Invesco Mortgage Capital (IVR) 10-Q 3 Nov 16 2016 Q3 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2016	Nov. 01, 2016
Document And Entity Information [Abstract]
Entity Registrant Name	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	Sep. 30, 2016
Document Fiscal Year Focus	2,016
Document Fiscal Period Focus (Q1,Q2,Q3,FY)	Q3
Amendment Flag	false
Entity Common Stock, Shares Outstanding		111,588,883

Condensed Consolidated Balance

Condensed Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands		Sep. 30, 2016	Dec. 31, 2015
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)		$ 16,074,077	$ 16,065,935
Commercial loans, held-for-investment		273,291	209,062
Cash and cash equivalents		47,282	53,199
Due from counterparties		241,161	110,009
Investment related receivable		44,944	154,594
Accrued interest receivable		49,390	50,779
Derivative assets, at fair value	[1],[2]	505	8,659
Other assets		183,514	115,072
Total assets		16,914,164	16,767,309
Liabilities:
Repurchase agreements	[3]	12,060,502	12,126,048
Secured loans		1,650,000	1,650,000
Exchangeable senior notes		396,420	394,573
Derivative liabilities, at fair value	[2]	382,321	238,148
Dividends and distributions payable		50,921	51,734
Investment related payable		17	167
Accrued interest payable		23,915	21,604
Collateral held payable		0	4,900
Accounts payable and accrued expenses		1,477	2,376
Due to affiliate		10,295	10,851
Total liabilities		14,575,868	14,500,401
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,588,883 and 113,619,471 shares issued and outstanding, respectively		1,116	1,136
Additional paid in capital		2,382,847	2,407,372
Accumulated other comprehensive income		585,563	318,624
Retained earnings (distributions in excess of earnings)		(943,771)	(771,313)
Total stockholders’ equity		2,310,971	2,241,035
Non-controlling interest		27,325	25,873
Total equity		2,338,296	2,266,908
Total liabilities and equity		16,914,164	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
[1]	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2016 and December 31, 2015, subject to a netting arrangement.
[2]	ash collateral was posted by the Company's derivative counterparties at September 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015, respectively.
[3]	The fair value of securities pledged against the Company's borrowing under repurchase agreements was $13.3 billion and $13.5 billion at September 30, 2016 and December 31, 2015, respectively.

Condensed Consolidated Balance3

Condensed Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Sep. 30, 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	111,588,883	113,619,471
Common Stock - shares outstanding	111,588,883	113,619,471
Mortgage-backed and credit risk transfer securities, pledged as collateral	$ 0	$ 15,553,934
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		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Interest Income
Mortgage-backed and credit risk transfer securities		$ 112,467	$ 128,305	$ 347,573	$ 395,844
Residential loans	[1]	0	28,380	0	88,001
Commercial loans		5,680	3,743	16,520	11,349
Total interest income		118,147	160,428	364,093	495,194
Interest Expense
Repurchase agreements		24,892	41,303	97,952	125,544
Secured loans		2,746	1,622	8,149	4,639
Exchangeable senior notes		5,620	5,620	16,847	16,840
Asset-backed securities	[1]	0	20,686	0	64,913
Total interest expense		33,258	69,231	122,948	211,936
Net interest income		84,889	91,197	241,145	283,258
Reduction in provision for loan losses		0	81	0	213
Net interest income after reduction in provision for loan losses		84,889	91,278	241,145	283,471
Other Income (loss)
Gain (loss) on investments, net		(7,155)	(1,967)	5,860	11,019
Equity in earnings of unconsolidated ventures		729	1,894	1,992	9,131
Gain (loss) on derivative instruments, net		35,378	(220,602)	(293,528)	(287,344)
Realized and unrealized credit derivative income (loss), net		31,926	2,928	57,564	24,904
Other investment income (loss), net		(554)	739	(3,617)	1,518
Total other income (loss)		60,324	(217,008)	(231,729)	(240,772)
Expenses
Management fee – related party		6,719	10,058	25,292	28,816
General and administrative		1,836	2,507	5,769	6,186
Consolidated securitization trusts	[1]	0	2,132	0	6,544
Total expenses		8,555	14,697	31,061	41,546
Net income (loss)		136,658	(140,427)	(21,645)	1,153
Net income (loss) attributable to non-controlling interest		1,723	(1,628)	(235)	(10)
Net income (loss) attributable to Invesco Mortgage Capital Inc.		134,935	(138,799)	(21,410)	1,163
Dividends to preferred stockholders		5,716	5,716	17,148	17,148
Net income (loss) attributable to common stockholders		$ 129,219	$ (144,515)	$ (38,558)	$ (15,985)
Earnings (loss) per share:
Net income attributable to common shareholders (basic) (usd per share)		$ 1.16	$ (1.18)	$ (0.34)	$ (0.13)
Net income attributable to common shareholders (diluted) (usd per share)		1.05	(1.18)	(0.34)	(0.13)
Dividends declared per common share (usd per share)		$ 0.40	$ 0.4	$ 1.20	$ 1.3000
[1]	The condensed consolidated statements of operations for the three and nine months ended September 30, 2015 include 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		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ 136,658	$ (140,427)	$ (21,645)	$ 1,153
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	32,015	42,933	270,591	(30,611)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	0	389	(11,581)	(4,152)
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(4,831)	15,724	11,331	51,182
Currency translation adjustments on investment in unconsolidated venture	(235)	(33)	(10)	(33)
Total other comprehensive income	26,949	59,013	270,331	16,386
Comprehensive income (loss)	163,607	(81,414)	248,686	17,539
Less: Comprehensive income (loss) attributable to non-controlling interest	(2,063)	942	(3,157)	(191)
Less: Dividends to preferred stockholders	(5,716)	(5,716)	(17,148)	(17,148)
Comprehensive income (loss) attributable to common stockholders	$ 155,828	$ (86,188)	$ 228,381	$ 200

Condensed Consolidated Stateme6

Condensed Consolidated Statement of Equity (Unaudited) - 9 months ended Sep. 30, 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	$ 318,624	$ (771,313)	$ 2,241,035	$ 25,873
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net loss	(21,645)						(21,410)	(21,410)	(235)
Other comprehensive income	270,331					266,939		266,939	3,392
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)				29,662
Common stock dividends	(133,900)						(133,900)	(133,900)
Common unit dividends	(1,710)								(1,710)
Preferred stock dividends	(17,148)						(17,148)	(17,148)
Amortization of equity-based compensation	425				420			420	5
Ending Balance (in shares) at Sep. 30, 2016		5,600,000	6,200,000	111,588,883
Ending Balance at Sep. 30, 2016	$ 2,338,296	$ 135,356	$ 149,860	$ 1,116	$ 2,382,847	$ 585,563	$ (943,771)	$ 2,310,971	$ 27,325

Condensed Consolidated Stateme7

Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015
Cash Flows from Operating Activities
Net income (loss)	$ (21,645)	$ 1,153
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	85,522	90,900
Amortization of residential loans and asset-backed securities premiums (discount), net	0	(639)
Amortization of commercial loan origination fees	(219)	(51)
Reduction in provision for loan losses	0	(213)
Unrealized (gain) loss on derivative instruments, net	150,842	104,546
Unrealized (gain) loss on credit derivatives, net	(45,192)	(7,923)
(Gain) loss on investments, net	(5,860)	(11,019)
Realized (gain) loss on derivative instruments, net	62,222	44,394
Realized (gain) loss on credit derivatives, net	6,017	2,184
Equity in earnings of unconsolidated ventures	(1,992)	(9,131)
Amortization of equity-based compensation	425	422
Amortization of deferred securitization and financing costs	1,847	2,391
Amortization of net deferred losses on de-designated interest rate swaps	11,331	51,182
(Gain) loss on foreign currency transactions, net	6,080	619
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	1,260	(3,289)
Increase in operating liabilities	858	10,512
Net cash provided by operating activities	251,496	276,038
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(2,367,991)	(1,821,811)
Purchase of U.S. Treasury securities	(403,105)	0
Proceeds from sale of U.S. Treasury securities	524,478	0
(Contributions) distributions (from) to investment in unconsolidated ventures, net	7,632	15,174
Change in other assets	(73,875)	(12,875)
Principal payments from mortgage-backed and credit risk transfer securities	1,920,352	1,910,904
Proceeds from sale of mortgage-backed and credit risk transfer securities	659,959	290,561
Payments on sale of credit derivatives	(6,017)	(2,184)
Payment of premiums for interest rate swaptions	0	(1,485)
Payments for termination of futures, forwards, swaps and TBAs, net	(60,737)	(34,066)
Purchase of residential loans held-for-investment	0	(372,305)
Principal payments from residential loans held-for-investment	0	424,644
Principal payments from commercial loans held-for-investment	15,000	63,132
Origination and advances of commercial loans, net of origination fees	(85,033)	(104,965)
Net cash provided by investing activities	130,663	354,724
Cash Flows from Financing Activities
Proceeds from issuance of common stock	35	158
Repurchase of common stock	(25,000)	(49,999)
Cost of issuance of preferred stock	0	(36)
Due from counterparties	(138,959)	(118,562)
Change in collateral held payable	(4,900)	(14,890)
Proceeds from repurchase agreements	97,653,895	105,832,915
Principal repayments of repurchase agreements	(97,719,439)	(106,543,411)
Proceeds from asset-backed securities issued by securitization trusts	0	336,077
Principal repayments of asset-backed securities issued by securitization trusts	0	(400,207)
Proceeds from secured loans	125,000	2,100,000
Principal repayments on secured loans	(125,000)	(1,675,000)
Payments of deferred costs	(136)
Payments of dividends and distributions	(153,572)	(185,293)
Net cash used in financing activities	(388,076)	(718,248)
Net change in cash and cash equivalents	(5,917)	(87,486)
Cash and cash equivalents, beginning of period	53,199	164,144
Cash and cash equivalents, end of period	47,282	76,658
Supplement Disclosure of Cash Flow Information
Interest paid	116,401	162,906
Non-cash Investing and Financing Activities Information
Net change in unrealized gain on mortgage-backed and credit risk transfer securities	259,010	(34,763)
Dividends and distributions declared not paid	50,921	54,067
Net change in investment related payable (receivable)	117,295	53,089
Change in due from counterparties	$ 7,807	$ 1,425

