share) | $ / shares		$ 0.001	$ 0.001
Preferred stock, dividend rate		7.875%	7.875%
Preferred stock, shares issued (in shares)		5,650,000	5,650,000
Preferred stock, shares outstanding (in shares)		5,650,000	5,650,000
Preferred stock, liquidation preference per share (in dollars per share) | $ / shares		$ 25	$ 25
Preferred stock, aggregate liquidation preference | $		$ 141,250	$ 141,250
Preferred stock, designated but unissued shares authorized		560,000
Preferred stock, period stock receives voting rights if dividends are not paid (in months)		18 months
Number of additional directors elected | director		2

Stockholders' Equity - Dividend

Stockholders' Equity - Dividend Transactions (Details) - USD ($)	Sep. 27, 2016	Sep. 15, 2016	Aug. 29, 2016	Aug. 15, 2016	Jul. 15, 2016	Jun. 29, 2016	Jun. 27, 2016	Jun. 15, 2016	May 27, 2016	May 16, 2016	May 15, 2016	Apr. 27, 2016	Apr. 15, 2016	Mar. 28, 2016	Mar. 15, 2016	Feb. 26, 2016	Feb. 15, 2016	Jan. 27, 2016	Jan. 15, 2016	Jul. 27, 2015	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Class of Stock [Line Items]
Common stock dividends cash paid (in dollars per share)	$ 0.22		$ 0.22			$ 0.22			$ 0.22			$ 0.27		$ 0.33		$ 0.33		$ 0.33		$ 0.22
Aggregate amount paid to holders of record (in dollars)	$ 8,087,000		$ 8,087,000			$ 8,087,000			$ 8,087,000			$ 9,925,000		$ 12,131,000		$ 12,131,000		$ 12,131,000		$ 8,087,000			$ 86,753,000	$ 127,669,000
Common stock dividends declared per common share (in dollars per share)		$ 0.22		$ 0.22	$ 0.22			$ 0.22		$ 0.22			$ 0.27		$ 0.33		$ 0.33		$ 0.33		$ 0.66	$ 0.98	$ 2.36	$ 2.90
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividends cash paid (in dollars per share)	$ 0.17		$ 0.17				$ 0.17		$ 0.17			$ 0.17		$ 0.17		$ 0.17		$ 0.17		$ 0.17
Aggregate amount paid to holders of record (in dollars)	$ 374,800		$ 374,800				$ 374,800		$ 374,800			$ 374,800		$ 374,800		$ 374,800		$ 374,800		$ 374,800			$ 3,373,200	$ 3,373,000
Preferred stock dividends declared per common share (in dollars per share)		0.17		0.17	0.17			0.17			$ 0.17		0.17		0.17		0.17		0.17
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividends cash paid (in dollars per share)	$ 0.16		$ 0.16				$ 0.16		$ 0.16			$ 0.16		$ 0.16		$ 0.16		$ 0.16		$ 0.16
Aggregate amount paid to holders of record (in dollars)	$ 927,000		$ 927,000				$ 927,000		$ 927,000			$ 927,000		$ 927,000		$ 927,000		$ 927,000		$ 927,000			$ 8,343,000	$ 8,343,000
Preferred stock dividends declared per common share (in dollars per share)		$ 0.16		$ 0.16	$ 0.16			$ 0.16			$ 0.16		$ 0.16		$ 0.16		$ 0.16		$ 0.16

Net Income (Loss) per Common 63

Net Income (Loss) per Common Share (Details) - Reconciliation of Net Income (Loss) and Shares Used in Calculating Basic and Diluted Earnings Per Share - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Earnings Per Share [Abstract]
Net Income (Loss)	$ 118,688	$ (221,553)	$ (139,613)	$ (149,003)
Less: Preferred dividends	(3,905)	(3,905)	(11,716)	(11,716)
Net Income (Loss) related to common stockholders	$ 114,783	$ (225,458)	$ (151,329)	$ (160,719)
Weighted average common shares outstanding – basic (in shares)	36,703	43,561	36,693	43,709
Add: Effect of dilutive non-vested awards, assumed vested (in shares)	43	0	0	0
Weighted average common shares outstanding – diluted (in shares)	36,746	43,561	36,693	43,709

