Invesco Mortgage Capital (IVR) 10-Q 10 May 16 2016 Q1 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	3 Months Ended
	Mar. 31, 2016	May. 02, 2016
Document And Entity Information [Abstract]
Entity Registrant Name	Invesco Mortgage Capital Inc.
Trading Symbol	IVR
Entity Central Index Key	1,437,071
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Document Type	10-Q
Document Period End Date	Mar. 31, 2016
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus (Q1,Q2,Q3,FY)	Q1
Amendment Flag	false
Entity Common Stock, Shares Outstanding		111,577,275

Condensed Consolidated Balance

Condensed Consolidated Balance Sheets - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value	$ 15,134,066	$ 16,065,935
Commercial loans, held-for-investment	277,701	209,062
Cash and cash equivalents	51,336	53,199
Due from counterparties	233,884	110,009
Investment related receivable	30,406	154,594
Accrued interest receivable	49,131	50,779
Derivative assets, at fair value	702	8,659
Other assets	115,878	115,072
Total assets	15,893,104	16,767,309
Liabilities:
Repurchase agreements	11,187,159	12,126,048
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	395,187	394,573
Derivative liabilities, at fair value	398,143	238,148
Dividends and distributions payable	50,917	51,734
Investment related payable	18,782	167
Accrued interest payable	18,339	21,604
Collateral held payable	0	4,900
Accounts payable and accrued expenses	2,027	2,376
Due to affiliate	9,943	10,851
Total liabilities	13,730,497	14,500,401
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,577,275 and 113,619,471 shares issued and outstanding, respectively	1,116	1,136
Additional paid in capital	2,382,542	2,407,372
Accumulated other comprehensive income	426,504	303,110
Retained earnings (distributions in excess of earnings)	(957,735)	(755,799)
Total stockholders’ equity	2,137,643	2,241,035
Non-controlling interest	24,964	25,873
Total equity	2,162,607	2,266,908
Total liabilities and equity	15,893,104	16,767,309
Series A Cumulative Redeemable Preferred Stock
Equity:
Preferred Stock	135,356	135,356
Series B Cumulative Redeemable Preferred Stock
Equity:
Preferred Stock	$ 149,860	$ 149,860

Condensed Consolidated Balance3

Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Preferred Stock - par value (in usd per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized	450,000,000	450,000,000
Common Stock - shares issued	111,577,275	113,619,471
Common Stock - shares outstanding	111,577,275	113,619,471
Series A Cumulative Redeemable Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	5,600,000	5,600,000
Preferred Stock - shares outstanding	5,600,000	5,600,000
Preferred Stock - liquidation preference value	$ 140,000	$ 140,000
Series B Cumulative Redeemable Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	6,200,000	6,200,000
Preferred Stock - shares outstanding	6,200,000	6,200,000
Preferred Stock - liquidation preference value	$ 155,000	$ 155,000

Condensed Consolidated Statemen

Condensed Consolidated Statements of Operations (Unaudited) - USD ($) $ in Thousands		3 Months Ended
		Mar. 31, 2016	Mar. 31, 2015
Interest Income
Mortgage-backed and credit risk transfer securities		$ 121,087	$ 135,265
Residential loans	[1]	0	29,374
Commercial loans		4,893	3,115
Total interest income		125,980	167,754
Interest Expense
Repurchase agreements		41,800	43,310
Secured loans		2,715	1,464
Exchangeable senior notes		5,613	5,607
Asset-backed securities	[1]	0	21,898
Total interest expense		50,128	72,279
Net interest income		75,852	95,475
(Reduction in) provision for loan losses		0	(62)
Net interest income after (reduction in) provision for loan losses		75,852	95,537
Other Income (loss)
Gain (loss) on investments, net		11,601	2,172
Equity in earnings of unconsolidated ventures		1,061	6,006
Gain (loss) on derivative instruments, net		(238,543)	(122,745)
Realized and unrealized credit derivative income (loss), net		8,410	21,362
Other investment income (loss), net		(318)	(894)
Total other income (loss)		(217,789)	(94,099)
Expenses
Management fee – related party		9,512	9,415
General and administrative		2,037	1,727
Consolidated securitization trusts	[1]	0	2,156
Total expenses		11,549	13,298
Net income (loss)		(153,486)	(11,860)
Net income (loss) attributable to non-controlling interest		(1,897)	(136)
Net income (loss) attributable to Invesco Mortgage Capital Inc.		(151,589)	(11,724)
Dividends to preferred stockholders		5,716	5,716
Net income (loss) attributable to common stockholders		$ (157,305)	$ (17,440)
Earnings (loss) per share:
Net income attributable to common shareholders (basic) (usd per share)		$ (1.39)	$ (0.14)
Net income attributable to common shareholders (diluted) (usd per share)		(1.39)	(0.14)
Dividends declared per common share (usd per share)		$ 0.40	$ 0.45
[1]	The condensed consolidated statement of operations for the three months ended March 31, 2015 includes income and expenses of consolidated variable interest entities ("VIEs"). The Company deconsolidated these VIEs in December 2015. Refer to Note 2 - “Summary of Significant Accounting Policies” for further discussion.

Condensed Consolidated Stateme5

Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Statement of Comprehensive Income [Abstract]
Net loss	$ (153,486)	$ (11,860)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	122,619	125,954
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(10,544)	(2,934)
Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense	12,924	19,145
Currency translation adjustments on investment in unconsolidated venture	(49)	0
Total other comprehensive income	124,950	142,165
Comprehensive income (loss)	(28,536)	130,305
Less: Comprehensive income (loss) attributable to non-controlling interest	341	(1,490)
Less: Dividends to preferred stockholders	(5,716)	(5,716)
Comprehensive income (loss) attributable to common stockholders	$ (33,911)	$ 123,099

Condensed Consolidated Stateme6

Condensed Consolidated Statement of Equity (Unaudited) - 3 months ended Mar. 31, 2016 - USD ($) $ in Thousands	Total	Preferred StockSeries A Cumulative Redeemable Preferred Stock	Preferred StockSeries B Cumulative Redeemable Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income	Retained Earnings (Distributions in excess of earnings)	Total Stockholders’ Equity	Non- Controlling Interest
Beginning Balance (in shares) at Dec. 31, 2015		5,600,000	6,200,000	113,619,471
Beginning Balance at Dec. 31, 2015	$ 2,266,908	$ 135,356	$ 149,860	$ 1,136	$ 2,407,372	$ 303,110	$ (755,799)	$ 2,241,035	$ 25,873
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net loss	(153,486)						(151,589)	(151,589)	(1,897)
Other comprehensive income	124,950					123,394		123,394	1,556
Proceeds from issuance of stock, net of offering costs (in shares)				3,201
Proceeds from issuance of stock, net of offering costs	35				35			35
Repurchase of shares of common stock (in shares)				(2,063,451)
Repurchase of shares of common stock	(25,000)			$ (20)	(24,980)			(25,000)
Stock awards (in shares)				18,054
Common stock dividends	(44,631)						(44,631)	(44,631)
Common unit dividends	(570)								(570)
Preferred stock dividends	(5,716)						(5,716)	(5,716)
Amortization of equity-based compensation	117				115			115	2
Ending Balance (in shares) at Mar. 31, 2016		5,600,000	6,200,000	111,577,275
Ending Balance at Mar. 31, 2016	$ 2,162,607	$ 135,356	$ 149,860	$ 1,116	$ 2,382,542	$ 426,504	$ (957,735)	$ 2,137,643	$ 24,964

Condensed Consolidated Stateme7

Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Cash Flows from Operating Activities
Net loss	$ (153,486)	$ (11,860)
Adjustments to reconcile net loss to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	25,207	29,389
Amortization of residential loans and asset-backed securities premiums (discount), net	0	37
Amortization of commercial loan origination fees	(59)	(6)
Reduction in provision for loan losses	0	(62)
Unrealized (gain) loss on derivative instruments, net	166,467	51,034
Unrealized (gain) loss on credit derivatives, net	(3,016)	(15,976)
(Gain) loss on investments, net	(11,601)	(2,172)
Realized (gain) loss on derivative instruments, net	42,985	26,103
Realized (gain) loss on credit derivatives, net	920	792
Equity in earnings of unconsolidated ventures	(1,061)	(6,006)
Amortization of equity-based compensation	117	155
Amortization of deferred securitization and financing costs	614	794
Amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense	12,924	19,145
(Gain) loss on foreign currency transactions, net	1,125	1,500
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	2,249	(53)
Decrease in operating liabilities	(4,527)	(5,392)
Net cash provided by operating activities	78,858	87,422
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(47,716)	(726,494)
(Contributions) distributions (from) to investment in unconsolidated ventures, net	(116)	8,761
Change in other assets	0	(7,250)
Principal payments from mortgage-backed and credit risk transfer securities	528,138	570,110
Proceeds from sale of mortgage-backed and credit risk transfer securities	684,345	180,790
Payments on sale of credit derivatives	(920)	(792)
Payment of premiums for interest rate swaptions	0	(1,485)
(Payments) proceeds (for) from termination of futures, forwards, swaps, swaptions and TBAs	(37,228)	(2,360)
Purchase of residential loans held-for-investment	0	(372,305)
Principal payments from residential loans held-for-investment	0	138,210
Origination and advances of commercial loans, net of origination fees	(69,830)	(1,944)
Net cash provided by (used in) investing activities	1,056,673	(214,759)
Cash Flows from Financing Activities
Proceeds from issuance of common stock	35	70
Repurchase of common stock	(25,000)	0
Cost of issuance of preferred stock	0	(15)
Due from counterparties	(116,766)	(23,626)
Collateral held payable	(4,900)	(10,590)
Proceeds from repurchase agreements	29,578,250	35,603,951
Principal repayments of repurchase agreements	(30,517,139)	(35,893,498)
Proceeds from asset-backed securities issued by securitization trusts	0	336,077
Principal repayments of asset-backed securities issued by securitization trusts	0	(130,394)
Proceeds from secured loans	125,000	600,000
Principal repayments on secured loans	(125,000)	(300,000)
Payments of deferred costs	(140)
Payments of dividends and distributions	(51,734)	(61,757)
Net cash (used in) provided by financing activities	(1,137,394)	120,218
Net change in cash and cash equivalents	(1,863)	(7,119)
Cash and cash equivalents, beginning of period	53,199	164,144
Cash and cash equivalents, end of period	51,336	157,025
Supplement Disclosure of Cash Flow Information
Interest paid	43,110	59,713
Non-cash Investing and Financing Activities Information
Net change in unrealized gain on mortgage-backed and credit risk transfer securities	112,075	123,020
Dividends and distributions declared not paid	50,917	61,766
(Receivable) / payable for mortgage-backed and credit risk transfer securities, net	131,413	4,265
Repurchase agreements, not settled	0	(49)
Swap terminated, not settled	4,272	19,055
Net change in due from counterparties	$ (7,109)	$ (985)

Organization and Business Opera

Organization and Business Operations	3 Months Ended
	Mar. 31, 2016
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the “Company”) is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. The Company conducts its business through IAS Operating Partnership LP (the “Operating Partnership”), a variable interest entity ("VIE"), as its sole general partner. As of March 31, 2016 , the Company owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3% . The Company has one operating segment. The Company primarily invests in: • Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • RMBS that are not guaranteed by a U.S. government agency (“non-Agency RMBS”); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); • Commercial mortgage-backed securities ("CMBS"); • Residential and commercial mortgage loans; and • Other real estate-related financing agreements. The Company is externally managed and advised by Invesco Advisers, Inc. (the "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm. The Company elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986, as amended, commencing with the Company's taxable year ended December 31, 2009. To maintain the Company’s REIT qualification, the Company is generally required to distribute at least 90% of its REIT taxable income to its stockholders annually. The Company operates its business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940, as amended.

Summary of Significant Accounti

Summary of Significant Accounting Policies	3 Months Ended
	Mar. 31, 2016
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in the Company’s Form 10-K are not required to be included on an interim basis in the Company’s quarterly reports on Form 10-Q. The Company has condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 . In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair presentation of the financial condition and results of operations for the periods presented. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and its controlled subsidiaries. During the period from January 1, 2015 through December 9, 2015, the condensed consolidated financial statements also include the results of operations of certain residential loan securitization trusts (the "Residential Securitizations") that meet the definition of a VIE. On December 9, 2015, the Company completed the sale of certain beneficial interests in the Residential Securitizations and deconsolidated the Residential Securitizations. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s 2015 Annual Report on Form 10-K. Reclassifications Certain prior period reported amounts have been reclassified to be consistent with the current presentation. Such reclassifications had no impact on net income or equity attributable to common stockholders. Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements Effective January 1, 2016, the Company adopted the newly issued accounting guidance for presentation of debt issuance costs. Under the new standard, debt issuance costs are required to be presented in the consolidated balance sheets as a direct deduction from the carrying value of the associated debt liability. The Company adopted the accounting standard on a retrospective basis, which required the restatement of the Company's December 31, 2015 balance sheet. The adoption resulted in a $ 5.4 million reduction in exchangeable senior notes and a corresponding reduction in other assets. In August 2015, the FASB clarified the newly issued accounting guidance for debt issuance costs and stated that the SEC staff would not object to a company presenting debt issuance costs related to a line-of-credit arrangement on the balance sheet as a deferred asset, regardless of whether there were any outstanding borrowings at period-end. The Company did not have line of credit arrangements as of March 31, 2016 and December 31, 2015. Effective January 1, 2016, the Company adopted the newly issued accounting guidance for reporting entities that are required to determine whether they should consolidate certain legal entities. The Company adopted the accounting standard on a modified retrospective approach which did not require restatement of prior periods to conform to the post adoption presentation. The Company did not consolidate or deconsolidate any legal entities as a result of implementing the new guidance. In January 2016, the FASB issued guidance to improve certain aspects of classification and measurement of financial instruments, including significant revisions in accounting related to the classification and measurement of investments in equity securities and presentation of certain fair value changes for financial liabilities when the fair value option is elected. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its consolidated financial statements, as well as available transition methods.

Variable Interest Entities

Variable Interest Entities	3 Months Ended
	Mar. 31, 2016
Variable Interest Entity Disclosure [Abstract]
Variable Interest Entities	Variable Interest Entities The Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary at March 31, 2016 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency RMBS 2,384,965 2,384,965 CMBS 2,701,950 2,701,950 Investments in unconsolidated ventures 39,541 39,541 Total 5,126,456 5,126,456 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 6 - "Other Assets" for additional details regarding these investments.