Organization and Business Opera

Organization and Business Operations	9 Months Ended
	Sep. 30, 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 September 30, 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	9 Months Ended
	Sep. 30, 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 Annual Report on 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 statement 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. Revision of Previously Issued Financial Statements During the second quarter of 2016, the Company corrected errors in its accounting for premiums and discounts associated with non-Agency RMBS not of high credit quality. The Company concluded that the errors are immaterial to each of the annual and interim consolidated financial statements which were included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 and its interim report on Form 10-Q for the quarter ended March 31, 2016. The Company has corrected its financial statements for previous periods included in this filing on Form 10-Q and will correct its previously issued financial statements for these errors as the financial statements are presented in future periodic filings. Refer to Note 16 - "Revision of Previously Issued Financial Statements" for additional details. 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 changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Annual Report on Form 10-K for the year ended December 31, 2015, other than the significant accounting policies disclosed below. U.S. Treasury Securities U.S. Treasury Securities are classified as trading securities and are recorded at fair value. The Company records its purchases of U.S. Treasury Securities on the trade date. Changes in fair value are recognized in gain (loss) on investments, net in the Company’s consolidated statements of operations. Interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums are amortized into interest income over the contractual lives of the securities using a level yield method. Fair Value Measurements The Company reports its mortgage-backed and credit risk transfer securities and derivative assets and liabilities at fair value as determined by an independent pricing service. The Company generally obtains one price per instrument from its primary pricing service. If the primary pricing service cannot provide a price, the Company will seek a value from other pricing services. The pricing service uses two types of valuation approaches to determine the valuation of the Company’s various mortgage-backed and credit risk transfer securities: a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities; and an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. In instances where sufficient market activity may not exist, the pricing service may utilize proprietary valuation models that may consider market transactions in comparable securities and the various relationship between securities in determining fair value and/or market characteristics to estimate relevant cash flows, which are then discounted to calculate the fair values. Observable inputs may include a combination of benchmark yields, executed trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities to determine prices. In addition, the valuation models utilized by pricing services may consider additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. Both the Company and the pricing service continuously monitor market indicators and economic events to determine if any may have an impact on the valuations. The pricing service values interest rate swaps and interest rate swaptions under the income approach using valuation models. The significant inputs in these models are readily available in public markets or can be derived from observable market transactions for substantially the full terms of the contracts. The pricing service values U.S. Treasury futures, currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted market prices available in an active market. Overrides of prices from pricing services are rare in the current market environment for the assets the Company holds. Examples of instances that would cause an override include if the Company recently traded the same security or there is an indication of market activity that would cause the pricing service price to no longer be indicative of fair value. In the rare instance where a price is adjusted, the Company has a control process to monitor the reason for such adjustment. To gain comfort that pricing service prices are representative of current market information, the Company compares the transaction prices of security purchases and sales to the valuation levels provided by the pricing services. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the pricing services are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the pricing services which help the Company understand data points and/or market inputs used for pricing securities. The Company also reviews daily price movements for interest rate swaps, interest rate swaptions, U.S. Treasury futures, currency forward contracts and TBAs. Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information. Based on the Company’s findings, the primary pricing service may be challenged, or in rare cases, overridden with an alternate pricing source. In addition, the Company performs due diligence procedures on all pricing services on at least an annual basis. A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each pricing service's office. As described in Note 10 - "Fair Value of Financial Instruments," the Company evaluates the source used to fair value its assets and liabilities and makes a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. Transfers between levels, if any, are determined by the Company at the end of the reporting period. Mortgage-Backed and Credit Risk Transfer Securities All of the Company’s mortgage-backed securities ("MBS") and GSE CRTs are reported at fair value. Fair value is determined by obtaining valuations from an independent source. If the fair value of a security is not available from a third-party pricing service, or such data appears unreliable, the Company may estimate the fair value of the security using a variety of methods including other pricing services, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors. The Company records its purchases of MBS and GSE CRTs on the trade date. Although the Company generally intends to hold most of its MBS and GSE CRTs until maturity, the Company may sell any of its mortgage-backed and credit risk transfer securities as part of its overall management of its investment portfolio. The Company has elected the fair value option for all of its MBS purchased on or after September 1, 2016. Prior to September 1, 2016, the Company had also elected the fair value option for its RMBS interest-only securities (“RMBS IOs”). RMBS IOs are hybrid financial instruments that contain embedded derivatives. Under the fair value option, changes in fair value are recognized in the Company’s consolidated statements of operations. In the Company's view, this election more appropriately reflects the results of the Company's operations because MBS fair value changes are accounted for in the same manner as fair value changes in economic hedging instruments. Except for RMBS IOs, MBS purchased prior to September 1, 2016 are classified as available-for-sale securities. Unrealized gains or losses on available-for-sale securities are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. The Company has elected the fair value option for GSE CRTs purchased on or after August 24, 2015. GSE CRTs are hybrid financial instruments that contain embedded derivatives. Coupon payments on the securities are based on LIBOR, and principal payments are based on prepayments, losses and defined credit events in a reference pool of mortgage loans that collateralize Agency RMBS. The Company elected the fair value option for these securities due to the complexities associated with bifurcation of GSE CRTs into the debt host contract and embedded derivative. Under the fair value option, changes in fair value for GSE CRTs are recognized in the Company's consolidated statements of operations. GSE CRTs purchased prior to August 24, 2015 are also reported at fair value but are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income, a separate component of stockholders’ equity, until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity is recognized in income. Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative are recognized in realized and unrealized credit derivative income (loss), net in the Company’s consolidated statements of operations. The Company’s interest income recognition policies for MBS and GSE CRTs is described below in the Interest Income Recognition section of this Note 2 to the Company’s consolidated financial statements. The Company considers its portfolio of Agency RMBS to be of high credit quality under applicable accounting guidance. For non-Agency RMBS, GSE CRTs and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. The Company uses internal models that analyze the loans underlying each security and evaluates factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows. The Company places reliance on these internal models in determining credit quality. While non-Agency RMBS, GSE CRTs and CMBS with expected future losses would generally be purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains. The Company therefore evaluates each security for other-than-temporary impairment at least quarterly. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than amortized cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent to sell the security and whether it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. The Company recognizes in earnings and reflects as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that the Company intends to sell or for which it is more likely than not that the Company will need to sell before recoveries. The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of consolidated stockholders’ equity in other comprehensive income or loss with no change to the cost basis of the security. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on the Company's non-Agency MBS (and other prepayable mortgage-backed securities where the Company may not recover substantially all of its initial investment) is based on estimated future cash flows. Management estimates future expected cash flows at the time of purchase and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. Over the life of the investments, management updates these estimated future cash flows and computes a revised yield based on the current amortized cost of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and the Company's interest income. When actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security and the security's yield is revised prospectively. Changes in cash flows from the Company's original or most recent projection may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For Agency RMBS that cannot be prepaid in such a way that the Company would not recover substantially all of its initial investment, interest income recognition is based on contractual cash flows. The Company does not estimate prepayments in applying the effective interest method. Reverse Repurchase Agreements Reverse repurchase agreements are treated as collateralized financing transactions. Cash paid to the borrower is recorded as other assets on the Company's consolidated balance sheets. Interest receivable on reverse repurchase agreements is recorded as accrued interest receivable. The Company reflects all proceeds and repayments of reverse repurchase agreement on a net basis in the Company's consolidated statement of cash flows. The Company monitors the market value of the underlying collateral to ensure it remains sufficient to protect the Company in the event of default by the counterparty. If the Company were to sell the underlying collateral, the Company would recognize its obligation to return the underlying collateral as due to counterparties on the Company's consolidated balance sheets. 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. 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. In June 2016, the FASB issued an amendment to the guidance on reporting credit losses for assets measured at amortized cost and available-for-sale securities. The Company is required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. The Company is currently evaluating the potential impacts of the new guidance on its consolidated financial statements, as well as available transition methods. In August 2016, the FASB issued new guidance that is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted, provided that all of the amendments are adopted in the same period. The Company is currently evaluating the potential impacts of the new guidance on its consolidated financial statements.