Income Taxes - Reconciliation o

Income Taxes - Reconciliation of GAAP Net Income to Estimated REIT Taxable Income (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Income Tax Disclosure [Abstract]
GAAP net income (loss)	$ 118,688	$ (221,553)	$ (139,613)	$ (149,003)
Book to tax differences:
Non-Agency Securities	(40,249)	0	(54,767)	0
Interest-Only Securities	438	0	1,681	0
Changes in interest rate contracts	(61,473)	261,447	283,314	265,438
Gains on Security Sales	(2,421)	(69)	(18,937)	(1,562)
Amortization of deferred hedging costs	(13,226)	(1,836)	(34,583)	(4,929)
Bargain purchase price on acquisition of JAVELIN	0	0	(6,484)	0
Other	2	3	14	11
Estimated REIT taxable income	$ 1,759	$ 37,992	$ 30,625	$ 109,955

Income Taxes - Additional Infor

Income Taxes - Additional Information (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015	Dec. 31, 2014	Dec. 31, 2013
Tax Credit Carryforward [Line Items]
Aggregate tax basis of stockholders' equity in excess of assets and liabilities	$ 174,376		$ 174,376
Aggregate tax basis of stockholders' equity in excess of assets and liabilities (in dollars per share)	$ 4.75		$ 4.75
Common stock, shares issued (in shares)	36,713		36,713		36,682
Payment of dividends			$ 98,469	$ 139,385
Estimated REIT Taxable Income	$ 1,759	$ 37,992	$ 30,625	$ 109,955
Capital Loss Carryforward
Tax Credit Carryforward [Line Items]
Tax credit carryforward					$ (5,175)	$ (341,850)	$ (579,322)

Related Party Transactions (Det

Related Party Transactions (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Related Party Transaction [Line Items]
Management fees	$ 6,521	$ 6,851	$ 19,549	$ 20,595
ACM
Related Party Transaction [Line Items]
Automatic renewal period of management agreement (in years)			5 years
Period of written notice of termination (in days)			180 days
Management fees	6,521	6,851	$ 19,549	20,595
ACM | Other Expense
Related Party Transaction [Line Items]
Management fees	362	480	1,245	1,352
ACM | Stock Based Compensation Expense
Related Party Transaction [Line Items]
Management fees	123	$ 140	351	$ 477
Javelin Mortgage Investment Corp. | Management Fee
Related Party Transaction [Line Items]
Management fees	$ 565		$ 1,092

Acquisition of JAVELIN Mortga67

Acquisition of JAVELIN Mortgage Investment Corp. - Additional Information (Details) - USD ($) $ / shares in Units, $ in Thousands	Apr. 06, 2016	Apr. 01, 2016	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Mar. 01, 2016
Business Acquisition [Line Items]
Bargain purchase price on acquisition of JAVELIN			$ 0	$ 0	$ 6,484	$ 0
Management Agreement | ACM
Business Acquisition [Line Items]
Accounts payable and other accrued expenses	$ 3,375
Javelin Mortgage Investment Corp.
Business Acquisition [Line Items]
Business acquisition, share price (in dollars per share)							$ 7.18
Percent of outstanding shares tendered		50.00%
Payments to acquire businesses, gross	85,200
Accounts payable and other accrued expenses	7,600
Net Interest Income			4,882		10,013
Net Income (Loss)			6,931		10,150
Assets	91,700		$ 102,846		$ 102,846
Bargain purchase price on acquisition of JAVELIN	$ 6,500