Mortgage-Backed and Credit Risk

Mortgage-Backed and Credit Risk Transfer Securities	3 Months Ended
	Mar. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of March 31, 2016 and December 31, 2015 . March 31, 2016 $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) Agency RMBS: 15 year fixed-rate 1,472,653 68,699 1,541,352 23,813 1,565,165 3.71 % 2.53 % 2.40 % 30 year fixed-rate 3,661,911 239,352 3,901,263 64,988 3,966,251 4.23 % 2.96 % 2.97 % ARM * 400,744 4,344 405,088 8,561 413,649 2.72 % 2.63 % 2.42 % Hybrid ARM 2,944,182 54,561 2,998,743 41,983 3,040,726 2.72 % 2.54 % 2.28 % Total Agency pass-through 8,479,490 366,956 8,846,446 139,345 8,985,791 3.55 % 2.73 % 2.61 % Agency-CMO (4) 1,763,203 (1,365,561 ) 397,642 12,927 410,569 2.12 % 3.65 % 2.80 % Non-Agency RMBS (5)(6)(7) 4,587,878 (2,261,092 ) 2,326,786 58,179 2,384,965 2.15 % 4.01 % 4.68 % GSE CRT (8)(9) 647,500 21,811 669,311 (18,520 ) 650,791 1.33 % 0.73 % 0.85 % CMBS (10) 3,193,203 (557,871 ) 2,635,332 66,618 2,701,950 3.86 % 4.25 % 4.38 % Total 18,671,274 (3,795,757 ) 14,875,517 258,549 15,134,066 3.04 % 3.13 % 3.18 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of March 31, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of March 31, 2016 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.2% of principal (notional) balance, 24.4% of amortized cost and 25.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.4% variable rate, 46.8% fixed rate, and 6.8% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $271.7 million is non-accretable. (7) Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes GSE CRT not accounted for under the fair value option as the embedded derivative coupon interest is recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value. December 31, 2015 $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) Agency RMBS: 15 year fixed-rate 1,527,877 72,389 1,600,266 10,664 1,610,930 3.72 % 2.47 % 2.40 % 30 year fixed-rate 3,796,091 249,285 4,045,376 18,581 4,063,957 4.24 % 2.81 % 2.85 % ARM 417,424 4,625 422,049 3,976 426,025 2.72 % 2.58 % 2.26 % Hybrid ARM 3,240,967 63,324 3,304,291 5,234 3,309,525 2.73 % 2.56 % 2.22 % Total Agency pass-through 8,982,359 389,623 9,371,982 38,455 9,410,437 3.54 % 2.65 % 2.53 % Agency-CMO (4) 1,774,621 (1,386,284 ) 388,337 482 388,819 2.23 % 4.29 % 3.42 % Non-Agency RMBS (5)(6)(7) 4,965,978 (2,348,080 ) 2,617,898 74,589 2,692,487 2.20 % 4.00 % 4.80 % GSE CRT (8)(9) 657,500 22,593 680,093 (21,865 ) 658,228 1.32 % 0.72 % 0.62 % CMBS (10) 3,429,655 (558,749 ) 2,870,906 45,058 2,915,964 3.95 % 4.30 % 4.35 % Total 19,810,113 (3,880,897 ) 15,929,216 136,719 16,065,935 3.08 % 3.13 % 3.19 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield based on amortized cost as of December 31, 2015 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% o f principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value. (5) Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $281.6 million is non-accretable. (7) Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes GSE CRT not accounted for under the fair value option as the embedded derivative coupon interest is recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively. The following table summarizes the Company's non-Agency RMBS portfolio by asset type based on fair value as of March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 1,026,639 43.0 % 1,081,428 40.2 % Re-REMIC 492,945 20.8 % 663,853 24.7 % Alt-A 513,636 21.5 % 544,306 20.2 % Subprime/reperforming 351,745 14.7 % 402,900 14.9 % Total Non-Agency 2,384,965 100.0 % 2,692,487 100.0 % The following table summarizes the credit enhancement provided to the Company's re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of March 31, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) March 31, 2016 December 31, 2015 0% - 10% 13.3 % 11.0 % 10% - 20% 7.0 % 5.6 % 20% - 30% 13.0 % 12.7 % 30% - 40% 16.2 % 20.8 % 40% - 50% 32.5 % 32.8 % 50% - 60% 15.4 % 13.3 % 60% - 70% 2.6 % 3.8 % Total 100.0 % 100.0 % (1) Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. 28.8% of the Company's Re-REMIC holdings are not senior tranches. The components of the carrying value of the Company’s MBS and GSE CRT portfolio at March 31, 2016 and December 31, 2015 are presented below. $ in thousands March 31, 2016 December 31, 2015 Principal balance 18,671,274 19,810,113 Unamortized premium 468,153 495,537 Unamortized discount (4,263,910 ) (4,376,434 ) Gross unrealized gains 334,970 287,469 Gross unrealized losses (76,421 ) (150,750 ) Fair value 15,134,066 16,065,935 The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 December 31, 2015 Less than one year 301,799 427,678 Greater than one year and less than five years 8,651,266 6,237,547 Greater than or equal to five years 6,181,001 9,400,710 Total 15,134,066 16,065,935 The following tables present the estimated fair value and gross unrealized losses of the Company's MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2016 and December 31, 2015 . March 31, 2016 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 267,933 (814 ) 19 181,040 (969 ) 12 448,973 (1,783 ) 31 30 year fixed-rate 336,431 (3,863 ) 10 1,271,850 (18,519 ) 53 1,608,281 (22,382 ) 63 ARM 1,546 (13 ) 1 — — — 1,546 (13 ) 1 Hybrid ARM 327,101 (718 ) 14 — — — 327,101 (718 ) 14 Total Agency pass-through 933,011 (5,408 ) 44 1,452,890 (19,488 ) 65 2,385,901 (24,896 ) 109 Agency-CMO (1) 47,765 (1,107 ) 10 5,884 (1,775 ) 7 53,649 (2,882 ) 17 Non-Agency RMBS 774,913 (9,237 ) 58 281,308 (8,037 ) 22 1,056,221 (17,274 ) 80 GSE CRT (2) 426,242 (8,224 ) 14 112,988 (11,365 ) 4 539,230 (19,589 ) 18 CMBS 666,755 (11,190 ) 50 34,260 (590 ) 3 701,015 (11,780 ) 53 Total 2,848,686 (35,166 ) 176 1,887,330 (41,255 ) 101 4,736,016 (76,421 ) 277 (1) Fair value includes unrealized losses on Agency IO of $2.5 million and unrealized losses on CMO of $0.4 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. December 31, 2015 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 600,480 (8,081 ) 33 77,506 (1,482 ) 6 677,986 (9,563 ) 39 30 year fixed-rate 776,065 (14,827 ) 32 1,120,391 (39,497 ) 47 1,896,456 (54,324 ) 79 ARM 200,863 (501 ) 11 — — — 200,863 (501 ) 11 Hybrid ARM 1,913,872 (17,082 ) 111 — — — 1,913,872 (17,082 ) 111 Total Agency pass-through 3,491,280 (40,491 ) 187 1,197,897 (40,979 ) 53 4,689,177 (81,470 ) 240 Agency-CMO (1) 166,754 (3,296 ) 14 9,118 (6,934 ) 9 175,872 (10,230 ) 23 Non-Agency RMBS 832,978 (6,957 ) 73 331,018 (10,326 ) 28 1,163,996 (17,283 ) 101 GSE CRT (2) 340,116 (10,050 ) 16 120,877 (13,605 ) 7 460,993 (23,655 ) 23 CMBS 1,224,985 (17,328 ) 85 31,533 (784 ) 2 1,256,518 (18,112 ) 87 Total 6,056,113 (78,122 ) 375 1,690,443 (72,628 ) 99 7,746,556 (150,750 ) 474 (1) Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. Gross unrealized losses on the Company’s Agency RMBS and CMO were $24.9 million and $0.4 million , respectively, at March 31, 2016 . Due to the inherent credit quality of Agency RMBS and CMO, the Company determined that at March 31, 2016 , any unrealized losses on its Agency RMBS and CMO portfolio are not other than temporary. Gross unrealized losses on the Company’s Agency IO, non-Agency RMBS, GSE CRT and CMBS were $51.1 million at March 31, 2016 . The Company does not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rate spreads, prepayment speeds, and market fluctuations. These investment securities are included in the Company’s assessment for other-than-temporary impairment on a quarterly basis. The Company assesses its investment securities for other-than-temporary impairment on a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either “temporary” or “other-than-temporary.” This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The Company recorded $5.7 million in other-than-temporary credit impairments during the three months ended March 31, 2016 . The Company did not have other-than-temporary impairments ("OTTI") for the three months ended March 31, 2015 . Other-than-temporary impairments are reported as gain (loss) on investments, net on the condensed consolidated statements of operations. As of March 31, 2016 , the Company did not intend to sell the securities and determined that it was not more likely than not that the Company will be required to sell the securities. The Company impaired certain RMBS interest-only securities during the three months ended March 31, 2016 . As the changes in fair value on interest-only securities are already recorded in the Company's consolidated statement of operations, the $5.7 million in other-than-temporary credit impairments was recorded as a reclassification from an unrealized to a realized loss within gain (loss) in investments, net on the consolidated statements of operations. The following table presents the changes in OTTI included in earnings for the three months ended March 31, 2016 and 2015 . $ in thousands Three Months Three Months Cumulative credit loss at beginning of period — — Additions: — Other-than-temporary impairments not previously recognized 5,683 — Cumulative credit loss at end of period 5,683 — The following table presents the impact of the Company’s MBS and GSE CRT debt host contract on accumulated other comprehensive income (loss) for the three months ended March 31, 2016 and 2015 . The table excludes RMBS IOs and GSE CRTs that are accounted for under the fair value option. $ in thousands Three Months Three Months Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 162,081 351,774 Unrealized gain (loss) on MBS and GSE CRT 122,619 125,954 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (10,544 ) (2,934 ) Balance at the end of period 274,156 474,794 During the three months ended March 31, 2016 and 2015 , the Company reclassified $10.5 million and $2.9 million of net unrealized gains, respectively, from other comprehensive income into gain (loss) on investments, net as a result of the Company selling certain investments. The following table summarizes the components of the Company's total gain (loss) on investments, net for the three months ended March 31, 2016 and 2015 . $ in thousands Three Months Three Months Gross realized gain on sale of investments 13,015 2,964 Gross realized loss on sale of investments (2,471 ) (30 ) Other-than-temporary credit impairment losses (5,683 ) — Net unrealized gain (loss) on RMBS IOs (fair value option) 6,676 (762 ) Net unrealized gain (loss) on GSE CRT (fair value option) 64 — Total gains (loss) on investments, net 11,601 2,172 The following table presents components of interest income on the Company’s MBS and GSE CRT portfolio for the three months ended March 31, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded in realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 85,771 (24,185 ) 61,586 Non-Agency 25,849 2,685 28,534 GSE CRT 2,197 (767 ) 1,430 CMBS 32,264 (2,940 ) 29,324 Other 213 — 213 Total 146,294 (25,207 ) 121,087 For the three months ended March 31, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,372 (26,859 ) 67,513 Non-Agency 30,810 658 31,468 GSE CRT 1,568 (760 ) 808 CMBS 37,905 (2,428 ) 35,477 Other (1 ) — (1 ) Total 164,654 (29,389 ) 135,265

Commercial Loans Held-for-Inves

Commercial Loans Held-for-Investment	3 Months Ended
	Mar. 31, 2016
Receivables [Abstract]
Commercial Loans Held-for-Investment	Commercial Loans Held-for-Investment The following table summarizes commercial loans held-for-investment as of March 31, 2016 and December 31, 2015 that were purchased or originated by the Company. March 31, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 10 278,162 (461 ) 277,701 Total 10 278,162 (461 ) 277,701 December 31, 2015 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 6 210,769 (1,707 ) 209,062 Total 6 210,769 (1,707 ) 209,062 These loans were not impaired, and no allowance for loan loss has been recorded as of March 31, 2016 and December 31, 2015 .

Other Assets

Other Assets	3 Months Ended
	Mar. 31, 2016
Schedule of Investments [Abstract]
Other Assets	Other Assets The following table summarizes the Company's other assets as of March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 December 31, 2015 FHLBI stock 75,375 75,375 Investments in unconsolidated ventures 39,541 38,413 Prepaid expenses 962 1,284 Total 115,878 115,072 IAS Services LLC, the Company's wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the Federal Home Loan Bank of Indianapolis ("FHLBI"). The stock is recorded at cost. The Company has invested in unconsolidated ventures that are managed by an affiliate of the Company's Manager. The unconsolidated ventures invest in the Company's target assets. Refer to Note 15 - "Commitments and Contingencies" for additional details regarding the Company's commitments to these unconsolidated ventures.

Borrowings

Borrowings	3 Months Ended
	Mar. 31, 2016
Debt Disclosure [Abstract]
Borrowings	Borrowings The Company has financed the majority of its investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following table summarizes certain characteristics of the Company’s borrowings at March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 December 31, 2015 Weighted Weighted Weighted Average Weighted Average Average Remaining Average Remaining Amount Interest Maturity Amount Interest Maturity Outstanding Rate (days) Outstanding Rate (days) Repurchase Agreements: Agency RMBS 7,916,802 0.66 % 16 8,389,643 0.65 % 24 Non-Agency RMBS 1,860,669 1.81 % 39 2,077,240 1.68 % 32 GSE CRT 396,753 2.07 % 38 488,275 1.91 % 19 CMBS 1,012,935 1.63 % 23 1,170,890 1.49 % 23 Secured Loans 1,650,000 0.68 % 2,957 1,650,000 0.55 % 2,937 Exchangeable Senior Notes (1) 400,000 5.00 % 714 400,000 5.00 % 805 Total 13,237,159 1.07 % 408 14,176,048 1.02 % 386 (1) The carrying value of exchangeable senior notes is $395.2 million and $394.6 million as of March 31, 2016 and December 31, 2015 , respectively. The carrying value is net of debt issuance costs of $4.8 million and $5.4 million as of March 31, 2016 and December 31, 2015 , respectively. Repurchase Agreements Repurchase agreements bear interest at a contractually agreed upon rate and have maturities ranging from one month to twelve months . Repurchase agreements are accounted for as secured borrowings since the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. The Company intends to maintain a level of liquidity that will enable the Company to meet margin calls. In addition, the repurchase agreements are subject to certain financial covenants. The Company was in compliance with these covenants at March 31, 2016 . The following tables summarize certain characteristics of the Company’s repurchase agreements at March 31, 2016 and December 31, 2015 . March 31, 2016 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,498,650 13.3 % 1,550,677 ING Financial Market LLC 1,084,730 9.7 % 1,159,981 Royal Bank of Canada 1,004,782 9.0 % 1,225,784 South Street Securities LLC 794,811 7.1 % 835,147 Industrial and Commercial Bank of China Financial Services LLC 698,273 6.2 % 736,743 Pierpont Securities LLC 672,291 6.0 % 700,740 JP Morgan Securities Inc. 601,806 5.4 % 702,519 Mitsubishi UFJ Securities (USA), Inc. 577,899 5.2 % 610,726 Scotia Capital 560,714 5.0 % 584,745 Citigroup Global Markets Inc. 461,318 4.1 % 583,809 BNP Paribas Securities Corp. 453,622 4.1 % 517,606 Goldman, Sachs & Co. 437,425 3.9 % 548,395 Wells Fargo Securities, LLC 388,085 3.5 % 465,418 KGS-Alpha Capital Markets, L.P. 375,376 3.4 % 395,307 Societe Generale 295,776 2.6 % 387,701 Morgan Stanley & Co. Incorporated 264,708 2.4 % 310,809 All other counterparties (1) 1,016,893 9.1 % 1,152,441 Total 11,187,159 100.0 % 12,468,548 (1) Represents amounts outstanding with ten counterparties. December 31, 2015 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,566,747 12.9 % 1,611,020 Royal Bank of Canada 1,148,480 9.5 % 1,383,839 ING Financial Market LLC 1,050,548 8.7 % 1,112,102 South Street Securities LLC 799,783 6.6 % 838,600 Pierpont Securities LLC 786,623 6.5 % 814,804 Industrial and Commercial Bank of China Financial Services LLC 695,933 5.7 % 730,941 Mitsubishi UFJ Securities (USA), Inc. 627,383 5.2 % 657,201 JP Morgan Securities Inc. 622,665 5.1 % 728,502 Citigroup Global Markets Inc. 585,632 4.8 % 725,882 Scotia Capital 576,137 4.8 % 598,343 BNP Paribas Securities Corp. 474,053 3.9 % 530,584 Wells Fargo Securities, LLC 463,673 3.8 % 551,667 Goldman, Sachs & Co. 428,799 3.5 % 552,549 KGS-Alpha Capital Markets, L.P. 380,286 3.1 % 400,758 Banc of America Securities LLC 380,520 3.1 % 442,801 Morgan Stanley & Co. Incorporated 273,124 2.3 % 320,484 Guggenheim Liquidity Services, LLC 265,709 2.2 % 279,345 All other counterparties 999,953 8.3 % 1,180,866 Total 12,126,048 100.0 % 13,460,288 (1) Represents amounts outstanding with nine counterparties. The Company's repurchase agreement collateral ratio (Company MBS and GSE CRTs Held as Collateral/Amount Outstanding) was 111% as of March 31, 2016 ( December 31, 2015 : 111% ). The Company posted cash of $710,000 ( December 31, 2015 : $710,000 ) with its repurchase agreement counterparties at March 31, 2016 . Cash margin posted by the Company is classified as due from counterparties. Secured Loans The Company's wholly-owned subsidiary, IAS Services LLC is a member of the FHLBI. As a member of the FHLBI, IAS Services LLC may borrow funds from the FHLBI in the form of secured advances. As of March 31, 2016 , IAS Services LLC, had $1.65 billion in outstanding secured advances from the FHLBI. These secured advances have floating rates. Floating rates are based on the three-month FHLB swap rate plus a spread. For the three months ended March 31, 2016 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 0.66% and a weighted average maturity of 8.10 years . The Federal Housing Finance Agency’s ("FHFA") final rule governing Federal Home Loan Bank membership (the “FHFA Rule”) was effective on February 19, 2016. The FHFA Rule, among other provisions, excludes captive insurance companies from membership eligibility. The FHFA Rule permits existing captive insurance companies, such as IAS Services LLC, to remain members for a period of five years following the effective date of the FHFA Rule. New advances or renewals that mature beyond the five year period are prohibited. As permitted by the FHFA Rule, the FHLBI has indicated it will honor the contractual maturity dates of existing advances to IAS Services LLC that were made prior to the effective date of the final FHFA Rule and extend beyond the five year period. The Company does not expect there to be any impact to its existing FHLBI borrowings under the FHFA rule. The ability to borrow from the FHLBI is subject to the Company's continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. As of March 31, 2016 , the FHLBI advances were collateralized by CMBS and Agency RMBS with a fair value of $ 1.4 billion and $ 588.0 million , respectively. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value. A reduction in the value of pledged assets would require IAS Services LLC to provide additional collateral. As discussed in Note 6 - "Other Assets," IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured advances from the FHLBI.