Variable Interest Entities

Variable Interest Entities	9 Months Ended
	Sep. 30, 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 September 30, 2016 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss CMBS 2,668,290 2,668,290 Non-Agency RMBS 2,109,115 2,109,115 Investments in unconsolidated ventures 32,763 32,763 Total 4,810,168 4,810,168 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	9 Months Ended
	Sep. 30, 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 September 30, 2016 and December 31, 2015 . September 30, 2016 $ in thousands Principal/ Notional 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 3,453,364 153,698 3,607,062 30,890 3,637,952 3.13 % 2.21 % 1.86 % 30 year fixed-rate 3,331,034 215,594 3,546,628 88,937 3,635,565 4.21 % 2.72 % 2.55 % ARM * 321,140 2,917 324,057 7,896 331,953 2.71 % 2.62 % 2.18 % Hybrid ARM 2,593,484 46,411 2,639,895 44,213 2,684,108 2.71 % 2.55 % 2.06 % Total Agency pass-through 9,699,022 418,620 10,117,642 171,936 10,289,578 3.38 % 2.49 % 2.17 % Agency-CMO (4) 1,611,750 (1,257,836 ) 353,914 10,122 364,036 2.22 % 3.25 % 2.42 % Non-Agency RMBS (5)(6)(7) 4,078,976 (2,065,395 ) 2,013,581 95,534 2,109,115 2.18 % 5.06 % 5.06 % GSE CRT (8)(9) 591,460 20,580 612,040 31,018 643,058 1.53 % 0.83 % 0.98 % CMBS (10)(11) 3,076,101 (559,789 ) 2,516,312 151,978 2,668,290 3.89 % 4.33 % 4.28 % Total 19,057,309 (3,443,820 ) 15,613,489 460,588 16,074,077 3.05 % 3.07 % 2.84 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of September 30, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of September 30, 2016 and incorporates future prepayment and loss assumptions. (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 83.5% of principal/notional balance, 24.0% of amortized cost and 24.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.8% fixed rate, 46.1% variable rate, and 7.1% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $261.7 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities which represent 44.0% of principal/notional balance, 1.5% of amortized cost and 1.4% of fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 3.5% 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 coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities which represent 20.2% of principal/notional balance, 0.9% of amortized cost and 0.9% of fair value. (11) The Company has elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 0.4% of principal/notional balance, 0.6% of amortized cost and 0.5% of fair value. December 31, 2015 $ in thousands Principal/Notional 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 (2,363,799 ) 2,602,179 90,308 2,692,487 2.20 % 5.11 % 4.90 % 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 (3,896,616 ) 15,913,497 152,438 16,065,935 3.08 % 3.31 % 3.16 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions. (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 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 based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 42.1% of principal/notional balance, 1.3% of amortized cost and 1.3% of 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 coupon interest associated with embedded derivatives not accounted for under the fair value option 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 September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 938,893 44.5 % 1,081,428 40.2 % Alt-A 465,127 22.1 % 544,306 20.2 % Re-REMIC 406,703 19.3 % 663,853 24.7 % Subprime/reperforming 298,392 14.1 % 402,900 14.9 % Total Non-Agency 2,109,115 100.0 % 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 September 30, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) September 30, 2016 December 31, 2015 0% - 10% 15.9 % 11.0 % 10% - 20% 7.3 % 5.6 % 20% - 30% 13.5 % 12.7 % 30% - 40% 16.1 % 20.8 % 40% - 50% 28.5 % 32.8 % 50% - 60% 16.1 % 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. 32.6% 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 September 30, 2016 and December 31, 2015 are presented below. $ in thousands September 30, 2016 December 31, 2015 Principal balance 19,057,309 19,810,113 Unamortized premium 512,631 495,539 Unamortized discount (3,956,451 ) (4,392,155 ) Gross unrealized gains 485,503 303,890 Gross unrealized losses (24,915 ) (151,452 ) Fair value 16,074,077 16,065,935 The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 December 31, 2015 Less than one year 238,817 427,678 Greater than one year and less than five years 10,957,834 6,237,547 Greater than or equal to five years 4,877,426 9,400,710 Total 16,074,077 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 September 30, 2016 and December 31, 2015 . September 30, 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 785,124 (2,384 ) 36 69,916 (680 ) 14 855,040 (3,064 ) 50 30 year fixed-rate 36,352 (27 ) 5 891,280 (5,546 ) 37 927,632 (5,573 ) 42 ARM — — — 1,360 (36 ) 1 1,360 (36 ) 1 Hybrid ARM 89,303 (217 ) 7 254 (4 ) 2 89,557 (221 ) 9 Total Agency pass-through 910,779 (2,628 ) 48 962,810 (6,266 ) 54 1,873,589 (8,894 ) 102 Agency-CMO (1) 24,918 (1,255 ) 15 26,085 (759 ) 4 51,003 (2,014 ) 19 Non-Agency RMBS 582,750 (7,881 ) 63 265,241 (3,824 ) 27 847,991 (11,705 ) 90 GSE CRT (2) — — — 36,080 (947 ) 3 36,080 (947 ) 3 CMBS (3) 68,209 (318 ) 10 61,382 (1,037 ) 6 129,591 (1,355 ) 16 Total 1,586,656 (12,082 ) 136 1,351,598 (12,833 ) 94 2,938,254 (24,915 ) 230 (1) Fair value includes unrealized losses on Agency IO of $1.7 million and unrealized losses on CMO of $346,000 . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. (3) Amounts disclosed includes CMBS with a fair value of $10.7 million for which the fair value option has been elected. Such securities have unrealized losses of $36,000 . 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 872,575 (7,286 ) 66 316,010 (10,699 ) 20 1,188,585 (17,985 ) 86 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 6,095,710 (78,451 ) 368 1,675,435 (73,001 ) 91 7,771,145 (151,452 ) 459 (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. Amounts disclosed includes GSE CRT with a fair value of $12.4 million for which the fair value option has been elected. Such securities have unrealized losses of $56,000 . Gross unrealized losses on the Company’s Agency RMBS and CMO were $8.9 million and $346,000 , respectively, at September 30, 2016 . Due to the inherent credit quality of Agency RMBS and CMO, the Company determined that at September 30, 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 $15.7 million at September 30, 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 $1.2 million and $8.4 million in other-than-temporary impairments ("OTTI") on RMBS interest-only and non-Agency RMBS securities during the three and nine months ended September 30, 2016 , respectively. As the Company had previously elected the fair value option for RMBS interest-only securities, the OTTI was recorded as a reclassification from an unrealized to a realized loss within gain (loss) on investments, net on the consolidated statement of operations. The Company did not record any OTTI for the three and nine months ended September 30, 2015 . As of September 30, 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 following table presents the changes in OTTI included in earnings for the three and nine months ended September 30, 2016 and 2015 . $ in thousands Three Months Three Months Nine Months ended Nine Months ended Cumulative credit loss at beginning of period 7,208 — — — Additions: — — — — Other-than-temporary impairments not previously recognized 1,038 — 8,364 — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 118 — — — Cumulative credit loss at end of period 8,364 — 8,364 — The following table summarizes the changes in accumulated other comprehensive income (loss) related to the Company’s GSE CRT debt host contracts and available-for-sale MBS for the three and nine months ended September 30, 2016 and 2015 . The Company reclassifies unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when it sells investments. The table excludes MBS and GSE CRT that are accounted for under the fair value option. $ in thousands Three Months Three Months Nine Months ended Nine Months ended Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 404,794 298,251 177,799 376,336 Unrealized gain (loss) on MBS and GSE CRT 32,015 42,933 270,591 (30,611 ) Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net — 389 (11,581 ) (4,152 ) Balance at the end of period 436,809 341,573 436,809 341,573 The following table summarizes the components of the Company's total gain (loss) on investments, net for the three and nine months ended September 30, 2016 and 2015 . $ in thousands Three Months Three Months Nine Months ended Nine Months ended Gross realized gain on sale of investments 144 991 14,196 5,498 Gross realized loss on sale of investments (1,449 ) (1,404 ) (3,920 ) (1,370 ) Other-than-temporary impairment losses (1,156 ) — (8,364 ) — Net unrealized gains and losses on MBS accounted for under the fair value option (5,412 ) (1,554 ) 2,530 6,891 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 1,181 — 1,418 — Net unrealized gains and losses on U.S. Treasury securities accounted for as trading securities (463 ) — — — Total gain (loss) on investments, net (7,155 ) (1,967 ) 5,860 11,019 The following table presents components of interest income recognized on the Company’s MBS and GSE CRT portfolio for the three and nine months ended September 30, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. For the three months ended September 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 88,615 (31,773 ) 56,842 Non-Agency 22,775 3,509 26,284 GSE CRT 2,268 (765 ) 1,503 CMBS 29,872 (2,788 ) 27,084 Other 795 (41 ) 754 Total 144,325 (31,858 ) 112,467 For the three months ended September 30, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 93,366 (32,153 ) 61,213 Non-Agency 26,761 4,452 31,213 GSE CRT 1,663 (782 ) 881 CMBS 38,350 (3,342 ) 35,008 Other (10 ) — (10 ) Total 160,130 (31,825 ) 128,305 For the nine months ended September 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 258,826 (84,235 ) 174,591 Non-Agency 72,751 9,645 82,396 GSE CRT 6,601 (2,307 ) 4,294 CMBS 93,612 (8,567 ) 85,045 Other 1,305 (58 ) 1,247 Total 433,095 (85,522 ) 347,573 For the nine months ended September 30, 2015 $ in thousands Coupon Net (Premium Interest Agency 282,132 (93,840 ) 188,292 Non-Agency 85,854 13,445 99,299 GSE CRT 4,849 (2,312 ) 2,537 CMBS 113,862 (8,193 ) 105,669 Other 47 — 47 Total 486,744 (90,900 ) 395,844

Commercial Loans Held-for-Inves

Commercial Loans Held-for-Investment	9 Months Ended
	Sep. 30, 2016
Receivables [Abstract]
Commercial Loans Held-for-Investment	Commercial Loans Held-for-Investment The following table summarizes commercial loans held-for-investment as of September 30, 2016 and December 31, 2015 that were purchased or originated by the Company. September 30, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 273,686 (395 ) 273,291 8.07 % 1.86 Total 10 273,686 (395 ) 273,291 8.07 % 1.86 December 31, 2015 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 6 210,769 (1,707 ) 209,062 7.97 % 1.75 Total 6 210,769 (1,707 ) 209,062 7.97 % 1.75 (1) Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements. These loans were not impaired, and no allowance for loan loss has been recorded as of September 30, 2016 and December 31, 2015 .