Acquisition of JAVELIN Mortga68

Acquisition of JAVELIN Mortgage Investment Corp. - Consideration Paid (Details) - USD ($) $ in Thousands	Apr. 06, 2016	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Recognized amounts of identifiable assets acquired and liabilities assumed:
Bargain purchase price on acquisition of JAVELIN		$ 0	$ 0	$ (6,484)	$ 0
Javelin Mortgage Investment Corp.
Business Acquisition [Line Items]
Payments to acquire businesses, gross	$ 85,200
Fair value of consideration transferred	85,200
Acquisition related costs (included in professional fees and other expenses)	2,500
Recognized amounts of identifiable assets acquired and liabilities assumed:
Cash	12,000
Cash collateral	24,600
Agency Securities	440,700
Non-Agency Securities	223,200
Accrued interest receivable	1,400
Prepaid and other assets	5,400
Repurchase agreements	(589,600)
Derivatives	(17,500)
Accrued interest payable	(900)
Accounts payable and other accrued expenses	(7,600)
Total identifiable net assets	91,700	$ 102,846		$ 102,846
Bargain purchase price on acquisition of JAVELIN	$ (6,500)

Subsequent Events - Additional

Subsequent Events - Additional Information (Details) - USD ($)	Oct. 27, 2016	Sep. 27, 2016	Sep. 15, 2016	Aug. 29, 2016	Aug. 15, 2016	Jul. 15, 2016	Jun. 29, 2016	Jun. 27, 2016	Jun. 15, 2016	May 27, 2016	May 16, 2016	Apr. 27, 2016	Apr. 15, 2016	Mar. 28, 2016	Mar. 15, 2016	Feb. 26, 2016	Feb. 15, 2016	Jan. 27, 2016	Jan. 15, 2016	Jul. 27, 2015	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Subsequent Event [Line Items]
Common stock dividends cash paid (in dollars per share)		$ 0.22		$ 0.22			$ 0.22			$ 0.22		$ 0.27		$ 0.33		$ 0.33		$ 0.33		$ 0.22
Aggregate amount paid to holders of record (in dollars)		$ 8,087,000		$ 8,087,000			$ 8,087,000			$ 8,087,000		$ 9,925,000		$ 12,131,000		$ 12,131,000		$ 12,131,000		$ 8,087,000			$ 86,753,000	$ 127,669,000
Common stock dividends declared per common share (in dollars per share)			$ 0.22		$ 0.22	$ 0.22			$ 0.22		$ 0.22		$ 0.27		$ 0.33		$ 0.33		$ 0.33		$ 0.66	$ 0.98	$ 2.36	$ 2.90
Series A Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividends cash paid (in dollars per share)		$ 0.17		$ 0.17				$ 0.17		$ 0.17		$ 0.17		$ 0.17		$ 0.17		$ 0.17		$ 0.17
Aggregate amount paid to holders of record (in dollars)		$ 374,800		$ 374,800				$ 374,800		$ 374,800		$ 374,800		$ 374,800		$ 374,800		$ 374,800		$ 374,800			$ 3,373,200	$ 3,373,000
Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividends cash paid (in dollars per share)		$ 0.16		$ 0.16				$ 0.16		$ 0.16		$ 0.16		$ 0.16		$ 0.16		$ 0.16		$ 0.16
Aggregate amount paid to holders of record (in dollars)		$ 927,000		$ 927,000				$ 927,000		$ 927,000		$ 927,000		$ 927,000		$ 927,000		$ 927,000		$ 927,000			$ 8,343,000	$ 8,343,000
Subsequent Event
Subsequent Event [Line Items]
Common stock dividends cash paid (in dollars per share)	$ 0.22
Aggregate amount paid to holders of record (in dollars)	$ 8,087,000
Common stock dividends declared per common share (in dollars per share)	$ 0.22
Subsequent Event | Series A Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividends cash paid (in dollars per share)	$ 0.17
Aggregate amount paid to holders of record (in dollars)	$ 375,000
Rate per preferred share dividends declared (in dollars per share)	$ 0.17
Subsequent Event | Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividends cash paid (in dollars per share)	$ 0.16
Aggregate amount paid to holders of record (in dollars)	$ 927,000
Rate per preferred share dividends declared (in dollars per share)	$ 0.16