Derivatives and Hedging Activit

Derivatives and Hedging Activities	3 Months Ended
	Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives and Hedging Activities	Derivatives and Hedging Activities The following table presents information with respect to the Company's derivative instruments: $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaptions 300,000 — (300,000 ) — Interest Rate Swaps 11,450,000 — (4,550,000 ) 6,900,000 Currency Forward Contracts 76,324 79,821 (73,927 ) 82,218 Credit Derivatives 645,000 — (10,000 ) 635,000 Total 12,471,324 79,821 (4,933,927 ) 7,617,218 Credit Derivatives The Company's GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative and are reported at fair value. At March 31, 2016 and December 31, 2015 , terms of the GSE CRT embedded derivatives are: $ in thousand March 31, 2016 December 31, 2015 Fair value amount (22,706 ) (25,722 ) Notional amount 635,000 645,000 Maximum potential amount of future undiscounted payments 635,000 645,000 Interest Rate Swaps The Company's repurchase agreements are usually settled on a short-term basis ranging from one to twelve months. At each settlement date, the Company typically refinances each repurchase agreement at the market interest rate at that time. In addition, the Company's secured loans have floating interest rates. As such, the Company is exposed to changing interest rates. The Company’s objectives in using interest rate derivatives are to add stability to interest expense and to manage its exposures to interest rate movements. To accomplish this objective, the Company primarily uses interest rate swaps as part of its interest rate risk management strategy. Interest rate swaps involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. Effective December 31, 2013, the Company voluntarily discontinued cash flow hedge accounting for its interest rate swaps to gain greater flexibility in managing interest rate exposures. Amounts recorded in AOCI prior to the Company discontinuing cash flow hedge accounting for its interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. The Company reclassified $12.9 million ( March 31, 2015 : $19.1 million ) as an increase to interest expense for the three months ended March 31, 2016 . During the next 12 months, the Company estimates that $14.1 million will be reclassified as a decrease to interest expense, repurchase agreements. As of March 31, 2016 , the Company had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate Deutsche Bank AG 150,000 2/5/2018 2.90 % ING Capital Markets LLC 350,000 2/24/2018 0.95 % UBS AG 500,000 5/24/2018 1.10 % ING Capital Markets LLC 400,000 6/5/2018 0.87 % CME Central Clearing 300,000 2/5/2021 2.50 % CME Central Clearing 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 200,000 3/15/2021 3.14 % CME Central Clearing (1 ) 500,000 5/24/2021 2.25 % Citibank, N.A. 200,000 5/25/2021 2.83 % CME Central Clearing (2 ) 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 550,000 2/24/2022 2.45 % CME Central Clearing 1,000,000 6/9/2022 2.21 % The Royal Bank of Scotland Plc 500,000 8/15/2023 1.98 % CME Central Clearing 600,000 8/24/2023 2.88 % UBS AG 250,000 11/15/2023 2.23 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % CME Central Clearing 100,000 4/2/2025 2.04 % Total 6,900,000 2.16 % (1) Forward start date of May 2016 (2) Forward start date of June 2016 At March 31, 2016 , the Company’s counterparties held $233.2 million in cash margin deposits and approximately $174.4 million in Agency RMBS as collateral against its interest rate swaps. Cash margin posted by the Company is classified as due from counterparties, and cash margin posted by counterparties that are restricted in use, if any, is classified as restricted cash. As of March 31, 2016 and December 31, 2015 , the Company did not have any restricted cash. The Agency RMBS collateral posted by the Company is included in total mortgage-backed and credit risk transfer securities on the Company’s condensed consolidated balance sheets. Cash collateral that is not restricted for use by the Company is included in cash and cash equivalents and the liability to return the collateral is included in collateral held payable on the condensed consolidated balance sheets. Non-cash collateral posted by counterparties to the Company would be recognized if any counterparty defaults or if the Company sold the pledged collateral. As of March 31, 2016 and December 31, 2015 , the Company did not recognize any non-cash collateral held as collateral. Interest Rate Swaptions The Company has purchased interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of a portion of the Company’s investment portfolio (referred to as “convexity risk”). The interest rate swaptions provide the Company the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as a derivative asset in the Company’s condensed consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in gain (loss) on derivative instruments, net in the Company’s condensed consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would be equal to the premium paid. If the Company sells or exercises an interest rate swaption, the realized gain or loss on the interest rate swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. As of March 31, 2016 , we have no outstanding interest rate swaptions. The Company had $1.5 million and $4.7 million of realized loss for interest rate swaptions that expired unexercised during the three months ended March 31, 2016 and 2015 , respectively. For the three months ended March 31, 2016 and 2015 , the Company had $1.5 million and $3.7 million of unrealized gain, respectively, which represents the change in fair value of the Company's interest rate swaptions that are recognized directly in earnings. TBAs, Futures and Currency Forward Contracts The Company purchases or sells certain TBAs and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of the Company's portfolio. Realized and unrealized gains and losses associated with the purchase or sales of the TBAs and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments, net in the Company's condensed consolidated statements of operations. The Company uses currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on the Company's investments denominated in foreign currencies. Realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts are recognized in gain (loss) on derivative instruments, net in the Company's condensed consolidated statements of operations. Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of the Company’s derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2016 and December 31, 2015 . $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2016 As of December 31, 2015 As of March 31, 2016 As of December 31, 2015 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swap Asset — 6,795 Interest Rate Swap Liability 397,922 238,045 Currency Forward Contracts 702 1,864 Currency Forward Contracts 221 103 Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the consolidated balance sheets. The fair value of the embedded derivatives associated with the GSE CRTs is a net liability of $22.7 million as of March 31, 2016 ( December 31, 2015 : $25.7 million ). Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of the Company’s derivative financial instruments on the condensed consolidated statements of operations for the three months ended March 31, 2016 and 2015 . $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three months ended March 31, 2016 Three months ended CDS Contract Realized and unrealized credit derivative income (loss), net — (62 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 2,096 16,038 Total 2,096 15,976 The following table summarizes the effect of interest rate swaps, swaption contracts, TBAs, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2016 and 2015 : $ in thousands Three months ended March 31, 2016 Derivative not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (43,895 ) (29,091 ) (166,671 ) (239,657 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 2,395 — (1,281 ) 1,114 Total (42,985 ) (29,091 ) (166,467 ) (238,543 ) $ in thousands Three months ended March 31, 2015 Derivative not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (19,055 ) (45,608 ) (55,957 ) (120,620 ) Interest Rate Swaptions (4,688 ) — 3,679 (1,009 ) TBAs (2,292 ) — 558 (1,734 ) Futures Contracts (943 ) — (90 ) (1,033 ) Currency Forward Contracts 875 — 776 1,651 Total (26,103 ) (45,608 ) (51,034 ) (122,745 ) Credit-risk-related Contingent Features The Company has agreements with each of its bilateral derivative counterparties. Some of those agreements contain a provision whereby if the Company defaults on any of its indebtedness, including default whereby repayment of the indebtedness has not been accelerated by the lender, the Company could be declared in default on its derivative obligations. At March 31, 2016 , the fair value of derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to these agreements, was $171.8 million . The Company has minimum collateral posting thresholds with certain of its derivative counterparties and has posted collateral of $174.4 million of Agency RMBS and $233.2 million of cash as of March 31, 2016 . If the Company had breached any of these provisions at March 31, 2016 , it could have been required to settle its obligations under the agreements at their termination value. In addition, as of March 31, 2016 , the Company has an agreement with a central clearing counterparty. The fair value of such derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to this agreement, was $236.7 million . The Company was in compliance with all of the financial provisions of these counterparty agreements as of March 31, 2016 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	3 Months Ended
	Mar. 31, 2016
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of the Company's repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on the Company’s condensed consolidated balance sheets at March 31, 2016 and December 31, 2015 . Offsetting of Derivative Assets As of March 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount Derivatives 702 — 702 (702 ) — — Total 702 — 702 (702 ) — — Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of March 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3)(5) Collateral Posted (2)(4)(5) Net Amount Derivatives 398,143 — 398,143 (165,727 ) (228,178 ) 4,238 Repurchase Agreements 11,187,159 — 11,187,159 (11,187,159 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,235,302 — 13,235,302 (13,002,886 ) (228,178 ) 4,238 Offsetting of Derivative Assets As of December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount Derivatives 8,659 — 8,659 (4,142 ) (4,517 ) — Total 8,659 — 8,659 (4,142 ) (4,517 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3) Collateral Posted (2)(4) Net Amount Derivatives 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,014,196 — 14,014,196 (13,893,288 ) (109,299 ) 11,609 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2016 and December 31, 2015 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against the Company's borrowing under repurchase agreements was $12.5 billion and $13.5 billion at March 31, 2016 and December 31, 2015 , respectively. (4) No cash collateral was posted by the Company's derivative counterparties at March 31, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $233.2 million and $109.3 million at March 31, 2016 and December 31, 2015 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at March 31, 2016 and December 31, 2015 , respectively. No cash collateral was posted by the Company at March 31, 2016 and December 31, 2015 .

Fair Value of Financial Instrum

Fair Value of Financial Instruments	3 Months Ended
	Mar. 31, 2016
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. The three levels are defined as follows: • Level 1 Inputs – 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 – Instruments with primarily unobservable value drivers. The following tables present the Company's assets and liabilities measured at fair value on a recurring basis. March 31, 2016 Fair Value Measurements Using: Total at $ in thousands Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1) (2) — 15,156,772 (22,706 ) 15,134,066 Derivative assets — 702 — 702 Total assets — 15,157,474 (22,706 ) 15,134,768 Liabilities: Derivative liabilities — 398,143 — 398,143 Total liabilities — 398,143 — 398,143 December 31, 2015 Fair Value Measurements Using: Total at $ in thousands Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1) (2) — 16,091,657 (25,722 ) 16,065,935 Derivative assets — 8,659 — 8,659 Total assets — 16,100,316 (25,722 ) 16,074,594 Liabilities: Derivative liabilities — 238,148 — 238,148 Total liabilities — 238,148 — 238,148 (1) For more detail about the fair value of the Company's MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) The Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2016 , the net embedded derivative liability position of $22.7 million includes $2.0 million of embedded derivatives in an asset position and $24.7 million of embedded derivatives in a liability position. As of December 31, 2015 , the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position. The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's GSE CRT embedded derivatives, which the Company has valued utilizing Level 3 inputs: $ in thousands March 31, 2016 December 31, 2015 Beginning balance (25,722 ) (21,495 ) Sales and settlements 920 2,184 Total net gains / (losses) included in net income: Realized gains/(losses), net (920 ) (2,184 ) Unrealized gains/(losses), net 3,016 (4,227 ) Ending balance (22,706 ) (25,722 ) The following table summarizes significant unobservable inputs used in the fair value measurement of the Company's GSE CRT embedded derivative: Fair Value at Valuation Unobservable Weighted $ in thousands March 31, 2016 Technique Input Range Average GSE CRT Embedded Derivatives (22,706 ) Market Comparables Prepayment Rate 5.76% - 14.43% 7.85 % Vendor Pricing Default Rate 0.10% - 0.39% 0.16 % Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2015 Technique Input Range Average GSE CRT Embedded Derivatives (25,722 ) Market Comparables Prepayment Rate 5.72% - 14.37% 7.83 % Vendor Pricing Default Rate 0.10% - 0.35% 0.16 % These significant unobservable inputs change according to market conditions and security performance. Prepayment rate and default rate are used to estimate the maturity of GSE CRTs in order to identify GSE corporate debt with a similar maturity. Therefore, changes in prepayment rate and default rate do not have an explicit directional impact on the fair value measurement. The following table presents the carrying value and estimated fair value of the Company's financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2016 and December 31, 2015 : March 31, 2016 December 31, 2015 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 277,701 278,413 209,062 209,790 Other assets 115,878 115,878 115,072 115,072 Total 393,579 394,291 324,134 324,862 Financial Liabilities Repurchase agreements 11,187,159 11,187,194 12,126,048 12,133,252 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 395,187 378,000 394,573 376,500 Total 13,232,346 13,215,194 14,170,621 14,159,752 The following describes the Company’s methods for estimating the fair value for financial instruments. • The fair value of commercial loans held-for-investment is a Level 3 fair value measurement. New commercial loans are carried at their unpaid principal balance until the end of the calendar year in which they were originated or purchased unless market factors indicate cost may not be a reliable indicator of fair value. Subsequent to the year of origination or purchase, commercial loan investments are valued on at least an annual basis by an independent third party valuation agent using a discounted cash flow technique. • The fair value of FHLBI stock, included in "Other assets," is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at cost. As a result, the cost of the FHLBI stock approximates its fair value. At March 31, 2016 and December 31, 2015 , the fair value of FHLBI stock is $75.4 million and $75.4 million , respectively. • The fair value of investments in unconsolidated ventures, included in "Other assets," is a Level 3 fair value measurement. The fair value measurement is based on the net asset value per share of the Company's investments. At March 31, 2016 and December 31, 2015 , the fair value of investments in unconsolidated ventures is $39.5 million and $38.4 million , respectively. • The fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. • The fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value. • The fair value of the exchangeable senior notes issued is a Level 2 fair value measurement based on valuation obtained from a third-party pricing service.

Related Party Transactions

Related Party Transactions	3 Months Ended
	Mar. 31, 2016
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions The Company has invested $50.7 million and $47.4 million as of March 31, 2016 and December 31, 2015 , respectively, in money market or mutual funds managed by affiliates of the Company’s Manager. The investments are reported as cash and cash equivalents on the Company’s condensed consolidated balance sheets. Management Fee The Company pays its Manager a management fee equal to 1.50% of the Company’s stockholders’ equity per annum. The fee is calculated and payable quarterly in arrears. For purposes of calculating the management fee, stockholders’ equity is equal to the sum of the net proceeds from all issuances of equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid to repurchase common stock since inception. Stockholder's equity shall exclude (i) any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income); (ii) cumulative net realized losses that are not attributable to permanently impaired investments and that relate to the investments for which market movement is accounted for in other comprehensive income; provided, however, that such adjustment shall not exceed cumulative unrealized net gains in other comprehensive income; (iii) one-time events pursuant to changes in U.S. GAAP; and (iv) certain non-cash items after discussions between the Manager and the Company’s independent directors and approval by a majority of the Company’s independent directors. The Company does not pay any management fees on its investments in unconsolidated ventures that are managed by an affiliate of the Manager. For the three months ended March 31, 2016 , the Company incurred management fees of $9.5 million ( March 31, 2015 : $9.4 million ) of which $9.5 million ( March 31, 2015 : $9.3 million ) was accrued but had not been paid. Expense Reimbursement The Company is required to reimburse its Manager for Company operating expenses incurred on its behalf by the Manager, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. The Company’s reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs originally paid by the Manager, incurred on behalf of the Company for the three months ended March 31, 2016 and 2015 . Three Months Ended $ in thousands 2016 2015 Incurred costs, prepaid or expensed 1,782 642 Total incurred costs, originally paid by the Manager 1,782 642 The Company also pays the Manager a portion of the origination and commitment fees received from borrowers in connection with purchasing and originating commercial real estate loans. For the three months ended March 31, 2016 , the Company incurred $503,000 ( March 31, 2015 : $0 ) of costs related to such transactions. As of March 31, 2016, $132,000 ( March 31, 2015 : $0 ) had not been paid to the Manager. Termination Fee A termination fee is due to the Manager upon termination of the management agreement by the Company. The termination fee is equal to three times the sum of the average annual management fee earned by the Manager during the 24-month period before termination, calculated as of the end of the most recently completed fiscal quarter.

Stockholders' Equity

Stockholders' Equity	3 Months Ended
	Mar. 31, 2016
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity Securities Convertible into Shares of Common Stock The non-controlling interest holder of the Operating Partnership units, a wholly-owned Invesco subsidiary, has the right to cause the Operating Partnership to redeem their operating partnership ("OP Units") for cash equal to the market value of an equivalent number of shares of common stock, or at the Company’s option, the Company may purchase their OP Units by issuing one share of common stock for each OP Unit redeemed. The Company has also adopted an equity incentive plan which allows the Company to grant securities convertible into the Company’s common stock to its non-executive directors and employees of the Company's Manager and its affiliates. Common Stock During the three months ended March 31, 2016 , the Company issued 3,201 shares of common stock at an average price of $11.08 under its dividend reinvestment and stock purchase plan (the "DRSPP"). The Company received total proceeds of approximately $35,000 . Preferred Stock Holders of the Company’s Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. The dividends are cumulative and payable quarterly in arrears. Holders of the Company’s Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. The Company may elect to redeem shares of preferred stock at its option after July 26, 2017 (with respect to the Series A Preferred Stock) and after December 27, 2024 (with respect to the Series B Preferred Stock) for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. These shares are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve the Company's qualification as a REIT or upon the occurrence of a change in control. Share Repurchase Program In February 2016, the Company's board of directors authorized an additional share repurchase of up to 15,000,000 of its common shares with no expiration date. During the three months ended March 31, 2016 , the Company repurchased and concurrently retired 2,063,451 shares of its common stock at an average repurchase price of $12.12 per share for a net cost of $25.0 million , including acquisition expenses. As of March 31, 2016 , the Company had authority to purchase 18,239,082 additional shares of its common stock under its share repurchase program. The share repurchase program has no stated expiration date. Share-Based Compensation The Company has currently reserved 1,000,000 shares of common stock for issuance to its non-executive directors and officers and employees of the Manger and its affiliates under the terms of its 2009 Equity Incentive Plan (the "Incentive Plan"). Unless terminated earlier, the Incentive Plan will terminate in 2019 , but will continue to govern the unexpired awards. The Company recognized compensation expense of approximately $85,000 and $85,000 related to the Company's non-executive directors for the three months ended March 31, 2016 and 2015 , respectively. During the three months ended March 31, 2016 and 2015 , the Company issued 7,748 shares and 5,332 shares of stock, respectively, pursuant to the Incentive Plan to the Company’s non-executive directors. The fair market value of the shares granted was determined by the closing stock market price on the date of the grant. The grants vested immediately. The Company recognized compensation expense of approximately $32,000 and $70,000 for the three months ended March 31, 2016 and 2015 , respectively, related to awards to employees of the Manager and its affiliates which is reimbursed by the Manager under the management agreement. At March 31, 2016 there was approximately $541,000 of total unrecognized compensation cost related to certain share-based compensation awards that is expected to be recognized over a period of up to 47 months, with a weighted-average remaining vesting period of 23.5 months. The following table summarizes the activity related to restricted stock units to employees of the Manager and its affiliates for the three months ended March 31, 2016 . Three Months Ended March 31, 2016 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 40,814 $ 17.29 Shares granted during the period 21,099 11.28 Shares forfeited during the period — — Shares vested during the period (15,913 ) (17.66 ) Unvested at the end of the period 46,000 $ 14.40 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. Dividends On March 15, 2016 , the Company declared the following dividends: • a dividend of $0.40 per share of common stock to be paid on April 26, 2016 to stockholders of record as of the close of business on March 28, 2016 ; • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on April 25, 2016 to stockholders of record as of the close of business on April 1, 2016 ; and • a dividend of $0.4844 per share of Series B Preferred Stock to be paid on June 27, 2016 to stockholders of record as of the close of business on June 5, 2016 .