Other Assets

Other Assets	9 Months Ended
	Sep. 30, 2016
Schedule of Investments [Abstract]
Other Assets	Other Assets The following table summarizes the Company's other assets as of September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 December 31, 2015 Reverse repurchase agreement 75,000 — FHLBI stock 74,250 75,375 Investments in unconsolidated ventures 32,763 38,413 Prepaid expenses 1,501 1,284 Total 183,514 115,072 The Company entered in a short-term reverse repurchase agreement in September 2016 with a fixed rate of 0.90% and received U.S. Treasury securities as collateral under the agreement. The reverse repurchase agreement is treated as a collateralized financing transaction and carried at its contractual amount, including accrued interest. The Company did not sell or repledge the collateral received. 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	9 Months Ended
	Sep. 30, 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 September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 Weighted Weighted Average MBS and Average Remaining GSE CRTs Amount Interest Maturity Pledged as Outstanding Rate (days) Collateral (1) Repurchase Agreements: Agency RMBS 9,002,003 0.70 % 15 9,495,729 Non-Agency RMBS 1,626,907 1.91 % 34 2,017,629 GSE CRT 434,128 2.11 % 26 588,017 CMBS 997,464 1.70 % 18 1,242,964 Total Repurchase Agreements 12,060,502 1.07 % 18 13,344,339 Secured Loans 1,650,000 0.63 % 2,774 1,979,412 Exchangeable Senior Notes (2) 400,000 5.00 % 531 — Total Borrowings 14,110,502 1.07 % 355 15,323,751 $ in thousands December 31, 2015 Weighted Weighted Average MBS and Average Remaining GSE CRTs Amount Interest Maturity Pledged as Outstanding Rate (days) Collateral (1) Repurchase Agreements: Agency RMBS 8,389,643 0.65 % 24 8,827,976 Non-Agency RMBS 2,077,240 1.68 % 32 2,563,877 GSE CRT 488,275 1.91 % 19 640,828 CMBS 1,170,890 1.49 % 23 1,427,607 Total Repurchase Agreements 12,126,048 0.96 % 25 13,460,288 Secured Loans 1,650,000 0.55 % 2,937 1,949,699 Exchangeable Senior Notes (2) 400,000 5.00 % 805 — Total Borrowings 14,176,048 1.02 % 386 15,409,987 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." As of September 30, 2016 , the Company also pledged Agency RMBS with a fair value of $169.8 million ( December 31, 2015 : $143.9 million ) as collateral against its interest rate swaps. See Note 8 - "Derivative and Hedging Activities" for additional information. (2) The carrying value of exchangeable senior notes is $396.4 million and $394.6 million as of September 30, 2016 and December 31, 2015 , respectively. The carrying value is net of debt issuance costs of $3.6 million and $5.4 million as of September 30, 2016 and December 31, 2015 , respectively. The following table shows the aggregate amount of maturities of the Company's outstanding borrowings: $ in thousands As of September 30, 2017 12,060,502 2018 400,000 2019 — 2020 300,000 2021 100,000 Thereafter 1,250,000 Total 14,110,502 The following tables summarize certain characteristics of the Company’s repurchase agreements and secured loans at September 30, 2016 and December 31, 2015 . September 30, 2016 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRTs Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc 1,525,553 11.1 % 1,585,305 ING Financial Market LLC 1,282,856 9.4 % 1,357,344 Royal Bank of Canada 1,141,588 8.3 % 1,346,702 South Street Securities LLC 808,445 5.9 % 846,859 Mitsubishi UFJ Securities (USA), Inc. 751,338 5.5 % 791,305 Industrial and Commercial Bank of China Financial Services LLC 687,602 5.0 % 723,710 Pierpont Securities LLC 677,562 4.9 % 710,636 JP Morgan Securities Inc. 506,780 3.7 % 587,973 Scotia Capital 504,986 3.7 % 524,343 Goldman, Sachs & Co. 503,471 3.7 % 642,598 KGS-Alpha Capital Markets, L.P. 477,243 3.5 % 503,042 Citigroup Global Markets Inc. 443,440 3.2 % 556,574 E D & F Man Capital Markets Inc 405,297 3.0 % 427,750 BNP Paribas Securities Corp. 389,923 2.8 % 429,201 Guggenheim Liquidity Services, LLC 374,773 2.7 % 394,749 Wells Fargo Securities, LLC 366,147 2.7 % 437,727 Societe Generale 332,727 2.4 % 436,285 Natixis, New York Branch 276,918 2.0 % 299,093 All other counterparties (2) 603,853 4.5 % 743,143 Total Repurchase Agreement Counterparties 12,060,502 88.0 % 13,344,339 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,979,412 Total 13,710,502 100.0 % 15,323,751 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." (2) Represents amounts outstanding with seven counterparties. December 31, 2015 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRTs Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc 1,566,747 11.4 % 1,611,020 Royal Bank of Canada 1,148,480 8.3 % 1,383,839 ING Financial Market LLC 1,050,548 7.6 % 1,112,102 South Street Securities LLC 799,783 5.8 % 838,600 Pierpont Securities LLC 786,623 5.7 % 814,804 Industrial and Commercial Bank of China Financial Services LLC 695,933 5.1 % 730,941 Mitsubishi UFJ Securities (USA), Inc. 627,383 4.6 % 657,201 JP Morgan Securities Inc. 622,665 4.5 % 728,502 Citigroup Global Markets Inc. 585,632 4.3 % 725,882 Scotia Capital 576,137 4.2 % 598,343 BNP Paribas Securities Corp. 474,053 3.4 % 530,584 Wells Fargo Securities, LLC 463,673 3.4 % 551,667 Goldman, Sachs & Co. 428,799 3.1 % 552,549 KGS-Alpha Capital Markets, L.P. 380,286 2.8 % 400,758 Banc of America Securities LLC 380,520 2.8 % 442,801 Morgan Stanley & Co. Incorporated 273,124 2.0 % 320,484 Guggenheim Liquidity Services, LLC 265,709 1.9 % 279,345 All other counterparties (2) 999,953 7.1 % 1,180,866 Total Repurchase Agreement Counterparties: 12,126,048 88.0 % 13,460,288 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,949,699 Total 13,776,048 100.0 % 15,409,987 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." (2) Represents amounts outstanding with nine counterparties. 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. Collateral posted with the Company's repurchase agreement counterparties is segregated in the Company's books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by the Company, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value as determined by a pricing service agreed to by the Company and the respective lender. 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 September 30, 2016 . The Company's repurchase agreement collateral ratio (Company MBS and GSE CRTs Held as Collateral/Amount Outstanding) was 111% as of September 30, 2016 ( December 31, 2015 : 111% ). The Company was not required to post cash collateral with its repurchase agreement counterparties at September 30, 2016 ( December 31, 2015 : posted $710,000 ). Cash margin posted by the Company is classified as due from counterparties. Secured Loans The Company's wholly-owned captive insurance 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 September 30, 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 nine months ended September 30, 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 7.60 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. Collateral posted with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with the Company’s other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. A reduction in the value of pledged assets would require IAS Services LLC to provide additional collateral. As of September 30, 2016 , the FHLBI advances were collateralized by CMBS and Agency RMBS with a fair value of $ 1.4 billion and $ 554.1 million , respectively as determined by an independent third party pricing service as described in Note 2 - “Summary of Significant Accounting Policies - Fair Value” of the Company’s financial statements. 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	9 Months Ended
	Sep. 30, 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 Swaps 11,450,000 — (4,950,000 ) 6,500,000 Interest Rate Swaptions 300,000 — (300,000 ) — Currency Forward Contracts 76,324 231,205 (240,256 ) 67,273 Credit Derivatives 645,000 — (74,110 ) 570,890 Total 12,471,324 231,205 (5,564,366 ) 7,138,163 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 $4.8 million as a decrease ( September 30, 2015 : $15.7 million as an increase) and $11.3 million ( September 30, 2015 : $51.2 million ) as an increase to interest expense for the three and nine months ended September 30, 2016 , respectively. During the next 12 months, the Company estimates that $25.3 million will be reclassified as a decrease to interest expense, repurchase agreements. As of September 30, 2016 , $159.5 million ( December 31, 2015 : $148.3 million ) of unrealized gain/(loss) on discontinued cash flow hedges, net is still included in accumulated other comprehensive income. As of September 30, 2016 , the Company had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate 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 500,000 5/24/2021 2.25 % Citibank, N.A. 200,000 5/25/2021 2.83 % CME Central Clearing 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 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % CME Central Clearing 100,000 4/2/2025 2.04 % Total 6,500,000 2.14 % At September 30, 2016 , the Company’s counterparties held $241.2 million in cash margin deposits and approximately $169.8 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 September 30, 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 September 30, 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 September 30, 2016 , the Company has no outstanding interest rate swaptions. 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. As of September 30, 2016 , the Company has no outstanding TBAs and futures contracts. 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. 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 credit derivative. Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the consolidated balance sheets. At September 30, 2016 and December 31, 2015 , terms of the GSE CRT embedded derivatives are: $ in thousand September 30, 2016 December 31, 2015 Fair value amount 19,470 (25,722 ) Notional amount 570,890 645,000 Maximum potential amount of future undiscounted payments 570,890 645,000 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 September 30, 2016 and December 31, 2015 . $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2016 As of December 31, 2015 As of September 30, 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 382,237 238,045 Currency Forward Contracts 505 1,864 Currency Forward Contracts 84 103 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 and nine months ended September 30, 2016 and 2015 . $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three months ended September 30, 2016 Three months ended CDS Contract Realized and unrealized credit derivative income (loss), net — (96 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 25,963 (3,848 ) Total 25,963 (3,944 ) $ in thousands Derivative Location of unrealized gain (loss) Nine months ended September 30, 2016 Nine months ended September 30, 2015 CDS Contract Realized and unrealized credit derivative income (loss), net — 648 GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 39,175 7,275 Total 39,175 7,923 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 and nine months ended September 30, 2016 and 2015 : $ in thousands Three months ended September 30, 2016 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (5,090 ) (26,388 ) 65,396 33,918 Currency Forward Contracts 6,437 — (4,977 ) 1,460 Total 1,347 (26,388 ) 60,419 35,378 $ in thousands Nine months ended September 30, 2016 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (69,090 ) (80,464 ) (150,986 ) (300,540 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 8,353 — (1,341 ) 7,012 Total (62,222 ) (80,464 ) (150,842 ) (293,528 ) $ in thousands Three months ended September 30, 2015 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps — (46,785 ) (173,817 ) (220,602 ) Interest Rate Swaptions (2,590 ) — 2,590 — Currency Forward Contracts (489 ) — 489 — Total (3,079 ) (46,785 ) (170,738 ) (220,602 ) $ in thousands Nine months ended September 30, 2015 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (31,881 ) (138,404 ) (113,151 ) (283,436 ) Interest Rate Swaptions (10,328 ) — 8,594 (1,734 ) TBAs (2,292 ) — 558 (1,734 ) Futures Contracts (943 ) — (90 ) (1,033 ) Currency Forward Contracts 1,050 — (457 ) 593 Total (44,394 ) (138,404 ) (104,546 ) (287,344 ) 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 September 30, 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 $153.0 million . The Company has minimum collateral posting thresholds with certain of its derivative counterparties and has posted collateral of $169.8 million of Agency RMBS and $241.2 million of cash as of September 30, 2016 . If the Company had breached any of these provisions at September 30, 2016 , it could have been required to settle its obligations under the agreements at their termination value. In addition, as of September 30, 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 $245.5 million . The Company was in compliance with all of the financial provisions of these counterparty agreements as of September 30, 2016 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	9 Months Ended
	Sep. 30, 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 September 30, 2016 and December 31, 2015 . Offsetting of Derivative Assets As of September 30, 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 Cash Collateral Received Net Amount Derivatives (1) (5) 505 — 505 (84 ) — 421 Reverse Repurchase Agreement (2) 75,000 — 75,000 (74,791 ) — 209 Total 75,505 — 75,505 (74,875 ) — 630 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 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 (3) Cash Collateral Posted Net Amount Derivatives (5) 382,321 — 382,321 (151,820 ) (230,501 ) — Repurchase Agreements (4) 12,060,502 — 12,060,502 (12,060,502 ) — — Secured Loans (6) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,092,823 — 14,092,823 (13,862,322 ) (230,501 ) — Offsetting of Derivative Assets As of December 31, 2015 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 Cash Collateral Received Net Amount Derivatives (1) (5) 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 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 (3) Cash Collateral Posted Net Amount Derivatives (5) 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements (4) 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans (6) 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 September 30, 2016 and December 31, 2015 , subject to a netting arrangement. (2) The Company received U.S. Treasury securities with a fair value of $74.8 million as collateral under a reverse repurchase agreement as of September 30, 2016 . (3) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (4) The fair value of securities pledged against the Company's borrowing under repurchase agreements was $13.3 billion and $13.5 billion at September 30, 2016 and December 31, 2015 , respectively. (5) No cash collateral was posted by the Company's derivative counterparties at September 30, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015 , respectively. (6) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at September 30, 2016 and December 31, 2015 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2016
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	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. September 30, 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) — 16,054,607 19,470 16,074,077 Derivative assets — 505 — 505 Total assets — 16,055,112 19,470 16,074,582 Liabilities: Derivative liabilities — 382,321 — 382,321 Total liabilities — 382,321 — 382,321 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 purchased prior to August 24, 2015 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 September 30, 2016 , the net embedded derivative asset position of $19.5 million includes $22.7 million of embedded derivatives in an asset position and $3.3 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: Three Months Ended Nine Months Ended $ in thousands 2016 2015 2016 2015 Beginning balance (6,493 ) (10,372 ) (25,722 ) (21,495 ) Sales and settlements — (284 ) 6,017 2,184 Total net gains / (losses) included in net income: — — — — Realized gains/(losses), net — 284 (6,017 ) (2,184 ) Unrealized gains/(losses), net 25,963 (3,848 ) 45,192 7,275 Ending balance 19,470 (14,220 ) 19,470 (14,220 ) The following table summarizes significant unobservable inputs used in the fair value measurement of the Company's GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands September 30, 2016 Technique Input Range Average GSE CRT Embedded Derivatives 19,470 Market Comparables, Vendor Pricing Weighted average life 2.7 - 8.1 5.9 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. The Company estimates the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. Prior to the third quarter of 2016, the Company used prepayment and default rates to estimate the weighted average life. During the third quarter of 2016, the Company utilized weighted average life estimates obtained from a third party provider. Although weighted average life is a significant input, changes in weighted average life may 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 September 30, 2016 and December 31, 2015 : September 30, 2016 December 31, 2015 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 273,291 273,920 209,062 209,790 Other assets 183,514 183,514 115,072 115,072 Total 456,805 457,434 324,134 324,862 Financial Liabilities Repurchase agreements 12,060,502 12,060,505 12,126,048 12,133,252 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 396,420 400,000 394,573 376,500 Total 14,106,922 14,110,505 14,170,621 14,159,752 The following describes the Company’s methods for estimating the fair value for financial instruments. • The estimated 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 estimated 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 September 30, 2016 and December 31, 2015 , the fair value of FHLBI stock is $74.3 million and $75.4 million , respectively. • The estimated 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 September 30, 2016 and December 31, 2015 , the fair value of investments in unconsolidated ventures is $32.8 million and $38.4 million , respectively. • The estimated fair value of the Company's reverse repurchase agreement, included in "Other assets," is a Level 2 fair value measurement. The reverse repurchase agreement has a fixed rate for a short term. Accordingly, the interest rate on the repurchase agreement is at market, and thus the carrying amount of $75.0 million at September 30, 2016 approximates fair value. The Company did not hold any reverse repurchase agreements as of December 31, 2015 . • The estimated 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 estimated 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 and the spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value. • The estimated 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	9 Months Ended
	Sep. 30, 2016
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions The Company has invested $46.9 million and $47.4 million as of September 30, 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 September 30, 2016 , the Company incurred management fees of $6.7 million ( September 30, 2015 : $10.1 million ). For the nine months ended September 30, 2016 , the Company incurred management fees of $25.3 million ( September 30, 2015 : $28.8 million ). The Company recorded a cumulative one-time adjustment of $2.3 million during the three months ended September 30, 2016 related to a prior adjustment for the accounting for premiums and discounts associated with non-Agency RMBS not of high credit quality. Refer to Note 16 – “Revision of Previously Issued Financial Statements” for further information. As of September 30, 2016 , the Company owes the Manager $9.0 million for management fees. 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 and nine months ended September 30, 2016 and 2015 . Three Months Ended Nine Months Ended $ in thousands 2016 2015 2016 2015 Incurred costs, prepaid or expensed 2,652 2,690 5,827 5,039 Incurred costs, capitalized to other assets — — 50 — Total incurred costs, originally paid by the Manager 2,652 2,690 5,877 5,039 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 September 30, 2016 , the Company did not incur any costs related to such transactions. For the nine months ended September 30, 2016 , the Company incurred $692,000 ( September 30, 2015 : $0 ) of costs related to such transactions. As of September 30, 2016 , the Company owed the Manager $2,000 for such costs. 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	9 Months Ended
	Sep. 30, 2016
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity 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. Common Stock During the nine months ended September 30, 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 . Effective April 1, 2016, the Company terminated its DRSPP and replaced the DRSPP program with a direct stock purchase plan and dividend reinvestment program administered by an affiliate of its transfer agent. Accumulated Other Comprehensive Income The following table presents the components of accumulated other comprehensive income at September 30, 2016 and December 31, 2015 , respectively. The table excludes MBS and GSE CRTs that are accounted for under the fair value option. $ in thousands September 30, 2016 December 31, 2015 Unrealized gain/(loss) on mortgage-backed and credit risk transfer securities, net 426,142 170,383 Unrealized gain/(loss) on discontinued cash flow hedges, net 159,463 148,273 Currency translation adjustments on investment in unconsolidated venture (42 ) (32 ) Accumulated other comprehensive income 585,563 318,624 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 original life of the interest rate swap agreements. 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. 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 nine months ended September 30, 2016 , the Company repurchased and concurrently retired 2,063,451 shares of its common stock at a weighted average repurchase price of $12.12 per share for a net cost of $25.0 million , including acquisition expenses. As of September 30, 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 ( September 30, 2015 : $85,000 ) and approximately $255,000 ( September 30, 2015 : $255,000 ) related to the Company's non-executive directors for the three and nine months ended September 30, 2016 and 2015 , respectively. During the three months ended September 30, 2016 and 2015 , the Company issued 5,448 shares and 6,152 shares of stock, respectively, pursuant to the Incentive Plan to the Company’s non-executive directors. During the nine months ended September 30, 2016 and 2015 , the Company issued 19,356 shares and 16,896 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 $75,000 ( September 30, 2015 : $31,000 ) and $170,000 ( September 30, 2015 : $168,000 ) for the three and nine months ended September 30, 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 September 30, 2016 there was approximately $542,000 of total unrecognized compensation cost related to certain share-based compensation awards that is expected to be recognized over a period of up to 42 months, with a weighted-average remaining vesting period of 17.52 months. The following table summarizes the activity related to restricted stock units to employees of the Manager and its affiliates for the three and nine months ended September 30, 2016 . Three Months Ended September 30, Nine Months Ended September 30, 2016 2016 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 46,000 $ 14.40 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 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 September 14, 2016 , the Company declared the following dividends: • a dividend of $0.40 per share of common stock to be paid on October 26, 2016 to stockholders of record as of the close of business on September 27, 2016 ; • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on October 25, 2016 to stockholders of record as of the close of business on October 1, 2016 ; and • a dividend of $0.4844 per share of Series B Preferred Stock to be paid on December 27, 2016 to stockholders of record as of the close of business on December 5, 2016 .