Earnings per Common Share

Earnings per Common Share	3 Months Ended
	Mar. 31, 2016
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three months ended March 31, 2016 and 2015 is computed as follows: Three Months Ended $ and share amounts in thousands 2016 2015 Numerator (Income) Basic Earnings Net loss available to common stockholders (157,305 ) (17,440 ) Effect of dilutive securities: Loss allocated to non-controlling interest (1,897 ) (136 ) Dilutive net income (loss) available to stockholders (159,202 ) (17,576 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 113,142 123,118 Effect of dilutive securities: OP units 1,425 1,425 Dilutive Shares 114,567 124,543 The following potential common shares were excluded from diluted earnings per common share for the three months ended March 31, 2016 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 42,344 for restricted stock awards. The following potential common shares were excluded from diluted earnings per common share for the three months ended March 31, 2015 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 46,003 for restricted stock awards.

Non-controlling Interest - Oper

Non-controlling Interest - Operating Partnership	3 Months Ended
	Mar. 31, 2016
Noncontrolling Interest [Abstract]
Non-controlling Interest - Operating Partnership	Non-controlling Interest - Operating Partnership Non-controlling interest represents the aggregate Operating Partnership Units in the Company's Operating Partnership held by a wholly-owned Invesco subsidiary. Income allocated to the non-controlling interest is based on the Unit Holders’ ownership percentage of the Operating Partnership. The ownership percentage is determined by dividing the number of OP Units held by the Unit Holders by the total number of dilutive shares of common stock. The issuance of common stock (“Share” or “Shares”) or OP Units changes the percentage ownership of both the Unit Holders and the holders of common stock. Since an OP unit is generally redeemable for cash or Shares at the option of the Company, it is deemed to be a Share equivalent. Therefore, such transactions are treated as capital transactions and result in an allocation between stockholders’ equity and non-controlling interest in the accompanying condensed consolidated balance sheets. As of March 31, 2016 and December 31, 2015 , non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.3% interest and 1.2% interest in the Operating Partnership, respectively. The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the three months ended March 31, 2016 and 2015 . Three Months Ended $ in thousands 2016 2015 Net loss allocated (1,897 ) (136 ) Distributions paid 570 641 As of March 31, 2016 and December 31, 2015 , distributions payable to the non-controlling interest were approximately $570,000 and $570,000 , respectively.

Commitments and Contingencies

Commitments and Contingencies	3 Months Ended
	Mar. 31, 2016
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. The Company's material off balance sheet commitments as of March 31, 2016 are discussed below. As discussed in Note 6 - "Other Assets", the Company has invested in unconsolidated ventures that are sponsored by an affiliate of the Company’s Manager. The unconsolidated ventures are structured as partnerships, and the Company invests in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of March 31, 2016 and December 31, 2015 , the Company’s undrawn capital and purchase commitments were $20.7 million and $21.1 million , respectively. As discussed in Note 5 - “Commercial Loans Held-for-Investment”, the Company purchases and originates commercial loans. As of March 31, 2016 and December 31, 2015 , the Company has unfunded commitments on commercial loans held-for-investment of $27.1 million and $2.1 million , respectively. The Company has entered into agreements with financial institutions to guarantee certain obligations of its subsidiaries. The Company would be required to perform under these guarantees in the event of certain defaults. The Company has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Subsequent Events

Subsequent Events	3 Months Ended
	Mar. 31, 2016
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events The Company has reviewed subsequent events occurring through the date that these condensed consolidated financial statements were issued, and determined that no subsequent events occurred that would require accrual or additional disclosure.

Summary of Significant Accoun24

Summary of Significant Accounting Policies (Policies)	3 Months Ended
	Mar. 31, 2016
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation and Consolidation Certain disclosures included in the Company’s Form 10-K are not required to be included on an interim basis in the Company’s quarterly reports on Form 10-Q. The Company has condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 .
Consolidation	In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair presentation of the financial condition and results of operations for the periods presented. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and its controlled subsidiaries. During the period from January 1, 2015 through December 9, 2015, the condensed consolidated financial statements also include the results of operations of certain residential loan securitization trusts (the "Residential Securitizations") that meet the definition of a VIE. On December 9, 2015, the Company completed the sale of certain beneficial interests in the Residential Securitizations and deconsolidated the Residential Securitizations.
Use of Estimates	Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.
Reclassifications	Reclassifications Certain prior period reported amounts have been reclassified to be consistent with the current presentation. Such reclassifications had no impact on net income or equity attributable to common stockholders.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements	Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements Effective January 1, 2016, the Company adopted the newly issued accounting guidance for presentation of debt issuance costs. Under the new standard, debt issuance costs are required to be presented in the consolidated balance sheets as a direct deduction from the carrying value of the associated debt liability. The Company adopted the accounting standard on a retrospective basis, which required the restatement of the Company's December 31, 2015 balance sheet. The adoption resulted in a $ 5.4 million reduction in exchangeable senior notes and a corresponding reduction in other assets. In August 2015, the FASB clarified the newly issued accounting guidance for debt issuance costs and stated that the SEC staff would not object to a company presenting debt issuance costs related to a line-of-credit arrangement on the balance sheet as a deferred asset, regardless of whether there were any outstanding borrowings at period-end. The Company did not have line of credit arrangements as of March 31, 2016 and December 31, 2015. Effective January 1, 2016, the Company adopted the newly issued accounting guidance for reporting entities that are required to determine whether they should consolidate certain legal entities. The Company adopted the accounting standard on a modified retrospective approach which did not require restatement of prior periods to conform to the post adoption presentation. The Company did not consolidate or deconsolidate any legal entities as a result of implementing the new guidance. In January 2016, the FASB issued guidance to improve certain aspects of classification and measurement of financial instruments, including significant revisions in accounting related to the classification and measurement of investments in equity securities and presentation of certain fair value changes for financial liabilities when the fair value option is elected. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its consolidated financial statements, as well as available transition methods.

Variable Interest Entities (Tab

Variable Interest Entities (Tables)	3 Months Ended
	Mar. 31, 2016
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Summary of Assets and Liabilities of Variable Interest Entities	The Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary at March 31, 2016 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency RMBS 2,384,965 2,384,965 CMBS 2,701,950 2,701,950 Investments in unconsolidated ventures 39,541 39,541 Total 5,126,456 5,126,456

Mortgage-Backed and Credit Ri26

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	3 Months Ended
	Mar. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	The components of the carrying value of the Company’s MBS and GSE CRT portfolio at March 31, 2016 and December 31, 2015 are presented below. $ in thousands March 31, 2016 December 31, 2015 Principal balance 18,671,274 19,810,113 Unamortized premium 468,153 495,537 Unamortized discount (4,263,910 ) (4,376,434 ) Gross unrealized gains 334,970 287,469 Gross unrealized losses (76,421 ) (150,750 ) Fair value 15,134,066 16,065,935 The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of March 31, 2016 and December 31, 2015 . March 31, 2016 $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) Agency RMBS: 15 year fixed-rate 1,472,653 68,699 1,541,352 23,813 1,565,165 3.71 % 2.53 % 2.40 % 30 year fixed-rate 3,661,911 239,352 3,901,263 64,988 3,966,251 4.23 % 2.96 % 2.97 % ARM * 400,744 4,344 405,088 8,561 413,649 2.72 % 2.63 % 2.42 % Hybrid ARM 2,944,182 54,561 2,998,743 41,983 3,040,726 2.72 % 2.54 % 2.28 % Total Agency pass-through 8,479,490 366,956 8,846,446 139,345 8,985,791 3.55 % 2.73 % 2.61 % Agency-CMO (4) 1,763,203 (1,365,561 ) 397,642 12,927 410,569 2.12 % 3.65 % 2.80 % Non-Agency RMBS (5)(6)(7) 4,587,878 (2,261,092 ) 2,326,786 58,179 2,384,965 2.15 % 4.01 % 4.68 % GSE CRT (8)(9) 647,500 21,811 669,311 (18,520 ) 650,791 1.33 % 0.73 % 0.85 % CMBS (10) 3,193,203 (557,871 ) 2,635,332 66,618 2,701,950 3.86 % 4.25 % 4.38 % Total 18,671,274 (3,795,757 ) 14,875,517 258,549 15,134,066 3.04 % 3.13 % 3.18 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of March 31, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of March 31, 2016 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.2% of principal (notional) balance, 24.4% of amortized cost and 25.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.4% variable rate, 46.8% fixed rate, and 6.8% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $271.7 million is non-accretable. (7) Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes GSE CRT not accounted for under the fair value option as the embedded derivative coupon interest is recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value. December 31, 2015 $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) Agency RMBS: 15 year fixed-rate 1,527,877 72,389 1,600,266 10,664 1,610,930 3.72 % 2.47 % 2.40 % 30 year fixed-rate 3,796,091 249,285 4,045,376 18,581 4,063,957 4.24 % 2.81 % 2.85 % ARM 417,424 4,625 422,049 3,976 426,025 2.72 % 2.58 % 2.26 % Hybrid ARM 3,240,967 63,324 3,304,291 5,234 3,309,525 2.73 % 2.56 % 2.22 % Total Agency pass-through 8,982,359 389,623 9,371,982 38,455 9,410,437 3.54 % 2.65 % 2.53 % Agency-CMO (4) 1,774,621 (1,386,284 ) 388,337 482 388,819 2.23 % 4.29 % 3.42 % Non-Agency RMBS (5)(6)(7) 4,965,978 (2,348,080 ) 2,617,898 74,589 2,692,487 2.20 % 4.00 % 4.80 % GSE CRT (8)(9) 657,500 22,593 680,093 (21,865 ) 658,228 1.32 % 0.72 % 0.62 % CMBS (10) 3,429,655 (558,749 ) 2,870,906 45,058 2,915,964 3.95 % 4.30 % 4.35 % Total 19,810,113 (3,880,897 ) 15,929,216 136,719 16,065,935 3.08 % 3.13 % 3.19 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield based on amortized cost as of December 31, 2015 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% o f principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value. (5) Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $281.6 million is non-accretable. (7) Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes GSE CRT not accounted for under the fair value option as the embedded derivative coupon interest is recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively.
Components of Non-Agency RMBS Portfolio by Asset Type	The following table summarizes the Company's non-Agency RMBS portfolio by asset type based on fair value as of March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 1,026,639 43.0 % 1,081,428 40.2 % Re-REMIC 492,945 20.8 % 663,853 24.7 % Alt-A 513,636 21.5 % 544,306 20.2 % Subprime/reperforming 351,745 14.7 % 402,900 14.9 % Total Non-Agency 2,384,965 100.0 % 2,692,487 100.0 %
Components of Senior Re-REMIC at Fair Value	The following table summarizes the credit enhancement provided to the Company's re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of March 31, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) March 31, 2016 December 31, 2015 0% - 10% 13.3 % 11.0 % 10% - 20% 7.0 % 5.6 % 20% - 30% 13.0 % 12.7 % 30% - 40% 16.2 % 20.8 % 40% - 50% 32.5 % 32.8 % 50% - 60% 15.4 % 13.3 % 60% - 70% 2.6 % 3.8 % Total 100.0 % 100.0 % (1) Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. 28.8% of the Company's Re-REMIC holdings are not senior tranches.
Fair Value of Mortgage-Backed Securities and GSE CRT Portfolio According to Weighted Average Life Classification	The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 December 31, 2015 Less than one year 301,799 427,678 Greater than one year and less than five years 8,651,266 6,237,547 Greater than or equal to five years 6,181,001 9,400,710 Total 15,134,066 16,065,935
Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time	The following tables present the estimated fair value and gross unrealized losses of the Company's MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at March 31, 2016 and December 31, 2015 . March 31, 2016 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 267,933 (814 ) 19 181,040 (969 ) 12 448,973 (1,783 ) 31 30 year fixed-rate 336,431 (3,863 ) 10 1,271,850 (18,519 ) 53 1,608,281 (22,382 ) 63 ARM 1,546 (13 ) 1 — — — 1,546 (13 ) 1 Hybrid ARM 327,101 (718 ) 14 — — — 327,101 (718 ) 14 Total Agency pass-through 933,011 (5,408 ) 44 1,452,890 (19,488 ) 65 2,385,901 (24,896 ) 109 Agency-CMO (1) 47,765 (1,107 ) 10 5,884 (1,775 ) 7 53,649 (2,882 ) 17 Non-Agency RMBS 774,913 (9,237 ) 58 281,308 (8,037 ) 22 1,056,221 (17,274 ) 80 GSE CRT (2) 426,242 (8,224 ) 14 112,988 (11,365 ) 4 539,230 (19,589 ) 18 CMBS 666,755 (11,190 ) 50 34,260 (590 ) 3 701,015 (11,780 ) 53 Total 2,848,686 (35,166 ) 176 1,887,330 (41,255 ) 101 4,736,016 (76,421 ) 277 (1) Fair value includes unrealized losses on Agency IO of $2.5 million and unrealized losses on CMO of $0.4 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. December 31, 2015 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 600,480 (8,081 ) 33 77,506 (1,482 ) 6 677,986 (9,563 ) 39 30 year fixed-rate 776,065 (14,827 ) 32 1,120,391 (39,497 ) 47 1,896,456 (54,324 ) 79 ARM 200,863 (501 ) 11 — — — 200,863 (501 ) 11 Hybrid ARM 1,913,872 (17,082 ) 111 — — — 1,913,872 (17,082 ) 111 Total Agency pass-through 3,491,280 (40,491 ) 187 1,197,897 (40,979 ) 53 4,689,177 (81,470 ) 240 Agency-CMO (1) 166,754 (3,296 ) 14 9,118 (6,934 ) 9 175,872 (10,230 ) 23 Non-Agency RMBS 832,978 (6,957 ) 73 331,018 (10,326 ) 28 1,163,996 (17,283 ) 101 GSE CRT (2) 340,116 (10,050 ) 16 120,877 (13,605 ) 7 460,993 (23,655 ) 23 CMBS 1,224,985 (17,328 ) 85 31,533 (784 ) 2 1,256,518 (18,112 ) 87 Total 6,056,113 (78,122 ) 375 1,690,443 (72,628 ) 99 7,746,556 (150,750 ) 474 (1) Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative.
Changes in other than temporary impairment included in earnings	The following table presents the changes in OTTI included in earnings for the three months ended March 31, 2016 and 2015 . $ in thousands Three Months Three Months Cumulative credit loss at beginning of period — — Additions: — Other-than-temporary impairments not previously recognized 5,683 — Cumulative credit loss at end of period 5,683 —
Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income	The following table presents the impact of the Company’s MBS and GSE CRT debt host contract on accumulated other comprehensive income (loss) for the three months ended March 31, 2016 and 2015 . The table excludes RMBS IOs and GSE CRTs that are accounted for under the fair value option. $ in thousands Three Months Three Months Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 162,081 351,774 Unrealized gain (loss) on MBS and GSE CRT 122,619 125,954 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (10,544 ) (2,934 ) Balance at the end of period 274,156 474,794
Realized Gain (Loss) on Investments	The following table summarizes the components of the Company's total gain (loss) on investments, net for the three months ended March 31, 2016 and 2015 . $ in thousands Three Months Three Months Gross realized gain on sale of investments 13,015 2,964 Gross realized loss on sale of investments (2,471 ) (30 ) Other-than-temporary credit impairment losses (5,683 ) — Net unrealized gain (loss) on RMBS IOs (fair value option) 6,676 (762 ) Net unrealized gain (loss) on GSE CRT (fair value option) 64 — Total gains (loss) on investments, net 11,601 2,172
Components of MBS and GSE CRT Interest Income	The following table presents components of interest income on the Company’s MBS and GSE CRT portfolio for the three months ended March 31, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded in realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 85,771 (24,185 ) 61,586 Non-Agency 25,849 2,685 28,534 GSE CRT 2,197 (767 ) 1,430 CMBS 32,264 (2,940 ) 29,324 Other 213 — 213 Total 146,294 (25,207 ) 121,087 For the three months ended March 31, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,372 (26,859 ) 67,513 Non-Agency 30,810 658 31,468 GSE CRT 1,568 (760 ) 808 CMBS 37,905 (2,428 ) 35,477 Other (1 ) — (1 ) Total 164,654 (29,389 ) 135,265