Earnings per Common Share

Earnings per Common Share	9 Months Ended
	Sep. 30, 2016
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three and nine months ended September 30, 2016 and 2015 is computed as follows: Three Months Ended Nine Months Ended $ and share amounts in thousands 2016 2015 2016 2015 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 129,219 (144,515 ) (38,558 ) (15,985 ) Effect of dilutive securities: Income allocated to exchangeable senior notes 5,620 — — — Income (loss) allocated to non-controlling interest 1,723 (1,628 ) (235 ) (10 ) Dilutive net income (loss) available to stockholders 136,562 (146,143 ) (38,793 ) (15,995 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,587 122,047 112,101 122,763 Effect of dilutive securities: Restricted stock awards 46 — — — OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes 16,835 — — — Dilutive Shares 129,893 123,472 113,526 124,188 The following potential common shares were excluded from diluted earnings per common share for the nine months ended September 30, 2016 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 44,785 for restricted stock awards, respectively. The following potential common shares were excluded from diluted earnings per share for the three and nine months ended September 30, 2015 as the effective would be anti-dilutive: 16,835,720 for the exchangeable senior notes, respectively, and 40,810 and 41,404 for restricted stock awards, respectively.

Non-controlling Interest - Oper

Non-controlling Interest - Operating Partnership	9 Months Ended
	Sep. 30, 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 September 30, 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 and nine months ended September 30, 2016 and 2015 . Three Months Ended Nine Months Ended $ in thousands 2016 2015 2016 2015 Net income (loss) allocated 1,723 (1,628 ) (235 ) (10 ) Distributions paid 570 570 1,710 1,853 As of September 30, 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	9 Months Ended
	Sep. 30, 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 September 30, 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 September 30, 2016 and December 31, 2015 , the Company’s undrawn capital and purchase commitments were $16.3 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 September 30, 2016 and December 31, 2015 , the Company has unfunded commitments on commercial loans held-for-investment of $11.8 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.

Revision of Previously Issued F

Revision of Previously Issued Financial Statements	9 Months Ended
	Sep. 30, 2016
Accounting Changes and Error Corrections [Abstract]
Revision of Previously Issued Financial Statements	Revision of Previously Issued Financial Statements During the second quarter of 2016, the Company corrected errors in its accounting for premiums and discounts associated with non-Agency RMBS not of high credit quality. Premiums and discounts are amortized and recorded as interest income in the Company's financial statements based on estimated future cash flows. The Company determined that the future cash flow assumptions used to develop its estimated premium amortization and discount accretion did not support its reported interest income. The Company revised its future cash flow estimates and also corrected its financial statements to account for the difference between actual and expected future cash flows as an adjustment to the amortized cost of the security and a prospective adjustment to the security's yield. The Company concluded that the errors are immaterial to each of the annual and interim consolidated financial statements which were included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 and its interim report on Form 10-Q for the quarter ended March 31, 2016. The Company has revised its consolidated financial statements as of December 31, 2015 and for the three and nine months ended September 30, 2015 presented in this Report on Form 10-Q and will revise its previously issued financial statements to correct these errors when the financial statements are presented in future periodic filings. The following changes have been made to the Company's Consolidated Balance Sheet as of December 31, 2015 : $ in thousands December 31, 2015 As Reported Adjustment As Revised Accumulated other comprehensive income 303,110 15,514 318,624 Retained earnings (distributions in excess of earnings) (755,799 ) (15,514 ) (771,313 ) The following changes have been made to the Company's Unaudited Consolidated Statements of Operations for the three and nine months ended September 30, 2015 : $ in thousands Three Months Ended September 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 129,260 (955 ) 128,305 Other Income Gain (loss) on investments, net (2,958 ) 991 (1,967 ) Net income (140,463 ) 36 (140,427 ) Net income attributable to non-controlling interest (1,629 ) 1 (1,628 ) Net income attributable to Invesco Mortgage Capital Inc. (138,834 ) 35 (138,799 ) Net income attributable to common stockholders (144,550 ) 35 (144,515 ) Earnings per share: Net income attributable to common stockholders Basic (1.18 ) — (1.18 ) Diluted (1.18 ) — (1.18 ) $ in thousands Nine Months Ended September 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 390,623 5,221 395,844 Other Income (loss) Gain (loss) on investments, net 10,090 929 11,019 Net income (4,997 ) 6,150 1,153 Net income attributable to non-controlling interest (80 ) 70 (10 ) Net income attributable to Invesco Mortgage Capital Inc. (4,917 ) 6,080 1,163 Net income attributable to common stockholders (22,065 ) 6,080 (15,985 ) Earnings per share: Net income attributable to common stockholders Basic (0.18 ) 0.05 (0.13 ) Diluted (0.18 ) 0.05 (0.13 ) The following changes have been made to the Company's Unaudited Consolidated Statement of Comprehensive Income for the three and nine months ended September 30, 2015 : $ in thousands Three Months Ended September 30, 2015 As Reported Adjustment As Revised Net income (loss) (140,463 ) 36 (140,427 ) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net 41,978 955 42,933 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net 1,380 (991 ) 389 Total other comprehensive income (loss) 59,049 (36 ) 59,013 $ in thousands Nine Months Ended September 30, 2015 As Reported Adjustment As Revised Net income (loss) (4,997 ) 6,150 1,153 Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net (25,390 ) (5,221 ) (30,611 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net (3,223 ) (929 ) (4,152 ) Total other comprehensive income (loss) 22,536 (6,150 ) 16,386 The following changes have been made to the Company's Unaudited Consolidated Statement of Cash Flows for the nine months ended September 30, 2015 : $ in thousands Nine Months Ended September 30, 2015 As Reported Adjustment As Revised Cash Flows from Operating Activities Net income (4,997 ) 6,150 1,153 Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 96,121 (5,221 ) 90,900 (Gain) loss on investments, net (10,090 ) (929 ) (11,019 ) Non-cash Investing and Financing Activities Information Net change in unrealized gain on mortgage-backed and credit risk transfer securities (28,613 ) (6,150 ) (34,763 )

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 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 Accoun25

Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2016
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation and Consolidation Certain disclosures included in the Company’s Annual Report on 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 statement 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.
U.S. Treasury Securities	U.S. Treasury Securities U.S. Treasury Securities are classified as trading securities and are recorded at fair value. The Company records its purchases of U.S. Treasury Securities on the trade date. Changes in fair value are recognized in gain (loss) on investments, net in the Company’s consolidated statements of operations. Interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums are amortized into interest income over the contractual lives of the securities using a level yield method.
Fair Value Measurements	Fair Value Measurements The Company reports its mortgage-backed and credit risk transfer securities and derivative assets and liabilities at fair value as determined by an independent pricing service. The Company generally obtains one price per instrument from its primary pricing service. If the primary pricing service cannot provide a price, the Company will seek a value from other pricing services. The pricing service uses two types of valuation approaches to determine the valuation of the Company’s various mortgage-backed and credit risk transfer securities: a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities; and an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. In instances where sufficient market activity may not exist, the pricing service may utilize proprietary valuation models that may consider market transactions in comparable securities and the various relationship between securities in determining fair value and/or market characteristics to estimate relevant cash flows, which are then discounted to calculate the fair values. Observable inputs may include a combination of benchmark yields, executed trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities to determine prices. In addition, the valuation models utilized by pricing services may consider additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. Both the Company and the pricing service continuously monitor market indicators and economic events to determine if any may have an impact on the valuations. The pricing service values interest rate swaps and interest rate swaptions under the income approach using valuation models. The significant inputs in these models are readily available in public markets or can be derived from observable market transactions for substantially the full terms of the contracts. The pricing service values U.S. Treasury futures, currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted market prices available in an active market. Overrides of prices from pricing services are rare in the current market environment for the assets the Company holds. Examples of instances that would cause an override include if the Company recently traded the same security or there is an indication of market activity that would cause the pricing service price to no longer be indicative of fair value. In the rare instance where a price is adjusted, the Company has a control process to monitor the reason for such adjustment. To gain comfort that pricing service prices are representative of current market information, the Company compares the transaction prices of security purchases and sales to the valuation levels provided by the pricing services. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the pricing services are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the pricing services which help the Company understand data points and/or market inputs used for pricing securities. The Company also reviews daily price movements for interest rate swaps, interest rate swaptions, U.S. Treasury futures, currency forward contracts and TBAs. Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information. Based on the Company’s findings, the primary pricing service may be challenged, or in rare cases, overridden with an alternate pricing source. In addition, the Company performs due diligence procedures on all pricing services on at least an annual basis. A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each pricing service's office. As described in Note 10 - "Fair Value of Financial Instruments," the Company evaluates the source used to fair value its assets and liabilities and makes a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. Transfers between levels, if any, are determined by the Company at the end of the reporting period.
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities All of the Company’s mortgage-backed securities ("MBS") and GSE CRTs are reported at fair value. Fair value is determined by obtaining valuations from an independent source. If the fair value of a security is not available from a third-party pricing service, or such data appears unreliable, the Company may estimate the fair value of the security using a variety of methods including other pricing services, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors. The Company records its purchases of MBS and GSE CRTs on the trade date. Although the Company generally intends to hold most of its MBS and GSE CRTs until maturity, the Company may sell any of its mortgage-backed and credit risk transfer securities as part of its overall management of its investment portfolio. The Company has elected the fair value option for all of its MBS purchased on or after September 1, 2016. Prior to September 1, 2016, the Company had also elected the fair value option for its RMBS interest-only securities (“RMBS IOs”). RMBS IOs are hybrid financial instruments that contain embedded derivatives. Under the fair value option, changes in fair value are recognized in the Company’s consolidated statements of operations. In the Company's view, this election more appropriately reflects the results of the Company's operations because MBS fair value changes are accounted for in the same manner as fair value changes in economic hedging instruments. Except for RMBS IOs, MBS purchased prior to September 1, 2016 are classified as available-for-sale securities. Unrealized gains or losses on available-for-sale securities are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. The Company has elected the fair value option for GSE CRTs purchased on or after August 24, 2015. GSE CRTs are hybrid financial instruments that contain embedded derivatives. Coupon payments on the securities are based on LIBOR, and principal payments are based on prepayments, losses and defined credit events in a reference pool of mortgage loans that collateralize Agency RMBS. The Company elected the fair value option for these securities due to the complexities associated with bifurcation of GSE CRTs into the debt host contract and embedded derivative. Under the fair value option, changes in fair value for GSE CRTs are recognized in the Company's consolidated statements of operations. GSE CRTs purchased prior to August 24, 2015 are also reported at fair value but are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income, a separate component of stockholders’ equity, until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity is recognized in income. Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative are recognized in realized and unrealized credit derivative income (loss), net in the Company’s consolidated statements of operations. The Company’s interest income recognition policies for MBS and GSE CRTs is described below in the Interest Income Recognition section of this Note 2 to the Company’s consolidated financial statements. The Company considers its portfolio of Agency RMBS to be of high credit quality under applicable accounting guidance. For non-Agency RMBS, GSE CRTs and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. The Company uses internal models that analyze the loans underlying each security and evaluates factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows. The Company places reliance on these internal models in determining credit quality. While non-Agency RMBS, GSE CRTs and CMBS with expected future losses would generally be purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains. The Company therefore evaluates each security for other-than-temporary impairment at least quarterly. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than amortized cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent to sell the security and whether it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. The Company recognizes in earnings and reflects as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that the Company intends to sell or for which it is more likely than not that the Company will need to sell before recoveries. The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of consolidated stockholders’ equity in other comprehensive income or loss with no change to the cost basis of the security.
Interest Income Recognition	Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on the Company's non-Agency MBS (and other prepayable mortgage-backed securities where the Company may not recover substantially all of its initial investment) is based on estimated future cash flows. Management estimates future expected cash flows at the time of purchase and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. Over the life of the investments, management updates these estimated future cash flows and computes a revised yield based on the current amortized cost of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and the Company's interest income. When actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security and the security's yield is revised prospectively. Changes in cash flows from the Company's original or most recent projection may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For Agency RMBS that cannot be prepaid in such a way that the Company would not recover substantially all of its initial investment, interest income recognition is based on contractual cash flows. The Company does not estimate prepayments in applying the effective interest method.
Reverse Repurchase Agreements	Reverse Repurchase Agreements Reverse repurchase agreements are treated as collateralized financing transactions. Cash paid to the borrower is recorded as other assets on the Company's consolidated balance sheets. Interest receivable on reverse repurchase agreements is recorded as accrued interest receivable. The Company reflects all proceeds and repayments of reverse repurchase agreement on a net basis in the Company's consolidated statement of cash flows. The Company monitors the market value of the underlying collateral to ensure it remains sufficient to protect the Company in the event of default by the counterparty. If the Company were to sell the underlying collateral, the Company would recognize its obligation to return the underlying collateral as due to counterparties on the Company's consolidated balance sheets.
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. 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. In June 2016, the FASB issued an amendment to the guidance on reporting credit losses for assets measured at amortized cost and available-for-sale securities. The Company is required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. The Company is currently evaluating the potential impacts of the new guidance on its consolidated financial statements, as well as available transition methods. In August 2016, the FASB issued new guidance that is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted, provided that all of the amendments are adopted in the same period. The Company is currently evaluating the potential impacts of the new guidance on its consolidated financial statements.

Variable Interest Entities (Tab

Variable Interest Entities (Tables)	9 Months Ended
	Sep. 30, 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 September 30, 2016 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss CMBS 2,668,290 2,668,290 Non-Agency RMBS 2,109,115 2,109,115 Investments in unconsolidated ventures 32,763 32,763 Total 4,810,168 4,810,168

Mortgage-Backed and Credit Ri27

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	9 Months Ended
	Sep. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of September 30, 2016 and December 31, 2015 . September 30, 2016 $ in thousands Principal/ Notional 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 3,453,364 153,698 3,607,062 30,890 3,637,952 3.13 % 2.21 % 1.86 % 30 year fixed-rate 3,331,034 215,594 3,546,628 88,937 3,635,565 4.21 % 2.72 % 2.55 % ARM * 321,140 2,917 324,057 7,896 331,953 2.71 % 2.62 % 2.18 % Hybrid ARM 2,593,484 46,411 2,639,895 44,213 2,684,108 2.71 % 2.55 % 2.06 % Total Agency pass-through 9,699,022 418,620 10,117,642 171,936 10,289,578 3.38 % 2.49 % 2.17 % Agency-CMO (4) 1,611,750 (1,257,836 ) 353,914 10,122 364,036 2.22 % 3.25 % 2.42 % Non-Agency RMBS (5)(6)(7) 4,078,976 (2,065,395 ) 2,013,581 95,534 2,109,115 2.18 % 5.06 % 5.06 % GSE CRT (8)(9) 591,460 20,580 612,040 31,018 643,058 1.53 % 0.83 % 0.98 % CMBS (10)(11) 3,076,101 (559,789 ) 2,516,312 151,978 2,668,290 3.89 % 4.33 % 4.28 % Total 19,057,309 (3,443,820 ) 15,613,489 460,588 16,074,077 3.05 % 3.07 % 2.84 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of September 30, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of September 30, 2016 and incorporates future prepayment and loss assumptions. (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 83.5% of principal/notional balance, 24.0% of amortized cost and 24.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.8% fixed rate, 46.1% variable rate, and 7.1% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $261.7 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities which represent 44.0% of principal/notional balance, 1.5% of amortized cost and 1.4% of fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 3.5% 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 coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities which represent 20.2% of principal/notional balance, 0.9% of amortized cost and 0.9% of fair value. (11) The Company has elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 0.4% of principal/notional balance, 0.6% of amortized cost and 0.5% of fair value. December 31, 2015 $ in thousands Principal/Notional 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 (2,363,799 ) 2,602,179 90,308 2,692,487 2.20 % 5.11 % 4.90 % 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 (3,896,616 ) 15,913,497 152,438 16,065,935 3.08 % 3.31 % 3.16 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions. (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 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 based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 42.1% of principal/notional balance, 1.3% of amortized cost and 1.3% of 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 coupon interest associated with embedded derivatives not accounted for under the fair value option 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 components of the carrying value of the Company’s MBS and GSE CRT portfolio at September 30, 2016 and December 31, 2015 are presented below. $ in thousands September 30, 2016 December 31, 2015 Principal balance 19,057,309 19,810,113 Unamortized premium 512,631 495,539 Unamortized discount (3,956,451 ) (4,392,155 ) Gross unrealized gains 485,503 303,890 Gross unrealized losses (24,915 ) (151,452 ) Fair value 16,074,077 16,065,935
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 September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 938,893 44.5 % 1,081,428 40.2 % Alt-A 465,127 22.1 % 544,306 20.2 % Re-REMIC 406,703 19.3 % 663,853 24.7 % Subprime/reperforming 298,392 14.1 % 402,900 14.9 % Total Non-Agency 2,109,115 100.0 % 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 September 30, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) September 30, 2016 December 31, 2015 0% - 10% 15.9 % 11.0 % 10% - 20% 7.3 % 5.6 % 20% - 30% 13.5 % 12.7 % 30% - 40% 16.1 % 20.8 % 40% - 50% 28.5 % 32.8 % 50% - 60% 16.1 % 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. 32.6% 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 September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 December 31, 2015 Less than one year 238,817 427,678 Greater than one year and less than five years 10,957,834 6,237,547 Greater than or equal to five years 4,877,426 9,400,710 Total 16,074,077 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 September 30, 2016 and December 31, 2015 . September 30, 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 785,124 (2,384 ) 36 69,916 (680 ) 14 855,040 (3,064 ) 50 30 year fixed-rate 36,352 (27 ) 5 891,280 (5,546 ) 37 927,632 (5,573 ) 42 ARM — — — 1,360 (36 ) 1 1,360 (36 ) 1 Hybrid ARM 89,303 (217 ) 7 254 (4 ) 2 89,557 (221 ) 9 Total Agency pass-through 910,779 (2,628 ) 48 962,810 (6,266 ) 54 1,873,589 (8,894 ) 102 Agency-CMO (1) 24,918 (1,255 ) 15 26,085 (759 ) 4 51,003 (2,014 ) 19 Non-Agency RMBS 582,750 (7,881 ) 63 265,241 (3,824 ) 27 847,991 (11,705 ) 90 GSE CRT (2) — — — 36,080 (947 ) 3 36,080 (947 ) 3 CMBS (3) 68,209 (318 ) 10 61,382 (1,037 ) 6 129,591 (1,355 ) 16 Total 1,586,656 (12,082 ) 136 1,351,598 (12,833 ) 94 2,938,254 (24,915 ) 230 (1) Fair value includes unrealized losses on Agency IO of $1.7 million and unrealized losses on CMO of $346,000 . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. (3) Amounts disclosed includes CMBS with a fair value of $10.7 million for which the fair value option has been elected. Such securities have unrealized losses of $36,000 . 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 872,575 (7,286 ) 66 316,010 (10,699 ) 20 1,188,585 (17,985 ) 86 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 6,095,710 (78,451 ) 368 1,675,435 (73,001 ) 91 7,771,145 (151,452 ) 459 (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 and nine months ended September 30, 2016 and 2015 . $ in thousands Three Months Three Months Nine Months ended Nine Months ended Cumulative credit loss at beginning of period 7,208 — — — Additions: — — — — Other-than-temporary impairments not previously recognized 1,038 — 8,364 — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 118 — — — Cumulative credit loss at end of period 8,364 — 8,364 —
Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income	The following table summarizes the changes in accumulated other comprehensive income (loss) related to the Company’s GSE CRT debt host contracts and available-for-sale MBS for the three and nine months ended September 30, 2016 and 2015 . The Company reclassifies unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when it sells investments. The table excludes MBS and GSE CRT that are accounted for under the fair value option. $ in thousands Three Months Three Months Nine Months ended Nine Months ended Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 404,794 298,251 177,799 376,336 Unrealized gain (loss) on MBS and GSE CRT 32,015 42,933 270,591 (30,611 ) Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net — 389 (11,581 ) (4,152 ) Balance at the end of period 436,809 341,573 436,809 341,573
Realized Gain (Loss) on Investments	The following table summarizes the components of the Company's total gain (loss) on investments, net for the three and nine months ended September 30, 2016 and 2015 . $ in thousands Three Months Three Months Nine Months ended Nine Months ended Gross realized gain on sale of investments 144 991 14,196 5,498 Gross realized loss on sale of investments (1,449 ) (1,404 ) (3,920 ) (1,370 ) Other-than-temporary impairment losses (1,156 ) — (8,364 ) — Net unrealized gains and losses on MBS accounted for under the fair value option (5,412 ) (1,554 ) 2,530 6,891 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 1,181 — 1,418 — Net unrealized gains and losses on U.S. Treasury securities accounted for as trading securities (463 ) — — — Total gain (loss) on investments, net (7,155 ) (1,967 ) 5,860 11,019
Components of MBS and GSE CRT Interest Income	The following table presents components of interest income recognized on the Company’s MBS and GSE CRT portfolio for the three and nine months ended September 30, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. For the three months ended September 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 88,615 (31,773 ) 56,842 Non-Agency 22,775 3,509 26,284 GSE CRT 2,268 (765 ) 1,503 CMBS 29,872 (2,788 ) 27,084 Other 795 (41 ) 754 Total 144,325 (31,858 ) 112,467 For the three months ended September 30, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 93,366 (32,153 ) 61,213 Non-Agency 26,761 4,452 31,213 GSE CRT 1,663 (782 ) 881 CMBS 38,350 (3,342 ) 35,008 Other (10 ) — (10 ) Total 160,130 (31,825 ) 128,305 For the nine months ended September 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 258,826 (84,235 ) 174,591 Non-Agency 72,751 9,645 82,396 GSE CRT 6,601 (2,307 ) 4,294 CMBS 93,612 (8,567 ) 85,045 Other 1,305 (58 ) 1,247 Total 433,095 (85,522 ) 347,573 For the nine months ended September 30, 2015 $ in thousands Coupon Net (Premium Interest Agency 282,132 (93,840 ) 188,292 Non-Agency 85,854 13,445 99,299 GSE CRT 4,849 (2,312 ) 2,537 CMBS 113,862 (8,193 ) 105,669 Other 47 — 47 Total 486,744 (90,900 ) 395,844