Commercial Loans Held-for-Inv27

Commercial Loans Held-for-Investment (Tables)	3 Months Ended
	Mar. 31, 2016
Receivables [Abstract]
Schedule of Commercial Loans Held-for-Investment	The following table summarizes commercial loans held-for-investment as of March 31, 2016 and December 31, 2015 that were purchased or originated by the Company. March 31, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 10 278,162 (461 ) 277,701 Total 10 278,162 (461 ) 277,701 December 31, 2015 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 6 210,769 (1,707 ) 209,062 Total 6 210,769 (1,707 ) 209,062

Other Assets (Tables)

Other Assets (Tables)	3 Months Ended
	Mar. 31, 2016
Schedule of Investments [Abstract]
Summary of Company's Other Investments	The following table summarizes the Company's other assets as of March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 December 31, 2015 FHLBI stock 75,375 75,375 Investments in unconsolidated ventures 39,541 38,413 Prepaid expenses 962 1,284 Total 115,878 115,072

Borrowings (Tables)

Borrowings (Tables)	3 Months Ended
	Mar. 31, 2016
Debt Disclosure [Abstract]
Schedule of Borrowings	The following table summarizes certain characteristics of the Company’s borrowings at March 31, 2016 and December 31, 2015 . $ in thousands March 31, 2016 December 31, 2015 Weighted Weighted Weighted Average Weighted Average Average Remaining Average Remaining Amount Interest Maturity Amount Interest Maturity Outstanding Rate (days) Outstanding Rate (days) Repurchase Agreements: Agency RMBS 7,916,802 0.66 % 16 8,389,643 0.65 % 24 Non-Agency RMBS 1,860,669 1.81 % 39 2,077,240 1.68 % 32 GSE CRT 396,753 2.07 % 38 488,275 1.91 % 19 CMBS 1,012,935 1.63 % 23 1,170,890 1.49 % 23 Secured Loans 1,650,000 0.68 % 2,957 1,650,000 0.55 % 2,937 Exchangeable Senior Notes (1) 400,000 5.00 % 714 400,000 5.00 % 805 Total 13,237,159 1.07 % 408 14,176,048 1.02 % 386 (1) The carrying value of exchangeable senior notes is $395.2 million and $394.6 million as of March 31, 2016 and December 31, 2015 , respectively. The carrying value is net of debt issuance costs of $4.8 million and $5.4 million as of March 31, 2016 and December 31, 2015 , respectively.
Schedule of Repurchase Agreements by Counterparties	The following tables summarize certain characteristics of the Company’s repurchase agreements at March 31, 2016 and December 31, 2015 . March 31, 2016 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,498,650 13.3 % 1,550,677 ING Financial Market LLC 1,084,730 9.7 % 1,159,981 Royal Bank of Canada 1,004,782 9.0 % 1,225,784 South Street Securities LLC 794,811 7.1 % 835,147 Industrial and Commercial Bank of China Financial Services LLC 698,273 6.2 % 736,743 Pierpont Securities LLC 672,291 6.0 % 700,740 JP Morgan Securities Inc. 601,806 5.4 % 702,519 Mitsubishi UFJ Securities (USA), Inc. 577,899 5.2 % 610,726 Scotia Capital 560,714 5.0 % 584,745 Citigroup Global Markets Inc. 461,318 4.1 % 583,809 BNP Paribas Securities Corp. 453,622 4.1 % 517,606 Goldman, Sachs & Co. 437,425 3.9 % 548,395 Wells Fargo Securities, LLC 388,085 3.5 % 465,418 KGS-Alpha Capital Markets, L.P. 375,376 3.4 % 395,307 Societe Generale 295,776 2.6 % 387,701 Morgan Stanley & Co. Incorporated 264,708 2.4 % 310,809 All other counterparties (1) 1,016,893 9.1 % 1,152,441 Total 11,187,159 100.0 % 12,468,548 (1) Represents amounts outstanding with ten counterparties. December 31, 2015 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,566,747 12.9 % 1,611,020 Royal Bank of Canada 1,148,480 9.5 % 1,383,839 ING Financial Market LLC 1,050,548 8.7 % 1,112,102 South Street Securities LLC 799,783 6.6 % 838,600 Pierpont Securities LLC 786,623 6.5 % 814,804 Industrial and Commercial Bank of China Financial Services LLC 695,933 5.7 % 730,941 Mitsubishi UFJ Securities (USA), Inc. 627,383 5.2 % 657,201 JP Morgan Securities Inc. 622,665 5.1 % 728,502 Citigroup Global Markets Inc. 585,632 4.8 % 725,882 Scotia Capital 576,137 4.8 % 598,343 BNP Paribas Securities Corp. 474,053 3.9 % 530,584 Wells Fargo Securities, LLC 463,673 3.8 % 551,667 Goldman, Sachs & Co. 428,799 3.5 % 552,549 KGS-Alpha Capital Markets, L.P. 380,286 3.1 % 400,758 Banc of America Securities LLC 380,520 3.1 % 442,801 Morgan Stanley & Co. Incorporated 273,124 2.3 % 320,484 Guggenheim Liquidity Services, LLC 265,709 2.2 % 279,345 All other counterparties 999,953 8.3 % 1,180,866 Total 12,126,048 100.0 % 13,460,288 (1) Represents amounts outstanding with nine counterparties.

Derivatives and Hedging Activ30

Derivatives and Hedging Activities (Tables)	3 Months Ended
	Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Outstanding Interest Rate Swaptions and Derivative Instrument Information	The following table presents information with respect to the Company's derivative instruments: $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaptions 300,000 — (300,000 ) — Interest Rate Swaps 11,450,000 — (4,550,000 ) 6,900,000 Currency Forward Contracts 76,324 79,821 (73,927 ) 82,218 Credit Derivatives 645,000 — (10,000 ) 635,000 Total 12,471,324 79,821 (4,933,927 ) 7,617,218
Schedule of Credit Derivatives	At March 31, 2016 and December 31, 2015 , terms of the GSE CRT embedded derivatives are: $ in thousand March 31, 2016 December 31, 2015 Fair value amount (22,706 ) (25,722 ) Notional amount 635,000 645,000 Maximum potential amount of future undiscounted payments 635,000 645,000
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges	As of March 31, 2016 , the Company had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate Deutsche Bank AG 150,000 2/5/2018 2.90 % ING Capital Markets LLC 350,000 2/24/2018 0.95 % UBS AG 500,000 5/24/2018 1.10 % ING Capital Markets LLC 400,000 6/5/2018 0.87 % CME Central Clearing 300,000 2/5/2021 2.50 % CME Central Clearing 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 200,000 3/15/2021 3.14 % CME Central Clearing (1 ) 500,000 5/24/2021 2.25 % Citibank, N.A. 200,000 5/25/2021 2.83 % CME Central Clearing (2 ) 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 550,000 2/24/2022 2.45 % CME Central Clearing 1,000,000 6/9/2022 2.21 % The Royal Bank of Scotland Plc 500,000 8/15/2023 1.98 % CME Central Clearing 600,000 8/24/2023 2.88 % UBS AG 250,000 11/15/2023 2.23 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % CME Central Clearing 100,000 4/2/2025 2.04 % Total 6,900,000 2.16 % (1) Forward start date of May 2016 (2) Forward start date of June 2016
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet	The table below presents the fair value of the Company’s derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of March 31, 2016 and December 31, 2015 . $ in thousands Derivative Assets Derivative Liabilities As of March 31, 2016 As of December 31, 2015 As of March 31, 2016 As of December 31, 2015 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swap Asset — 6,795 Interest Rate Swap Liability 397,922 238,045 Currency Forward Contracts 702 1,864 Currency Forward Contracts 221 103
Effect of Derivative Financial Instruments on Statement of Operations	The tables below present the effect of the Company’s derivative financial instruments on the condensed consolidated statements of operations for the three months ended March 31, 2016 and 2015 . $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three months ended March 31, 2016 Three months ended CDS Contract Realized and unrealized credit derivative income (loss), net — (62 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 2,096 16,038 Total 2,096 15,976 The following table summarizes the effect of interest rate swaps, swaption contracts, TBAs, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three months ended March 31, 2016 and 2015 : $ in thousands Three months ended March 31, 2016 Derivative not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (43,895 ) (29,091 ) (166,671 ) (239,657 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 2,395 — (1,281 ) 1,114 Total (42,985 ) (29,091 ) (166,467 ) (238,543 ) $ in thousands Three months ended March 31, 2015 Derivative not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (19,055 ) (45,608 ) (55,957 ) (120,620 ) Interest Rate Swaptions (4,688 ) — 3,679 (1,009 ) TBAs (2,292 ) — 558 (1,734 ) Futures Contracts (943 ) — (90 ) (1,033 ) Currency Forward Contracts 875 — 776 1,651 Total (26,103 ) (45,608 ) (51,034 ) (122,745 )

Offsetting Assets and Liabili31

Offsetting Assets and Liabilities (Tables)	3 Months Ended
	Mar. 31, 2016
Offsetting [Abstract]
Offsetting Derivative Assets	Offsetting of Derivative Assets As of March 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount Derivatives 702 — 702 (702 ) — — Total 702 — 702 (702 ) — — Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of March 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3)(5) Collateral Posted (2)(4)(5) Net Amount Derivatives 398,143 — 398,143 (165,727 ) (228,178 ) 4,238 Repurchase Agreements 11,187,159 — 11,187,159 (11,187,159 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,235,302 — 13,235,302 (13,002,886 ) (228,178 ) 4,238 Offsetting of Derivative Assets As of December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount Derivatives 8,659 — 8,659 (4,142 ) (4,517 ) — Total 8,659 — 8,659 (4,142 ) (4,517 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3) Collateral Posted (2)(4) Net Amount Derivatives 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,014,196 — 14,014,196 (13,893,288 ) (109,299 ) 11,609 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2016 and December 31, 2015 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against the Company's borrowing under repurchase agreements was $12.5 billion and $13.5 billion at March 31, 2016 and December 31, 2015 , respectively. (4) No cash collateral was posted by the Company's derivative counterparties at March 31, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $233.2 million and $109.3 million at March 31, 2016 and December 31, 2015 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at March 31, 2016 and December 31, 2015 , respectively. No cash collateral was posted by the Company at March 31, 2016 and December 31, 2015 .
Offsetting Derivative Liabilities	Offsetting of Derivative Assets As of March 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount Derivatives 702 — 702 (702 ) — — Total 702 — 702 (702 ) — — Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of March 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3)(5) Collateral Posted (2)(4)(5) Net Amount Derivatives 398,143 — 398,143 (165,727 ) (228,178 ) 4,238 Repurchase Agreements 11,187,159 — 11,187,159 (11,187,159 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,235,302 — 13,235,302 (13,002,886 ) (228,178 ) 4,238 Offsetting of Derivative Assets As of December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount Derivatives 8,659 — 8,659 (4,142 ) (4,517 ) — Total 8,659 — 8,659 (4,142 ) (4,517 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2015 Gross Amounts Not Offset in the Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3) Collateral Posted (2)(4) Net Amount Derivatives 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,014,196 — 14,014,196 (13,893,288 ) (109,299 ) 11,609 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2016 and December 31, 2015 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against the Company's borrowing under repurchase agreements was $12.5 billion and $13.5 billion at March 31, 2016 and December 31, 2015 , respectively. (4) No cash collateral was posted by the Company's derivative counterparties at March 31, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $233.2 million and $109.3 million at March 31, 2016 and December 31, 2015 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at March 31, 2016 and December 31, 2015 , respectively. No cash collateral was posted by the Company at March 31, 2016 and December 31, 2015 .

Fair Value of Financial Instr32

Fair Value of Financial Instruments (Tables)	3 Months Ended
	Mar. 31, 2016
Fair Value Disclosures [Abstract]
Fair Value Measured on Recurring Basis	The following tables present the Company's assets and liabilities measured at fair value on a recurring basis. March 31, 2016 Fair Value Measurements Using: Total at $ in thousands Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1) (2) — 15,156,772 (22,706 ) 15,134,066 Derivative assets — 702 — 702 Total assets — 15,157,474 (22,706 ) 15,134,768 Liabilities: Derivative liabilities — 398,143 — 398,143 Total liabilities — 398,143 — 398,143 December 31, 2015 Fair Value Measurements Using: Total at $ in thousands Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1) (2) — 16,091,657 (25,722 ) 16,065,935 Derivative assets — 8,659 — 8,659 Total assets — 16,100,316 (25,722 ) 16,074,594 Liabilities: Derivative liabilities — 238,148 — 238,148 Total liabilities — 238,148 — 238,148 (1) For more detail about the fair value of the Company's MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) The Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2016 , the net embedded derivative liability position of $22.7 million includes $2.0 million of embedded derivatives in an asset position and $24.7 million of embedded derivatives in a liability position. As of December 31, 2015 , the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position.
Embedded Derivatives Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's GSE CRT embedded derivatives, which the Company has valued utilizing Level 3 inputs: $ in thousands March 31, 2016 December 31, 2015 Beginning balance (25,722 ) (21,495 ) Sales and settlements 920 2,184 Total net gains / (losses) included in net income: Realized gains/(losses), net (920 ) (2,184 ) Unrealized gains/(losses), net 3,016 (4,227 ) Ending balance (22,706 ) (25,722 )
Embedded Derivatives Fair Value Inputs	The following table summarizes significant unobservable inputs used in the fair value measurement of the Company's GSE CRT embedded derivative: Fair Value at Valuation Unobservable Weighted $ in thousands March 31, 2016 Technique Input Range Average GSE CRT Embedded Derivatives (22,706 ) Market Comparables Prepayment Rate 5.76% - 14.43% 7.85 % Vendor Pricing Default Rate 0.10% - 0.39% 0.16 % Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2015 Technique Input Range Average GSE CRT Embedded Derivatives (25,722 ) Market Comparables Prepayment Rate 5.72% - 14.37% 7.83 % Vendor Pricing Default Rate 0.10% - 0.35% 0.16 %
Carrying Value and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of the Company's financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2016 and December 31, 2015 : March 31, 2016 December 31, 2015 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 277,701 278,413 209,062 209,790 Other assets 115,878 115,878 115,072 115,072 Total 393,579 394,291 324,134 324,862 Financial Liabilities Repurchase agreements 11,187,159 11,187,194 12,126,048 12,133,252 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 395,187 378,000 394,573 376,500 Total 13,232,346 13,215,194 14,170,621 14,159,752

Related Party Transactions (Tab

Related Party Transactions (Tables)	3 Months Ended
	Mar. 31, 2016
Related Party Transactions [Abstract]
Schedule of Related Party Transactions	The following table summarizes the costs originally paid by the Manager, incurred on behalf of the Company for the three months ended March 31, 2016 and 2015 . Three Months Ended $ in thousands 2016 2015 Incurred costs, prepaid or expensed 1,782 642 Total incurred costs, originally paid by the Manager 1,782 642

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	3 Months Ended
	Mar. 31, 2016
Equity [Abstract]
Schedule of Nonvested Restricted Stock Units Activity	The following table summarizes the activity related to restricted stock units to employees of the Manager and its affiliates for the three months ended March 31, 2016 . Three Months Ended March 31, 2016 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 40,814 $ 17.29 Shares granted during the period 21,099 11.28 Shares forfeited during the period — — Shares vested during the period (15,913 ) (17.66 ) Unvested at the end of the period 46,000 $ 14.40 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

Earnings per Common Share (Tabl

Earnings per Common Share (Tables)	3 Months Ended
	Mar. 31, 2016
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three months ended March 31, 2016 and 2015 is computed as follows: Three Months Ended $ and share amounts in thousands 2016 2015 Numerator (Income) Basic Earnings Net loss available to common stockholders (157,305 ) (17,440 ) Effect of dilutive securities: Loss allocated to non-controlling interest (1,897 ) (136 ) Dilutive net income (loss) available to stockholders (159,202 ) (17,576 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 113,142 123,118 Effect of dilutive securities: OP units 1,425 1,425 Dilutive Shares 114,567 124,543

Non-controlling Interest - Op36

Non-controlling Interest - Operating Partnership (Tables)	3 Months Ended
	Mar. 31, 2016
Noncontrolling Interest [Abstract]
Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests	The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the three months ended March 31, 2016 and 2015 . Three Months Ended $ in thousands 2016 2015 Net loss allocated (1,897 ) (136 ) Distributions paid 570 641

Organization and Business Ope37

Organization and Business Operations - Additional Information (Detail) - segment	3 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Organization And Business Operations
Ownership interest in Operating Partnership	98.70%
Ownership percentage in Operating Partnership	1.30%	1.20%
Number of operating segments	1
Minimum distribution percentage of taxable income to qualify for REIT	90.00%
Invesco Investments (Bermuda) Ltd
Organization And Business Operations
Ownership percentage in Operating Partnership	1.30%

Summary of Significant Accoun38

Summary of Significant Accounting Policies Summary of Significant Accounting Policies (Details) - Accounting Standards Update 2015-03 $ in Millions	Dec. 31, 2015USD ($)
Other assets
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	$ 5.4
Exchangeable senior notes
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Debt issuance costs	$ (5.4)