Commercial Loans Held-for-Inv28

Commercial Loans Held-for-Investment (Tables)	9 Months Ended
	Sep. 30, 2016
Receivables [Abstract]
Schedule of Commercial Loans Held-for-Investment	The following table summarizes commercial loans held-for-investment as of September 30, 2016 and December 31, 2015 that were purchased or originated by the Company. September 30, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 273,686 (395 ) 273,291 8.07 % 1.86 Total 10 273,686 (395 ) 273,291 8.07 % 1.86 December 31, 2015 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 6 210,769 (1,707 ) 209,062 7.97 % 1.75 Total 6 210,769 (1,707 ) 209,062 7.97 % 1.75 (1) Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements.

Other Assets (Tables)

Other Assets (Tables)	9 Months Ended
	Sep. 30, 2016
Schedule of Investments [Abstract]
Summary of Company's Other Investments	The following table summarizes the Company's other assets as of September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 December 31, 2015 Reverse repurchase agreement 75,000 — FHLBI stock 74,250 75,375 Investments in unconsolidated ventures 32,763 38,413 Prepaid expenses 1,501 1,284 Total 183,514 115,072

Borrowings (Tables)

Borrowings (Tables)	9 Months Ended
	Sep. 30, 2016
Debt Disclosure [Abstract]
Schedule of Borrowings	The following table summarizes certain characteristics of the Company’s borrowings at September 30, 2016 and December 31, 2015 . $ in thousands September 30, 2016 Weighted Weighted Average MBS and Average Remaining GSE CRTs Amount Interest Maturity Pledged as Outstanding Rate (days) Collateral (1) Repurchase Agreements: Agency RMBS 9,002,003 0.70 % 15 9,495,729 Non-Agency RMBS 1,626,907 1.91 % 34 2,017,629 GSE CRT 434,128 2.11 % 26 588,017 CMBS 997,464 1.70 % 18 1,242,964 Total Repurchase Agreements 12,060,502 1.07 % 18 13,344,339 Secured Loans 1,650,000 0.63 % 2,774 1,979,412 Exchangeable Senior Notes (2) 400,000 5.00 % 531 — Total Borrowings 14,110,502 1.07 % 355 15,323,751 $ in thousands December 31, 2015 Weighted Weighted Average MBS and Average Remaining GSE CRTs Amount Interest Maturity Pledged as Outstanding Rate (days) Collateral (1) Repurchase Agreements: Agency RMBS 8,389,643 0.65 % 24 8,827,976 Non-Agency RMBS 2,077,240 1.68 % 32 2,563,877 GSE CRT 488,275 1.91 % 19 640,828 CMBS 1,170,890 1.49 % 23 1,427,607 Total Repurchase Agreements 12,126,048 0.96 % 25 13,460,288 Secured Loans 1,650,000 0.55 % 2,937 1,949,699 Exchangeable Senior Notes (2) 400,000 5.00 % 805 — Total Borrowings 14,176,048 1.02 % 386 15,409,987 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." As of September 30, 2016 , the Company also pledged Agency RMBS with a fair value of $169.8 million ( December 31, 2015 : $143.9 million ) as collateral against its interest rate swaps. See Note 8 - "Derivative and Hedging Activities" for additional information. (2) The carrying value of exchangeable senior notes is $396.4 million and $394.6 million as of September 30, 2016 and December 31, 2015 , respectively. The carrying value is net of debt issuance costs of $3.6 million and $5.4 million as of September 30, 2016 and December 31, 2015 , respectively.
Schedule of Maturities of Outstanding Borrowings	The following table shows the aggregate amount of maturities of the Company's outstanding borrowings: $ in thousands As of September 30, 2017 12,060,502 2018 400,000 2019 — 2020 300,000 2021 100,000 Thereafter 1,250,000 Total 14,110,502
Schedule of Repurchase Agreements by Counterparties	The following tables summarize certain characteristics of the Company’s repurchase agreements and secured loans at September 30, 2016 and December 31, 2015 . September 30, 2016 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRTs Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc 1,525,553 11.1 % 1,585,305 ING Financial Market LLC 1,282,856 9.4 % 1,357,344 Royal Bank of Canada 1,141,588 8.3 % 1,346,702 South Street Securities LLC 808,445 5.9 % 846,859 Mitsubishi UFJ Securities (USA), Inc. 751,338 5.5 % 791,305 Industrial and Commercial Bank of China Financial Services LLC 687,602 5.0 % 723,710 Pierpont Securities LLC 677,562 4.9 % 710,636 JP Morgan Securities Inc. 506,780 3.7 % 587,973 Scotia Capital 504,986 3.7 % 524,343 Goldman, Sachs & Co. 503,471 3.7 % 642,598 KGS-Alpha Capital Markets, L.P. 477,243 3.5 % 503,042 Citigroup Global Markets Inc. 443,440 3.2 % 556,574 E D & F Man Capital Markets Inc 405,297 3.0 % 427,750 BNP Paribas Securities Corp. 389,923 2.8 % 429,201 Guggenheim Liquidity Services, LLC 374,773 2.7 % 394,749 Wells Fargo Securities, LLC 366,147 2.7 % 437,727 Societe Generale 332,727 2.4 % 436,285 Natixis, New York Branch 276,918 2.0 % 299,093 All other counterparties (2) 603,853 4.5 % 743,143 Total Repurchase Agreement Counterparties 12,060,502 88.0 % 13,344,339 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,979,412 Total 13,710,502 100.0 % 15,323,751 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." (2) Represents amounts outstanding with seven counterparties. December 31, 2015 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRTs Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc 1,566,747 11.4 % 1,611,020 Royal Bank of Canada 1,148,480 8.3 % 1,383,839 ING Financial Market LLC 1,050,548 7.6 % 1,112,102 South Street Securities LLC 799,783 5.8 % 838,600 Pierpont Securities LLC 786,623 5.7 % 814,804 Industrial and Commercial Bank of China Financial Services LLC 695,933 5.1 % 730,941 Mitsubishi UFJ Securities (USA), Inc. 627,383 4.6 % 657,201 JP Morgan Securities Inc. 622,665 4.5 % 728,502 Citigroup Global Markets Inc. 585,632 4.3 % 725,882 Scotia Capital 576,137 4.2 % 598,343 BNP Paribas Securities Corp. 474,053 3.4 % 530,584 Wells Fargo Securities, LLC 463,673 3.4 % 551,667 Goldman, Sachs & Co. 428,799 3.1 % 552,549 KGS-Alpha Capital Markets, L.P. 380,286 2.8 % 400,758 Banc of America Securities LLC 380,520 2.8 % 442,801 Morgan Stanley & Co. Incorporated 273,124 2.0 % 320,484 Guggenheim Liquidity Services, LLC 265,709 1.9 % 279,345 All other counterparties (2) 999,953 7.1 % 1,180,866 Total Repurchase Agreement Counterparties: 12,126,048 88.0 % 13,460,288 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,949,699 Total 13,776,048 100.0 % 15,409,987 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." (2) Represents amounts outstanding with nine counterparties.