Variable Interest Entities - Ma

Variable Interest Entities - Maximum Risk of Loss (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Variable Interest Entity
Carrying Amount	$ 15,134,066	$ 16,065,935
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	5,126,456
Company's Maximum Risk of Loss	5,126,456
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	2,384,965
Company's Maximum Risk of Loss	2,384,965
Variable Interest Entity, Not Primary Beneficiary | CMBS
Variable Interest Entity
Carrying Amount	2,701,950
Company's Maximum Risk of Loss	2,701,950
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	39,541
Company's Maximum Risk of Loss	$ 39,541

Mortgage-Backed and Credit Ri40

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2016		Dec. 31, 2015
Schedule of Available-for-sale Securities
Principal balance	$ 18,671,274		$ 19,810,113
Unamortized premium (discount)	(3,795,757)		(3,880,897)
Amortized cost	14,875,517		15,929,216
Unrealized gain/ (loss), net	258,549		136,719
Fair value	$ 15,134,066		$ 16,065,935
Net weighted average coupon	3.04%	[1]	3.08%	[2]
Period-end weighted average yield	3.13%	[3]	3.13%	[4]
Quarterly weighted average yield	3.18%	[5]	3.19%	[6]
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	83.20%		84.40%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	24.40%		27.50%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	25.30%		27.60%
Unamortized premium (discount) non-accretable portion	$ (271,700)		$ (281,600)
Percentage of government sponsored enterprise credit risk transfer securities	1.90%		1.90%
Agency RMBS
Schedule of Available-for-sale Securities
Principal balance	$ 8,479,490		$ 8,982,359
Unamortized premium (discount)	366,956		389,623
Amortized cost	8,846,446		9,371,982
Unrealized gain/ (loss), net	139,345		38,455
Fair value	$ 8,985,791		$ 9,410,437
Net weighted average coupon	3.55%	[1]	3.54%	[2]
Period-end weighted average yield	2.73%	[3]	2.65%	[4]
Quarterly weighted average yield	2.61%	[5]	2.53%	[6]
Agency RMBS | 15 Year Fixed-Rate
Schedule of Available-for-sale Securities
Principal balance	$ 1,472,653		$ 1,527,877
Unamortized premium (discount)	68,699		72,389
Amortized cost	1,541,352		1,600,266
Unrealized gain/ (loss), net	23,813		10,664
Fair value	$ 1,565,165		$ 1,610,930
Net weighted average coupon	3.71%	[1]	3.72%	[2]
Period-end weighted average yield	2.53%	[3]	2.47%	[4]
Quarterly weighted average yield	2.40%	[5]	2.40%	[6]
Agency RMBS | 30 Year Fixed-Rate
Schedule of Available-for-sale Securities
Principal balance	$ 3,661,911		$ 3,796,091
Unamortized premium (discount)	239,352		249,285
Amortized cost	3,901,263		4,045,376
Unrealized gain/ (loss), net	64,988		18,581
Fair value	$ 3,966,251		$ 4,063,957
Net weighted average coupon	4.23%	[1]	4.24%	[2]
Period-end weighted average yield	2.96%	[3]	2.81%	[4]
Quarterly weighted average yield	2.97%	[5]	2.85%	[6]
Agency RMBS | ARM
Schedule of Available-for-sale Securities
Principal balance	$ 400,744		$ 417,424
Unamortized premium (discount)	4,344		4,625
Amortized cost	405,088		422,049
Unrealized gain/ (loss), net	8,561		3,976
Fair value	$ 413,649		$ 426,025
Net weighted average coupon	2.72%	[1]	2.72%	[2]
Period-end weighted average yield	2.63%	[3]	2.58%	[4]
Quarterly weighted average yield	2.42%	[5]	2.26%	[6]
Agency RMBS | Hybrid ARM
Schedule of Available-for-sale Securities
Principal balance	$ 2,944,182		$ 3,240,967
Unamortized premium (discount)	54,561		63,324
Amortized cost	2,998,743		3,304,291
Unrealized gain/ (loss), net	41,983		5,234
Fair value	$ 3,040,726		$ 3,309,525
Net weighted average coupon	2.72%	[1]	2.73%	[2]
Period-end weighted average yield	2.54%	[3]	2.56%	[4]
Quarterly weighted average yield	2.28%	[5]	2.22%	[6]
Agency-CMO
Schedule of Available-for-sale Securities
Principal balance	$ 1,763,203	[7]	$ 1,774,621	[8]
Unamortized premium (discount)	(1,365,561)	[7]	(1,386,284)	[8]
Amortized cost	397,642	[7]	388,337	[8]
Unrealized gain/ (loss), net	12,927	[7]	482	[8]
Fair value	$ 410,569	[7]	$ 388,819	[8]
Net weighted average coupon	2.12%	[1],[7]	2.23%	[2],[8]
Period-end weighted average yield	3.65%	[3],[7]	4.29%	[4],[8]
Quarterly weighted average yield	2.80%	[5],[7]	3.42%	[6],[8]
Non-Agency RMBS
Schedule of Available-for-sale Securities
Principal balance	$ 4,587,878	[9],[10],[11]	$ 4,965,978	[12],[13],[14]
Unamortized premium (discount)	(2,261,092)	[9],[10],[11]	(2,348,080)	[12],[13],[14]
Amortized cost	2,326,786	[9],[10],[11]	2,617,898	[12],[13],[14]
Unrealized gain/ (loss), net	58,179	[9],[10],[11]	74,589	[12],[13],[14]
Fair value	$ 2,384,965	[9],[10],[11]	$ 2,692,487	[12],[13],[14]
Net weighted average coupon	2.15%	[1],[9],[10],[11]	2.20%	[2],[12],[13],[14]
Period-end weighted average yield	4.01%	[3],[9],[10],[11]	4.00%	[4],[12],[13],[14]
Quarterly weighted average yield	4.68%	[5],[9],[10],[11]	4.80%	[6],[12],[13],[14]
Percentage of interest only securities	1.40%		1.30%
Non-Agency RMBS | Variable Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as variable rate	46.40%		48.40%
Non-Agency RMBS | Fixed Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as fixed rate	46.80%		45.20%
Non-Agency RMBS | Floating Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as floating rate	6.80%		6.40%
GSE CRT
Schedule of Available-for-sale Securities
Principal balance	$ 647,500	[15],[16]	$ 657,500	[17],[18]
Unamortized premium (discount)	21,811	[15],[16]	22,593	[17],[18]
Amortized cost	669,311	[15],[16]	680,093	[17],[18]
Unrealized gain/ (loss), net	(18,520)	[15],[16]	(21,865)	[17],[18]
Fair value	$ 650,791	[15],[16]	$ 658,228	[17],[18]
Net weighted average coupon	1.33%	[1],[15],[16]	1.32%	[2],[17],[18]
Period-end weighted average yield	0.73%	[3],[15],[16]	0.72%	[4],[17],[18]
Quarterly weighted average yield	0.85%	[5],[15],[16]	0.62%	[6],[17],[18]
CMBS
Schedule of Available-for-sale Securities
Principal balance	$ 3,193,203	[19]	$ 3,429,655	[20]
Unamortized premium (discount)	(557,871)	[19]	(558,749)	[20]
Amortized cost	2,635,332	[19]	2,870,906	[20]
Unrealized gain/ (loss), net	66,618	[19]	45,058	[20]
Fair value	$ 2,701,950	[19]	$ 2,915,964	[20]
Net weighted average coupon	3.86%	[1],[19]	3.95%	[2],[20]
Period-end weighted average yield	4.25%	[3],[19]	4.30%	[4],[20]
Quarterly weighted average yield	4.38%	[5],[19]	4.35%	[6],[20]
Percentage of interest only securities	0.90%		0.90%
Commercial Real Estate | CMBS
Schedule of Available-for-sale Securities
Percentage of commercial real estate mezzanine loan pass-through certificates			0.70%
[1]	Net weighted average coupon as of March 31, 2016 is presented net of servicing and other fees.
[2]	Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees.
[3]	Period-end weighted average yield is based on amortized cost as of March 31, 2016 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates.
[4]	Period-end weighted average yield based on amortized cost as of December 31, 2015 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates.
[5]	Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized.
[6]	Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized.
[7]	Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.2% of principal (notional) balance, 24.4% of amortized cost and 25.3% of fair value.
[8]	Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% of principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value.
[9]	Non-Agency RMBS held by the Company is 46.4% variable rate, 46.8% fixed rate, and 6.8% floating rate based on fair value.
[10]	Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value.
[11]	Of the total discount in non-Agency RMBS, $271.7 million is non-accretable.
[12]	Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value.
[13]	Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value.
[14]	Of the total discount in non-Agency RMBS, $281.6 million is non-accretable.
[15]	GSE CRT weighted average coupon and weighted average yield excludes GSE CRT not accounted for under the fair value option as the embedded derivative coupon interest is recorded as realized and unrealized credit derivative income (loss), net.
[16]	The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative.
[17]	GSE CRT weighted average coupon and weighted average yield excludes GSE CRT not accounted for under the fair value option as the embedded derivative coupon interest is recorded as realized and unrealized credit derivative income (loss), net.
[18]	The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative.
[19]	CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value.
[20]	CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively.

Mortgage-Backed and Credit Ri41

Mortgage-Backed and Credit Risk Transfer Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) - USD ($) $ in Thousands	3 Months Ended		12 Months Ended
	Mar. 31, 2016		Dec. 31, 2015
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value	$ 15,134,066		$ 16,065,935
Non-Agency RMBS
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value	$ 2,384,965	[1],[2],[3]	$ 2,692,487	[4],[5],[6]
% of Non-Agency	100.00%		100.00%
Non-Agency RMBS | Prime
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value	$ 1,026,639		$ 1,081,428
% of Non-Agency	43.00%		40.20%
Non-Agency RMBS | Re-Remic
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value	$ 492,945		$ 663,853
% of Non-Agency	20.80%		24.70%
Non-Agency RMBS | Alt-A
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value	$ 513,636		$ 544,306
% of Non-Agency	21.50%		20.20%
Non-Agency RMBS | Subprime/Reperforming
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value	$ 351,745		$ 402,900
% of Non-Agency	14.70%		14.90%
[1]	Non-Agency RMBS held by the Company is 46.4% variable rate, 46.8% fixed rate, and 6.8% floating rate based on fair value.
[2]	Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value.
[3]	Of the total discount in non-Agency RMBS, $271.7 million is non-accretable.
[4]	Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value.
[5]	Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value.
[6]	Of the total discount in non-Agency RMBS, $281.6 million is non-accretable.

Mortgage-Backed and Credit Ri42

Mortgage-Backed and Credit Risk Transfer Securities - Components of Senior Re-REMIC at Fair Value (Detail)		3 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	100.00%	100.00%
Re-REMIC holdings that are not senior class (percentage)		28.80%
Re-REMIC 0-10
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	13.30%	11.00%
Re-REMIC 10-20
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	7.00%	5.60%
Re-REMIC 20-30
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	13.00%	12.70%
Re-REMIC 30-40
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	16.20%	20.80%
Re-REMIC 40-50
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	32.50%	32.80%
Re-REMIC 50-60
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	15.40%	13.30%
Re-REMIC 60-70
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	2.60%	3.80%
[1]	Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. 28.8% of the Company's Re-REMIC holdings are not senior tranches.

Mortgage-Backed and Credit Ri43

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of Investment Portfolio (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Principal balance	$ 18,671,274	$ 19,810,113
Unamortized premium	468,153	495,537
Unamortized discount	(4,263,910)	(4,376,434)
Gross unrealized gains	334,970	287,469
Gross unrealized losses	(76,421)	(150,750)
Fair value	$ 15,134,066	$ 16,065,935

Mortgage-Backed and Credit Ri44

Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 301,799	$ 427,678
Greater than one year and less than five years	8,651,266	6,237,547
Greater than or equal to five years	6,181,001	9,400,710
Fair value	$ 15,134,066	$ 16,065,935

Mortgage-Backed and Credit Ri45

Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands	Mar. 31, 2016USD ($)security		Dec. 31, 2015USD ($)security
Fair Value
Less than 12 months	$ 2,848,686		$ 6,056,113
12 months or more	1,887,330		1,690,443
Total	4,736,016		7,746,556
Unrealized Losses
Less than 12 months	(35,166)		(78,122)
12 months or more	(41,255)		(72,628)
Total	$ (76,421)		$ (150,750)
Number of Securities
Less than 12 months | security	176		375
12 months or more | security	101		99
Total | security	277		474
Agency RMBS
Fair Value
Less than 12 months	$ 933,011		$ 3,491,280
12 months or more	1,452,890		1,197,897
Total	2,385,901		4,689,177
Unrealized Losses
Less than 12 months	(5,408)		(40,491)
12 months or more	(19,488)		(40,979)
Total	$ (24,896)		$ (81,470)
Number of Securities
Less than 12 months | security	44		187
12 months or more | security	65		53
Total | security	109		240
Agency RMBS | 15 Year Fixed-Rate
Fair Value
Less than 12 months	$ 267,933		$ 600,480
12 months or more	181,040		77,506
Total	448,973		677,986
Unrealized Losses
Less than 12 months	(814)		(8,081)
12 months or more	(969)		(1,482)
Total	$ (1,783)		$ (9,563)
Number of Securities
Less than 12 months | security	19		33
12 months or more | security	12		6
Total | security	31		39
Agency RMBS | 30 Year Fixed-Rate
Fair Value
Less than 12 months	$ 336,431		$ 776,065
12 months or more	1,271,850		1,120,391
Total	1,608,281		1,896,456
Unrealized Losses
Less than 12 months	(3,863)		(14,827)
12 months or more	(18,519)		(39,497)
Total	$ (22,382)		$ (54,324)
Number of Securities
Less than 12 months | security	10		32
12 months or more | security	53		47
Total | security	63		79
Agency RMBS | ARM
Fair Value
Less than 12 months	$ 1,546		$ 200,863
12 months or more	0		0
Total	1,546		200,863
Unrealized Losses
Less than 12 months	(13)		(501)
12 months or more	0		0
Total	$ (13)		$ (501)
Number of Securities
Less than 12 months | security	1		11
12 months or more | security	0		0
Total | security	1		11
Agency RMBS | Hybrid ARM
Fair Value
Less than 12 months	$ 327,101		$ 1,913,872
12 months or more	0		0
Total	327,101		1,913,872
Unrealized Losses
Less than 12 months	(718)		(17,082)
12 months or more	0		0
Total	$ (718)		$ (17,082)
Number of Securities
Less than 12 months | security	14		111
12 months or more | security	0		0
Total | security	14		111
Agency-CMO
Fair Value
Less than 12 months	$ 47,765	[1]	$ 166,754	[2]
12 months or more	5,884	[1]	9,118	[2]
Total	53,649	[1]	175,872	[2]
Unrealized Losses
Less than 12 months	(1,107)	[1]	(3,296)	[2]
12 months or more	(1,775)	[1]	(6,934)	[2]
Total	$ (2,882)	[1]	$ (10,230)	[2]
Number of Securities
Less than 12 months | security	10	[1]	14	[2]
12 months or more | security	7	[1]	9	[2]
Total | security	17	[1]	23	[2]
Agency IO
Unrealized Losses
Total	$ (2,500)		$ (8,300)
CMO
Unrealized Losses
Total	(400)		(1,900)
Non-Agency RMBS
Fair Value
Less than 12 months	774,913		832,978
12 months or more	281,308		331,018
Total	1,056,221		1,163,996
Unrealized Losses
Less than 12 months	(9,237)		(6,957)
12 months or more	(8,037)		(10,326)
Total	$ (17,274)		$ (17,283)
Number of Securities
Less than 12 months | security	58		73
12 months or more | security	22		28
Total | security	80		101
GSE CRT
Fair Value
Less than 12 months	$ 426,242	[3]	$ 340,116	[4]
12 months or more	112,988	[3]	120,877	[4]
Total	539,230	[3]	460,993	[4]
Unrealized Losses
Less than 12 months	(8,224)	[3]	(10,050)	[4]
12 months or more	(11,365)	[3]	(13,605)	[4]
Total	$ (19,589)	[3]	$ (23,655)	[4]
Number of Securities
Less than 12 months | security	14	[3]	16	[4]
12 months or more | security	4	[3]	7	[4]
Total | security	18	[3]	23	[4]
CMBS
Fair Value
Less than 12 months	$ 666,755		$ 1,224,985
12 months or more	34,260		31,533
Total	701,015		1,256,518
Unrealized Losses
Less than 12 months	(11,190)		(17,328)
12 months or more	(590)		(784)
Total	$ (11,780)		$ (18,112)
Number of Securities
Less than 12 months | security	50		85
12 months or more | security	3		2
Total | security	53		87
[1]	includes unrealized losses on Agency IO of $2.5 million and unrealized losses on CMO of $0.4 million.
[2]	includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million.
[3]	includes unrealized losses on both the debt host contract and the embedded derivative.
[4]	includes unrealized losses on both the debt host contract and the embedded derivative.

Mortgage-Backed and Credit Ri46

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Schedule of Available-for-sale Securities
Gross unrealized losses	$ 76,421		$ 150,750
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(10,544)	$ (2,934)
CMO
Schedule of Available-for-sale Securities
Gross unrealized losses	400
Agency RMBS
Schedule of Available-for-sale Securities
Gross unrealized losses	24,900
Agency-IO, Non-Agency RMBS, GSE CRT and CMBS
Schedule of Available-for-sale Securities
Gross unrealized losses	$ 51,100

Mortgage-Backed and Credit Ri47

Mortgage-Backed and Credit Risk Transfer Securities - OTTI Rollforward (Details) - USD ($)	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss at beginning of period	$ 0	$ 0
Additions:
Other-than-temporary impairments not previously recognized	5,683,000	0
Cumulative credit loss at end of period	5,683,000	0
Other-than-temporary credit impairment losses	$ 5,683,000	$ 0

Mortgage-Backed and Credit Ri48

Mortgage-Backed and Credit Risk Transfer Securities - Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward]
Unrealized gain (loss) on MBS and GSE CRT at beginning of period	$ 162,081	$ 351,774
Unrealized gain (loss) on MBS and GSE CRT	122,619	125,954
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(10,544)	(2,934)
Unrealized gain (loss) on MBS and GSE CRT at end of period	$ 274,156	$ 474,794

Mortgage-Backed and Credit Ri49

Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($)	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Schedule of Available-for-sale Securities
Gross realized gain on sale of investments	$ 13,015,000	$ 2,964,000
Gross realized loss on sale of investments	(2,471,000)	(30,000)
Other-than-temporary credit impairment losses	(5,683,000)	0
Total gains (loss) on investments, net	11,601,000	2,172,000
RMBS IOs
Schedule of Available-for-sale Securities
Net unrealized gain (loss)	6,676,000	(762,000)
GSE CRT
Schedule of Available-for-sale Securities
Net unrealized gain (loss)	$ 64,000	$ 0

Mortgage-Backed and Credit Ri50

Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Schedule of Available-for-sale Securities
Coupon Interest	$ 146,294	$ 164,654
Net (Premium Amortization)/Discount Accretion	(25,207)	(29,389)
Interest Income	121,087	135,265
Agency RMBS
Schedule of Available-for-sale Securities
Coupon Interest	85,771	94,372
Net (Premium Amortization)/Discount Accretion	(24,185)	(26,859)
Interest Income	61,586	67,513
Non-Agency RMBS
Schedule of Available-for-sale Securities
Coupon Interest	25,849	30,810
Net (Premium Amortization)/Discount Accretion	2,685	658
Interest Income	28,534	31,468
GSE CRT
Schedule of Available-for-sale Securities
Coupon Interest	2,197	1,568
Net (Premium Amortization)/Discount Accretion	(767)	(760)
Interest Income	1,430	808
CMBS
Schedule of Available-for-sale Securities
Coupon Interest	32,264	37,905
Net (Premium Amortization)/Discount Accretion	(2,940)	(2,428)
Interest Income	29,324	35,477
Other
Schedule of Available-for-sale Securities
Coupon Interest	213	(1)
Net (Premium Amortization)/Discount Accretion	0	0
Interest Income	$ 213	$ (1)

Commercial Loans Held-for-Inv51

Commercial Loans Held-for-Investment - Schedule of Commercial Loans Held-for-Investment(Details) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016USD ($)loan	Dec. 31, 2015USD ($)loan
Accounts, Notes, Loans and Financing Receivable
Carrying value	$ 277,701	$ 209,062
Commercial Portfolio Segment
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan	10	6
Principal balance	$ 278,162	$ 210,769
Unamortized (fees)/ costs, net	(461)	(1,707)
Carrying value	$ 277,701	$ 209,062
Commercial Portfolio Segment | Mezzanine Loans
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan	10	6
Principal balance	$ 278,162	$ 210,769
Unamortized (fees)/ costs, net	(461)	(1,707)
Carrying value	$ 277,701	$ 209,062

Other Assets - Summary of Compa

Other Assets - Summary of Company's Other Investments (Details) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Schedule of Investments [Abstract]
FHLBI stock	$ 75,375	$ 75,375
Investments in unconsolidated ventures	39,541	38,413
Prepaid expenses	962	1,284
Total	$ 115,878	$ 115,072

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands		3 Months Ended	12 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Secured Loans
Amount outstanding		$ 1,650,000	$ 1,650,000
Total
Carrying value of exchangeable senior notes		395,187	394,573
Agency RMBS
Repurchase Agreements
Amount outstanding		$ 7,916,802	$ 8,389,643
Weighted average interest rate (percent)		0.66%	0.65%
Weighted average remaining maturity (days)		16 days	24 days
Non-Agency RMBS
Repurchase Agreements
Amount outstanding		$ 1,860,669	$ 2,077,240
Weighted average interest rate (percent)		1.81%	1.68%
Weighted average remaining maturity (days)		39 days	32 days
GSE CRT
Repurchase Agreements
Amount outstanding		$ 396,753	$ 488,275
Weighted average interest rate (percent)		2.07%	1.91%
Weighted average remaining maturity (days)		38 days	19 days
CMBS
Repurchase Agreements
Amount outstanding		$ 1,012,935	$ 1,170,890
Weighted average interest rate (percent)		1.63%	1.49%
Weighted average remaining maturity (days)		23 days	23 days
Secured Loans
Secured Loans
Amount outstanding		$ 1,650,000	$ 1,650,000
Weighted average interest rate (percent)		0.68%	0.55%
Weighted average remaining maturity (days)		2957 days	2937 days
Exchangeable Senior Notes
Exchangeable Senior Notes
Amount outstanding	[1]	$ 400,000	$ 400,000
Weighted average interest rate (percent)	[1]	5.00%	5.00%
Weighted average remaining maturity (days)	[1]	714 days	805 days
Total
Debt issuance costs		$ 4,800	$ 5,400
Secured Debt, Excluding Asset-Backed Securities
Total
Amount outstanding		$ 13,237,159	$ 14,176,048
Weighted average interest rate (percent)		1.07%	1.02%
Weighted average remaining maturity (days)		408 days	386 days
[1]	The carrying value of exchangeable senior notes is $395.2 million and $394.6 million as of March 31, 2016 and December 31, 2015, respectively. The carrying value is net of debt issuance costs of $4.8 million and $5.4 million as of March 31, 2016 and December 31, 2015, respectively.

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Repurchase Agreement Counterparty
Collateral ratio	111.00%	111.00%
Cash margin deposits	$ 233,200	$ 109,300
Outstanding secured advances from FHLBI	1,650,000	1,650,000
Agency RMBS
Repurchase Agreement Counterparty
Cash margin deposits	174,400
Repurchase Agreements
Repurchase Agreement Counterparty
Cash margin deposits	$ 710,000	$ 710,000
Minimum
Repurchase Agreement Counterparty
Repurchase obligation maturity	1 month
Maximum
Repurchase Agreement Counterparty
Repurchase obligation maturity	12 months
Federal Home Loan Bank of Indianapolis
Repurchase Agreement Counterparty
Outstanding secured advances from FHLBI	$ 1,650,000
Average outstanding borrowings from FHLBI	$ 1,650,000
FHLBI weighted average interest rate on advances	0.66%
Weighted average maturity (in years)	8 years 1 month 7 days
Residential Loans Held as Collateral | Federal Home Loan Bank of Indianapolis | CMBS
Repurchase Agreement Counterparty
Collateral pledged against secured loans	$ 1,400,000
Residential Loans Held as Collateral | Federal Home Loan Bank of Indianapolis | Agency RMBS
Repurchase Agreement Counterparty
Collateral pledged against secured loans	$ 588,000

Borrowings - Repurchase Agreeme

Borrowings - Repurchase Agreements (Detail) $ in Thousands	3 Months Ended
	Mar. 31, 2016USD ($)counterparties		Mar. 31, 2015counterparties	Dec. 31, 2015USD ($)
Repurchase Agreement Counterparty
Amount Outstanding	$ 11,187,159			$ 12,126,048
Percent of Total Amount Outstanding	100.00%			100.00%
Company MBS and GSE CRTs Held as Collateral	$ 12,468,548			$ 13,460,288
Number of counterparties | counterparties	10		9
HSBC Securities (USA) Inc
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,498,650			$ 1,566,747
Percent of Total Amount Outstanding	13.30%			12.90%
Company MBS and GSE CRTs Held as Collateral	$ 1,550,677			$ 1,611,020
ING Financial Market LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,084,730			$ 1,050,548
Percent of Total Amount Outstanding	9.70%			8.70%
Company MBS and GSE CRTs Held as Collateral	$ 1,159,981			$ 1,112,102
Royal Bank of Canada
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,004,782			$ 1,148,480
Percent of Total Amount Outstanding	9.00%			9.50%
Company MBS and GSE CRTs Held as Collateral	$ 1,225,784			$ 1,383,839
South Street Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 794,811			$ 799,783
Percent of Total Amount Outstanding	7.10%			6.60%
Company MBS and GSE CRTs Held as Collateral	$ 835,147			$ 838,600
Industrial and Commercial Bank of China Financial Services LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 698,273			$ 695,933
Percent of Total Amount Outstanding	6.20%			5.70%
Company MBS and GSE CRTs Held as Collateral	$ 736,743			$ 730,941
Pierpont Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 672,291			$ 786,623
Percent of Total Amount Outstanding	6.00%			6.50%
Company MBS and GSE CRTs Held as Collateral	$ 700,740			$ 814,804
JP Morgan Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 601,806			$ 622,665
Percent of Total Amount Outstanding	5.40%			5.10%
Company MBS and GSE CRTs Held as Collateral	$ 702,519			$ 728,502
Mitsubishi UFJ Securities (USA), Inc
Repurchase Agreement Counterparty
Amount Outstanding	$ 577,899			$ 627,383
Percent of Total Amount Outstanding	5.20%			5.20%
Company MBS and GSE CRTs Held as Collateral	$ 610,726			$ 657,201
Scotia Capital
Repurchase Agreement Counterparty
Amount Outstanding	$ 560,714			$ 576,137
Percent of Total Amount Outstanding	5.00%			4.80%
Company MBS and GSE CRTs Held as Collateral	$ 584,745			$ 598,343
Citigroup Global Markets Inc
Repurchase Agreement Counterparty
Amount Outstanding	$ 461,318			$ 585,632
Percent of Total Amount Outstanding	4.10%			4.80%
Company MBS and GSE CRTs Held as Collateral	$ 583,809			$ 725,882
BNP Paribas Securities Corp
Repurchase Agreement Counterparty
Amount Outstanding	$ 453,622			$ 474,053
Percent of Total Amount Outstanding	4.10%			3.90%
Company MBS and GSE CRTs Held as Collateral	$ 517,606			$ 530,584
Guggenheim Liquidity Services, LLC
Repurchase Agreement Counterparty
Amount Outstanding				$ 265,709
Percent of Total Amount Outstanding				2.20%
Company MBS and GSE CRTs Held as Collateral				$ 279,345
Goldman, Sachs & Co
Repurchase Agreement Counterparty
Amount Outstanding	$ 437,425			$ 428,799
Percent of Total Amount Outstanding	3.90%			3.50%
Company MBS and GSE CRTs Held as Collateral	$ 548,395			$ 552,549
Wells Fargo Securities, LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 388,085			$ 463,673
Percent of Total Amount Outstanding	3.50%			3.80%
Company MBS and GSE CRTs Held as Collateral	$ 465,418			$ 551,667
Banc of America Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding				$ 380,520
Percent of Total Amount Outstanding				3.10%
Company MBS and GSE CRTs Held as Collateral				$ 442,801
KGS Alpha Capital Markets LP
Repurchase Agreement Counterparty
Amount Outstanding	$ 375,376			$ 380,286
Percent of Total Amount Outstanding	3.40%			3.10%
Company MBS and GSE CRTs Held as Collateral	$ 395,307			$ 400,758
Societe Generale
Repurchase Agreement Counterparty
Amount Outstanding	$ 295,776
Percent of Total Amount Outstanding	2.60%
Company MBS and GSE CRTs Held as Collateral	$ 387,701
Morgan Stanley & Co. Incorporated
Repurchase Agreement Counterparty
Amount Outstanding	$ 264,708			$ 273,124
Percent of Total Amount Outstanding	2.40%			2.30%
Company MBS and GSE CRTs Held as Collateral	$ 310,809			$ 320,484
All Other Counterparties
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,016,893	[1]		$ 999,953	[2]
Percent of Total Amount Outstanding	9.10%	[1]		8.30%	[2]
Company MBS and GSE CRTs Held as Collateral	$ 1,152,441	[1]		$ 1,180,866	[2]
[1]	Represents amounts outstanding with ten counterparties.
[2]	Represents amounts outstanding with nine counterparties.

Derivatives and Hedging Activ56

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail)	3 Months Ended
	Mar. 31, 2016USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	$ 12,471,324,000
Additions	79,821,000
Settlement, Termination, Expiration or Exercise	(4,933,927,000)
Notional Amount as of March 31, 2016	7,617,218,000
Interest Rate Swaptions
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	300,000,000
Additions	0
Settlement, Termination, Expiration or Exercise	(300,000,000)
Notional Amount as of March 31, 2016	0
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	11,450,000,000
Additions	0
Settlement, Termination, Expiration or Exercise	(4,550,000,000)
Notional Amount as of March 31, 2016	6,900,000,000
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	76,324,000
Additions	79,821,000
Settlement, Termination, Expiration or Exercise	(73,927,000)
Notional Amount as of March 31, 2016	82,218,000
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	645,000,000
Additions	0
Settlement, Termination, Expiration or Exercise	(10,000,000)
Notional Amount as of March 31, 2016	$ 635,000,000

Derivatives and Hedging Activ57

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Derivative
Notional amount	$ 7,617,218	$ 12,471,324
GSE CRT
Derivative
Fair value amount	(22,706)	(25,722)
GSE CRT | Embedded Credit Derivative
Derivative
Notional amount	635,000	645,000
Maximum potential amount of future undiscounted payments	$ 635,000	$ 645,000

Derivatives and Hedging Activ58

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Loss reclassified from accumulated OCI into income (effective portion)	$ 12,900	$ 19,100
AOCI loss related to derivatives to be reclassified to interest expenses within Next 12 months	14,100
Cash margin deposits	233,200		$ 109,300
Realized gain (loss) on interest rate swaption	(1,500)	(4,700)
Unrealized gain (loss), net	(166,467)	(51,034)
Derivative liabilities, at fair value	398,143		238,148
Accrued Interest
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative liabilities, at fair value	171,800
Agency RMBS
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Cash margin deposits	174,400
Available-for-sale securities pledged as collateral	174,400
Central Clearing Counterparty | Liability Derivatives
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative liabilities, at fair value	236,700
GSE CRT
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Embedded derivatives at fair value	(22,706)		(25,722)
GSE CRT | Mortgage-backed and credit risk transfer securities
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Embedded derivatives at fair value	(22,700)		$ (25,700)
Interest Rate Swaptions
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain (loss), net	$ 1,500	$ 3,700

Derivatives and Hedging Activ59

Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($)		3 Months Ended
		Mar. 31, 2016	Dec. 31, 2015
Interest Rate Derivatives Outstanding
Notional amount		$ 7,617,218,000	$ 12,471,324,000
Interest Rate Swaps
Interest Rate Derivatives Outstanding
Notional amount		$ 6,900,000,000	$ 11,450,000,000
Fixed Interest Rate in Contract		2.16%
Interest Rate Swaps | Deutsche Bank AG
Interest Rate Derivatives Outstanding
Notional amount		$ 150,000,000
Maturity Date		Feb. 5, 2018
Fixed Interest Rate in Contract		2.90%
Interest Rate Swaps | ING Capital Markets LLC - 2/24/2018
Interest Rate Derivatives Outstanding
Notional amount		$ 350,000,000
Maturity Date		Feb. 24, 2018
Fixed Interest Rate in Contract		0.95%
Interest Rate Swaps | UBS AG
Interest Rate Derivatives Outstanding
Notional amount		$ 500,000,000
Maturity Date		May 24, 2018
Fixed Interest Rate in Contract		1.10%
Interest Rate Swaps | ING Capital Markets LLC - 6/5/2018
Interest Rate Derivatives Outstanding
Notional amount		$ 400,000,000
Maturity Date		Jun. 5, 2018
Fixed Interest Rate in Contract		0.87%
Interest Rate Swaps | CME Central Clearing - 2.50%
Interest Rate Derivatives Outstanding
Notional amount		$ 300,000,000
Maturity Date		Feb. 5, 2021
Fixed Interest Rate in Contract		2.50%
Interest Rate Swaps | CME Central Clearing - 2.69%
Interest Rate Derivatives Outstanding
Notional amount		$ 300,000,000
Maturity Date		Feb. 5, 2021
Fixed Interest Rate in Contract		2.69%
Interest Rate Swaps | Wells Fargo Bank, N.A.
Interest Rate Derivatives Outstanding
Notional amount		$ 200,000,000
Maturity Date		Mar. 15, 2021
Fixed Interest Rate in Contract		3.14%
Interest Rate Swaps | CME Central Cleaning - 5/24/2021
Interest Rate Derivatives Outstanding
Notional amount	[1]	$ 500,000,000
Maturity Date	[1]	May 24, 2021
Fixed Interest Rate in Contract	[1]	2.25%
Interest Rate Swaps | Citibank, N.A.
Interest Rate Derivatives Outstanding
Notional amount		$ 200,000,000
Maturity Date		May 25, 2021
Fixed Interest Rate in Contract		2.83%
Interest Rate Swaps | CME Central Cleaning - 6/24/2021
Interest Rate Derivatives Outstanding
Notional amount	[2]	$ 500,000,000
Maturity Date	[2]	Jun. 24, 2021
Fixed Interest Rate in Contract	[2]	2.44%
Interest Rate Swaps | HSBC Bank USA, National Association - 2/24/2022
Interest Rate Derivatives Outstanding
Notional amount		$ 550,000,000
Maturity Date		Feb. 24, 2022
Fixed Interest Rate in Contract		2.45%
Interest Rate Swaps | CME Central Cleaning - 6/9/2022
Interest Rate Derivatives Outstanding
Notional amount		$ 1,000,000,000
Maturity Date		Jun. 9, 2022
Fixed Interest Rate in Contract		2.21%
Interest Rate Swaps | The Royal Bank of Scotland PLC
Interest Rate Derivatives Outstanding
Notional amount		$ 500,000,000
Maturity Date		Aug. 15, 2023
Fixed Interest Rate in Contract		1.98%
Interest Rate Swaps | CME Central Cleaning - 8/24/2023
Interest Rate Derivatives Outstanding
Notional amount		$ 600,000,000
Maturity Date		Aug. 24, 2023
Fixed Interest Rate in Contract		2.88%
Interest Rate Swaps | UBS AG
Interest Rate Derivatives Outstanding
Notional amount		$ 250,000,000
Maturity Date		Nov. 15, 2023
Fixed Interest Rate in Contract		2.23%
Interest Rate Swaps | HSBC Bank USA, National Association - 12/15/2023
Interest Rate Derivatives Outstanding
Notional amount		$ 500,000,000
Maturity Date		Dec. 15, 2023
Fixed Interest Rate in Contract		2.20%
Interest Rate Swaps | CME Central Cleaning - 4/2/2025
Interest Rate Derivatives Outstanding
Notional amount		$ 100,000,000
Maturity Date		Apr. 2, 2025
Fixed Interest Rate in Contract		2.04%
[1]	Forward start date of May 2016
[2]	Forward start date of June 2016

Derivatives and Hedging Activ60

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Derivatives, Fair Value
Derivative assets, at fair value	$ 702	$ 8,659
Derivative liabilities, at fair value	398,143	238,148
Interest Rate Swap Asset
Derivatives, Fair Value
Derivative assets, at fair value	0	6,795
Currency Forward Contracts
Derivatives, Fair Value
Derivative assets, at fair value	702	1,864
Derivative liabilities, at fair value	221	103
Interest Rate Swap Liability
Derivatives, Fair Value
Derivative liabilities, at fair value	$ 397,922	$ 238,045

Derivatives and Hedging Activ61

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	$ (42,985)	$ (26,103)
Unrealized gain (loss), net	(166,467)	(51,034)
Gain (loss) on derivative instruments, net	(238,543)	(122,745)
Interest Rate Swaptions
Derivative Instruments, Gain (Loss)
Unrealized gain (loss), net	1,500	3,700
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	(42,985)	(26,103)
Contractual interest expense	(29,091)	(45,608)
Unrealized gain (loss), net	(166,467)	(51,034)
Gain (loss) on derivative instruments, net	(238,543)	(122,745)
Not Designated as Hedging Instrument | Realized and unrealized credit derivative income (loss), net
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	2,096	15,976
Not Designated as Hedging Instrument | CDS Contract | Realized and unrealized credit derivative income (loss), net
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	0	(62)
Not Designated as Hedging Instrument | Embedded Credit Derivative | Realized and unrealized credit derivative income (loss), net
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	2,096	16,038
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	(43,895)	(19,055)
Contractual interest expense	(29,091)	(45,608)
Unrealized gain (loss), net	(166,671)	(55,957)
Gain (loss) on derivative instruments, net	(239,657)	(120,620)
Not Designated as Hedging Instrument | Interest Rate Swaptions
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	(1,485)	(4,688)
Contractual interest expense	0	0
Unrealized gain (loss), net	1,485	3,679
Gain (loss) on derivative instruments, net	0	(1,009)
Not Designated as Hedging Instrument | TBA's
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net		(2,292)
Contractual interest expense		0
Unrealized gain (loss), net		558
Gain (loss) on derivative instruments, net		(1,734)
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net		(943)
Contractual interest expense		0
Unrealized gain (loss), net		(90)
Gain (loss) on derivative instruments, net		(1,033)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	2,395	875
Contractual interest expense	0	0
Unrealized gain (loss), net	(1,281)	776
Gain (loss) on derivative instruments, net	$ 1,114	$ 1,651

Offsetting Assets and Liabili62

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Derivatives Asset
Gross Amounts of Recognized Assets		$ 702	$ 8,659
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets		702	8,659
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1]	(702)	(4,142)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Received	[2]	0	(4,517)
Net Amount		$ 0	$ 0
[1]	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2016 and December 31, 2015, subject to a netting arrangement.
[2]	No cash collateral was posted by the Company's derivative counterparties at March 31, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $233.2 million and $109.3 million at March 31, 2016 and December 31, 2015, respectively.

Offsetting Assets and Liabili63

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($)		Mar. 31, 2016		Dec. 31, 2015
Derivatives Liability
Gross Amounts of Recognized Liabilities		$ 398,143,000		$ 238,148,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0		0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets		398,143,000		238,148,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1],[3]	(165,727,000)	[2]	(117,240,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[1],[4]	(228,178,000)	[2]	(109,299,000)
Net Amount		4,238,000		11,609,000
Repurchase Agreements
Gross Amounts of Recognized Liabilities		11,187,159,000		12,126,048,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0		0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets		11,187,159,000		12,126,048,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1],[3]	(11,187,159,000)	[2]	(12,126,048,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[1],[4]	0	[2]	0
Net Amount		0		0
Secured Loans
Gross Amounts of Recognized Liabilities		1,650,000,000		1,650,000,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0		0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets		1,650,000,000		1,650,000,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1],[3]	(1,650,000,000)	[2]	(1,650,000,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[1],[4]	0	[2]	0
Net Amount		0		0
Total
Gross Amounts of Recognized Liabilities		13,235,302,000		14,014,196,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0		0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets		13,235,302,000		14,014,196,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1],[3]	(13,002,886,000)	[2]	(13,893,288,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[1],[4]	(228,178,000)	[2]	(109,299,000)
Net Amount		4,238,000		11,609,000
Fair value of securities pledged under repurchase agreement		12,468,548,000		13,460,288,000
Cash collateral posted by Company's derivative counterparties		0		4,900,000
Due from counterparties		233,200,000		109,300,000
Collateral pledged against secured loans		$ 2,000,000,000		$ 1,900,000,000
[1]	Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives.
[2]	The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $1.9 billion at March 31, 2016 and December 31, 2015, respectively. No cash collateral was posted by the Company at March 31, 2016 and December 31, 2015.
[3]	The fair value of securities pledged against the Company's borrowing under repurchase agreements was $12.5 billion and $13.5 billion at March 31, 2016 and December 31, 2015, respectively.
[4]	No cash collateral was posted by the Company's derivative counterparties at March 31, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $233.2 million and $109.3 million at March 31, 2016 and December 31, 2015, respectively.

Fair Value of Financial Instr64

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands		Mar. 31, 2016	Dec. 31, 2015
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value		$ 15,134,066	$ 16,065,935
Derivative assets, at fair value		702	8,659
Derivative liabilities, at fair value		398,143	238,148
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value	[1],[2]	15,134,066	16,065,935
Derivative assets, at fair value		702	8,659
Total assets		15,134,768	16,074,594
Derivative liabilities, at fair value		398,143	238,148
Total liabilities		398,143	238,148
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value	[1],[2]	0	0
Derivative assets, at fair value		0	0
Total assets		0	0
Derivative liabilities, at fair value		0	0
Total liabilities		0	0
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value	[1],[2]	15,156,772	16,091,657
Derivative assets, at fair value		702	8,659
Total assets		15,157,474	16,100,316
Derivative liabilities, at fair value		398,143	238,148
Total liabilities		398,143	238,148
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value	[1],[2]	(22,706)	(25,722)
Derivative assets, at fair value		0	0
Total assets		(22,706)	(25,722)
Derivative liabilities, at fair value		0	0
Total liabilities		0	0
Recurring | Level 3 | Mortgage-backed and credit risk transfer securities
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives at fair value	[1],[2]	(22,700)	(25,700)
Embedded derivatives in an asset position		2,000	1,000
Embedded derivatives in a liability position		$ (24,700)	$ (26,700)
[1]	For more detail about the fair value of the Company's MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities."
[2]	he Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2016, the net embedded derivative liability position of $22.7 million includes $2.0 million of embedded derivatives in an asset position and $24.7 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position.

Fair Value of Financial Instr65

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ (25,722)	$ (21,495)
Sales and settlements	920	2,184
Realized gains/(losses), net	(920)	(2,184)
Unrealized gains/(losses), net	3,016	(4,227)
Ending balance	$ (22,706)	$ (25,722)

Fair Value of Financial Instr66

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015	Dec. 31, 2014
Fair Value Inputs, Assets, Quantitative Information
Net embedded derivative	$ (22,706)	$ (25,722)	$ (21,495)
Level 3 | Market Comparables, Vendor Pricing and Internal Models
Fair Value Inputs, Assets, Quantitative Information
Prepayment rate (as percent)	7.85%	7.83%
Default rate (as percent)	0.16%	0.16%
Minimum | Level 3 | Market Comparables, Vendor Pricing and Internal Models
Fair Value Inputs, Assets, Quantitative Information
Prepayment rate (as percent)	5.76%	5.72%
Default rate (as percent)	0.10%	0.10%
Maximum | Level 3 | Market Comparables, Vendor Pricing and Internal Models
Fair Value Inputs, Assets, Quantitative Information
Prepayment rate (as percent)	14.43%	14.37%
Default rate (as percent)	0.39%	0.35%

Fair Value of Financial Instr67

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015
Financial Liabilities
FHLBI stock	$ 75,375	$ 75,375
Carrying Value
Financial Assets
Other assets	115,878	115,072
Total	393,579	324,134
Financial Liabilities
Repurchase agreements	11,187,159	12,126,048
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	395,187	394,573
Total	13,232,346	14,170,621
Carrying Value | Commercial Loans Held For Investment
Financial Assets
Mortgage loans, held-for-investment	277,701	209,062
Estimated Fair Value
Financial Assets
Other assets	115,878	115,072
Total	394,291	324,862
Financial Liabilities
Repurchase agreements	11,187,194	12,133,252
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	378,000	376,500
Total	13,215,194	14,159,752
Estimated Fair Value | Commercial Loans Held For Investment
Financial Assets
Mortgage loans, held-for-investment	278,413	209,790
Level 3 | Estimated Fair Value
Financial Liabilities
Investments in unconsolidated ventures	39,500	38,400
Federal Home Loan Bank of Indianapolis | Level 3 | Estimated Fair Value
Financial Liabilities
FHLBI stock	$ 75,400	$ 75,400

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015	Dec. 31, 2014
Related Party Transaction
Investment in money market or mutual funds managed by affiliates of a related party	$ 51,336	$ 157,025	$ 53,199	$ 164,144
Management fee – related party	9,512	9,415
Affiliate of the Manager
Related Party Transaction
Investment in money market or mutual funds managed by affiliates of a related party	$ 50,700		$ 47,400
Manager
Related Party Transaction
Management fee (as a percentage)	1.50%
Management fee – related party	$ 9,500	9,400
Management fees accrued but not paid	$ 9,500	$ 9,300

Related Party Transactions - Ex

Related Party Transactions - Expense Reimbursement (Details) - USD ($)	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015	Dec. 31, 2015
Manager
Summary of Investments, Other than Investments in Related Parties
Incurred costs	$ 1,782,000	$ 642,000
Manager | Incurred Costs, Prepaid or Expensed
Summary of Investments, Other than Investments in Related Parties
Incurred costs	1,782,000	$ 642,000
Subsidiary of the Manager
Summary of Investments, Other than Investments in Related Parties
Accounts payable, related parties	503,000		$ 0
Subsidiary of the Manager | Incurred Costs, Not Paid
Summary of Investments, Other than Investments in Related Parties
Accounts payable, related parties	$ 132,000		$ 0

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs)	3 Months Ended
	Mar. 31, 2016$ / sharesshares
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward]
Unvested at the beginning of the period | shares	40,814
Shares granted during the period | shares	21,099
Shares forfeited during the period | shares	0
Shares vested during the period | shares	(15,913)
Unvested at the end of the period | shares	46,000
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract]
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | $ / shares	$ 17.29	[1]
Granted, Weighted Average Grant Date Fair Value (usd per share) | $ / shares	11.28	[1]
Forfeited, Weighted Average Grant Date Fair Value (usd per share) | $ / shares	0	[1]
Vested, Weighted Average Grant Date Fair Value (usd per share) | $ / shares	(17.66)	[1]
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | $ / shares	$ 14.40	[1]
[1]	The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Mar. 15, 2016	Mar. 31, 2016	Mar. 31, 2015	Feb. 29, 2016	Dec. 31, 2015
Class of Stock
Common stock shares issued		111,577,275			113,619,471
Proceeds from issuance of common stock		$ 35	$ 70
Repurchase of shares of common stock		25,000
Total unrecognized compensation cost		$ 541
Share-based compensation cost not yet recognized, period for recognition		47 months
Weighted average remaining vesting period		23 months 16 days
Common stock dividend declared, per share		$ 0.40	$ 0.45
Common Stock
Class of Stock
Number of shares authorized to be repurchased				15,000,000
Repurchase of shares of common stock (in shares)		2,063,451
Repurchase of common stock, average cost per share		$ 12.12
Repurchase of shares of common stock		$ 25,000
Remaining number of shares authorized to be repurchased		18,239,082
Common stock dividend declared, per share	$ 0.40
Dividend payable date		Apr. 26, 2016
Dividend payable, date of record		Mar. 28, 2016
Common Stock | DRSPP
Class of Stock
Common stock shares issued		3,201
Price of per share of stock issued		$ 11.08
Proceeds from issuance of common stock		$ 35
Common Stock | Incentive Plan
Class of Stock
Common stock options reserved for issuance		1,000,000
Incentive plan termination year		2,019
Compensation expense recognized		$ 85	$ 85
Restricted stock issued		7,748	5,332
Common Stock | Incentive Plan | Employee
Class of Stock
Compensation expense recognized		$ 32	$ 70
Preferred Stock
Class of Stock
Preferred stock, redemption price per share		$ 25
Series A Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock dividend rate		7.75%
Preferred stock, liquidation preference (dollars per share)		$ 25
Preferred stock, dividends per annum (dollars per share)		$ 1.9375
Dividend payable date		Apr. 25, 2016
Dividend payable, date of record		Apr. 1, 2016
Series A preferred stock dividend, per share	0.4844
Series B Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock dividend rate		7.75%
Preferred stock, liquidation preference (dollars per share)		$ 25
Preferred stock, dividends per annum (dollars per share)		$ 1.9375
Dividend payable date		Jun. 27, 2016
Dividend payable, date of record		Jun. 5, 2016
Series A preferred stock dividend, per share	$ 0.4844
Three-month LIBOR rate | Series B Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock dividend variable rate spread		5.18%

Earnings per Common Share - Add

Earnings per Common Share - Additional Information (Details) - shares	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Exchangeable Senior Notes
Antidilutive Securities Excluded from Computation of Earnings Per Share
Antidilutive securities excluded from computation of earnings per share	16,835,720	16,835,720
Restricted Stock Units (RSUs)
Antidilutive Securities Excluded from Computation of Earnings Per Share
Antidilutive securities excluded from computation of earnings per share	42,344	46,003

Earnings per Common Share - Ear

Earnings per Common Share - Earnings per Share (Detail) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Basic Earnings
Net loss available to common stockholders	$ (157,305)	$ (17,440)
Effect of dilutive securities:
Loss allocated to non-controlling interest	(1,897)	(136)
Dilutive net income (loss) available to stockholders	$ (159,202)	$ (17,576)
Basic Earnings:
Shares available to common stockholders	113,142	123,118
Effect of dilutive securities:
OP units	1,425	1,425
Dilutive Shares	114,567	124,543

Non-controlling Interest - Op74

Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) $ in Thousands	Mar. 31, 2016	Dec. 31, 2015	Mar. 31, 2015
Noncontrolling Interest
Non-controlling interest related to the outstanding of OP Units	1,425,000	1,425,000
Non-controlling interest in Operating Partnership	1.30%	1.20%
Distributions payable to non-controlling interest	$ 50,917	$ 51,734	$ 61,766
Non- Controlling Interest
Noncontrolling Interest
Distributions payable to non-controlling interest	$ 570

Non-controlling Interest - Op75

Non-controlling Interest - Operating Partnership - Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests (Details) - Non- Controlling Interest - USD ($) $ in Thousands	3 Months Ended
	Mar. 31, 2016	Mar. 31, 2015
Noncontrolling Interest
Net loss allocated	$ (1,897)	$ (136)
Distributions paid	$ 570	$ 641

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	3 Months Ended	12 Months Ended
	Mar. 31, 2016	Dec. 31, 2015
Commitments and Contingencies Disclosure [Abstract]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 20.7	$ 21.1
Unfunded commitment	$ 27.1	$ 2.1