Derivatives and Hedging Activ31

Derivatives and Hedging Activities (Tables)	9 Months Ended
	Sep. 30, 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 Swaps 11,450,000 — (4,950,000 ) 6,500,000 Interest Rate Swaptions 300,000 — (300,000 ) — Currency Forward Contracts 76,324 231,205 (240,256 ) 67,273 Credit Derivatives 645,000 — (74,110 ) 570,890 Total 12,471,324 231,205 (5,564,366 ) 7,138,163
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges	As of September 30, 2016 , the Company had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate 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 500,000 5/24/2021 2.25 % Citibank, N.A. 200,000 5/25/2021 2.83 % CME Central Clearing 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 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % CME Central Clearing 100,000 4/2/2025 2.04 % Total 6,500,000 2.14 %
Disclosure of Credit Derivatives	At September 30, 2016 and December 31, 2015 , terms of the GSE CRT embedded derivatives are: $ in thousand September 30, 2016 December 31, 2015 Fair value amount 19,470 (25,722 ) Notional amount 570,890 645,000 Maximum potential amount of future undiscounted payments 570,890 645,000
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 September 30, 2016 and December 31, 2015 . $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2016 As of December 31, 2015 As of September 30, 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 382,237 238,045 Currency Forward Contracts 505 1,864 Currency Forward Contracts 84 103
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 and nine months ended September 30, 2016 and 2015 . $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three months ended September 30, 2016 Three months ended CDS Contract Realized and unrealized credit derivative income (loss), net — (96 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 25,963 (3,848 ) Total 25,963 (3,944 ) $ in thousands Derivative Location of unrealized gain (loss) Nine months ended September 30, 2016 Nine months ended September 30, 2015 CDS Contract Realized and unrealized credit derivative income (loss), net — 648 GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 39,175 7,275 Total 39,175 7,923 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 and nine months ended September 30, 2016 and 2015 : $ in thousands Three months ended September 30, 2016 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (5,090 ) (26,388 ) 65,396 33,918 Currency Forward Contracts 6,437 — (4,977 ) 1,460 Total 1,347 (26,388 ) 60,419 35,378 $ in thousands Nine months ended September 30, 2016 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (69,090 ) (80,464 ) (150,986 ) (300,540 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 8,353 — (1,341 ) 7,012 Total (62,222 ) (80,464 ) (150,842 ) (293,528 ) $ in thousands Three months ended September 30, 2015 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps — (46,785 ) (173,817 ) (220,602 ) Interest Rate Swaptions (2,590 ) — 2,590 — Currency Forward Contracts (489 ) — 489 — Total (3,079 ) (46,785 ) (170,738 ) (220,602 ) $ in thousands Nine months ended September 30, 2015 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (31,881 ) (138,404 ) (113,151 ) (283,436 ) Interest Rate Swaptions (10,328 ) — 8,594 (1,734 ) TBAs (2,292 ) — 558 (1,734 ) Futures Contracts (943 ) — (90 ) (1,033 ) Currency Forward Contracts 1,050 — (457 ) 593 Total (44,394 ) (138,404 ) (104,546 ) (287,344 )

Offsetting Assets and Liabili32

Offsetting Assets and Liabilities (Tables)	9 Months Ended
	Sep. 30, 2016
Offsetting [Abstract]
Offsetting Derivative Assets	Offsetting of Derivative Assets As of September 30, 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 Cash Collateral Received Net Amount Derivatives (1) (5) 505 — 505 (84 ) — 421 Reverse Repurchase Agreement (2) 75,000 — 75,000 (74,791 ) — 209 Total 75,505 — 75,505 (74,875 ) — 630 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 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 (3) Cash Collateral Posted Net Amount Derivatives (5) 382,321 — 382,321 (151,820 ) (230,501 ) — Repurchase Agreements (4) 12,060,502 — 12,060,502 (12,060,502 ) — — Secured Loans (6) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,092,823 — 14,092,823 (13,862,322 ) (230,501 ) — Offsetting of Derivative Assets As of December 31, 2015 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 Cash Collateral Received Net Amount Derivatives (1) (5) 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 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 (3) Cash Collateral Posted Net Amount Derivatives (5) 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements (4) 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans (6) 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 September 30, 2016 and December 31, 2015 , subject to a netting arrangement. (2) The Company received U.S. Treasury securities with a fair value of $74.8 million as collateral under a reverse repurchase agreement as of September 30, 2016 . (3) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (4) The fair value of securities pledged against the Company's borrowing under repurchase agreements was $13.3 billion and $13.5 billion at September 30, 2016 and December 31, 2015 , respectively. (5) No cash collateral was posted by the Company's derivative counterparties at September 30, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015 , respectively. (6) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at September 30, 2016 and December 31, 2015 , respectively.
Offsetting Derivative Liabilities	Offsetting of Derivative Assets As of September 30, 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 Cash Collateral Received Net Amount Derivatives (1) (5) 505 — 505 (84 ) — 421 Reverse Repurchase Agreement (2) 75,000 — 75,000 (74,791 ) — 209 Total 75,505 — 75,505 (74,875 ) — 630 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 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 (3) Cash Collateral Posted Net Amount Derivatives (5) 382,321 — 382,321 (151,820 ) (230,501 ) — Repurchase Agreements (4) 12,060,502 — 12,060,502 (12,060,502 ) — — Secured Loans (6) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,092,823 — 14,092,823 (13,862,322 ) (230,501 ) — Offsetting of Derivative Assets As of December 31, 2015 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 Cash Collateral Received Net Amount Derivatives (1) (5) 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 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 (3) Cash Collateral Posted Net Amount Derivatives (5) 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements (4) 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans (6) 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 September 30, 2016 and December 31, 2015 , subject to a netting arrangement. (2) The Company received U.S. Treasury securities with a fair value of $74.8 million as collateral under a reverse repurchase agreement as of September 30, 2016 . (3) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (4) The fair value of securities pledged against the Company's borrowing under repurchase agreements was $13.3 billion and $13.5 billion at September 30, 2016 and December 31, 2015 , respectively. (5) No cash collateral was posted by the Company's derivative counterparties at September 30, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015 , respectively. (6) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at September 30, 2016 and December 31, 2015 , respectively.

Fair Value of Financial Instr33

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 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. September 30, 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) — 16,054,607 19,470 16,074,077 Derivative assets — 505 — 505 Total assets — 16,055,112 19,470 16,074,582 Liabilities: Derivative liabilities — 382,321 — 382,321 Total liabilities — 382,321 — 382,321 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 purchased prior to August 24, 2015 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 September 30, 2016 , the net embedded derivative asset position of $19.5 million includes $22.7 million of embedded derivatives in an asset position and $3.3 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: Three Months Ended Nine Months Ended $ in thousands 2016 2015 2016 2015 Beginning balance (6,493 ) (10,372 ) (25,722 ) (21,495 ) Sales and settlements — (284 ) 6,017 2,184 Total net gains / (losses) included in net income: — — — — Realized gains/(losses), net — 284 (6,017 ) (2,184 ) Unrealized gains/(losses), net 25,963 (3,848 ) 45,192 7,275 Ending balance 19,470 (14,220 ) 19,470 (14,220 )
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 derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands September 30, 2016 Technique Input Range Average GSE CRT Embedded Derivatives 19,470 Market Comparables, Vendor Pricing Weighted average life 2.7 - 8.1 5.9 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 September 30, 2016 and December 31, 2015 : September 30, 2016 December 31, 2015 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 273,291 273,920 209,062 209,790 Other assets 183,514 183,514 115,072 115,072 Total 456,805 457,434 324,134 324,862 Financial Liabilities Repurchase agreements 12,060,502 12,060,505 12,126,048 12,133,252 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 396,420 400,000 394,573 376,500 Total 14,106,922 14,110,505 14,170,621 14,159,752

Related Party Transactions (Tab

Related Party Transactions (Tables)	9 Months Ended
	Sep. 30, 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 and nine months ended September 30, 2016 and 2015 . Three Months Ended Nine Months Ended $ in thousands 2016 2015 2016 2015 Incurred costs, prepaid or expensed 2,652 2,690 5,827 5,039 Incurred costs, capitalized to other assets — — 50 — Total incurred costs, originally paid by the Manager 2,652 2,690 5,877 5,039

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2016
Equity [Abstract]
Schedule of accumulated other comprehensive income	The following table presents the components of accumulated other comprehensive income at September 30, 2016 and December 31, 2015 , respectively. The table excludes MBS and GSE CRTs that are accounted for under the fair value option. $ in thousands September 30, 2016 December 31, 2015 Unrealized gain/(loss) on mortgage-backed and credit risk transfer securities, net 426,142 170,383 Unrealized gain/(loss) on discontinued cash flow hedges, net 159,463 148,273 Currency translation adjustments on investment in unconsolidated venture (42 ) (32 ) Accumulated other comprehensive income 585,563 318,624
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 and nine months ended September 30, 2016 . Three Months Ended September 30, Nine Months Ended September 30, 2016 2016 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 46,000 $ 14.40 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 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)	9 Months Ended
	Sep. 30, 2016
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three and nine months ended September 30, 2016 and 2015 is computed as follows: Three Months Ended Nine Months Ended $ and share amounts in thousands 2016 2015 2016 2015 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 129,219 (144,515 ) (38,558 ) (15,985 ) Effect of dilutive securities: Income allocated to exchangeable senior notes 5,620 — — — Income (loss) allocated to non-controlling interest 1,723 (1,628 ) (235 ) (10 ) Dilutive net income (loss) available to stockholders 136,562 (146,143 ) (38,793 ) (15,995 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,587 122,047 112,101 122,763 Effect of dilutive securities: Restricted stock awards 46 — — — OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes 16,835 — — — Dilutive Shares 129,893 123,472 113,526 124,188

Non-controlling Interest - Op37

Non-controlling Interest - Operating Partnership (Tables)	9 Months Ended
	Sep. 30, 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 and nine months ended September 30, 2016 and 2015 . Three Months Ended Nine Months Ended $ in thousands 2016 2015 2016 2015 Net income (loss) allocated 1,723 (1,628 ) (235 ) (10 ) Distributions paid 570 570 1,710 1,853

Revision of Previously Issued38

Revision of Previously Issued Financial Statements (Tables)	9 Months Ended
	Sep. 30, 2016
Accounting Changes and Error Corrections [Abstract]
Schedule of Error Revision of Previously Issued Financial Statements	The following changes have been made to the Company's Consolidated Balance Sheet as of December 31, 2015 : $ in thousands December 31, 2015 As Reported Adjustment As Revised Accumulated other comprehensive income 303,110 15,514 318,624 Retained earnings (distributions in excess of earnings) (755,799 ) (15,514 ) (771,313 ) The following changes have been made to the Company's Unaudited Consolidated Statements of Operations for the three and nine months ended September 30, 2015 : $ in thousands Three Months Ended September 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 129,260 (955 ) 128,305 Other Income Gain (loss) on investments, net (2,958 ) 991 (1,967 ) Net income (140,463 ) 36 (140,427 ) Net income attributable to non-controlling interest (1,629 ) 1 (1,628 ) Net income attributable to Invesco Mortgage Capital Inc. (138,834 ) 35 (138,799 ) Net income attributable to common stockholders (144,550 ) 35 (144,515 ) Earnings per share: Net income attributable to common stockholders Basic (1.18 ) — (1.18 ) Diluted (1.18 ) — (1.18 ) $ in thousands Nine Months Ended September 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 390,623 5,221 395,844 Other Income (loss) Gain (loss) on investments, net 10,090 929 11,019 Net income (4,997 ) 6,150 1,153 Net income attributable to non-controlling interest (80 ) 70 (10 ) Net income attributable to Invesco Mortgage Capital Inc. (4,917 ) 6,080 1,163 Net income attributable to common stockholders (22,065 ) 6,080 (15,985 ) Earnings per share: Net income attributable to common stockholders Basic (0.18 ) 0.05 (0.13 ) Diluted (0.18 ) 0.05 (0.13 ) The following changes have been made to the Company's Unaudited Consolidated Statement of Comprehensive Income for the three and nine months ended September 30, 2015 : $ in thousands Three Months Ended September 30, 2015 As Reported Adjustment As Revised Net income (loss) (140,463 ) 36 (140,427 ) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net 41,978 955 42,933 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net 1,380 (991 ) 389 Total other comprehensive income (loss) 59,049 (36 ) 59,013 $ in thousands Nine Months Ended September 30, 2015 As Reported Adjustment As Revised Net income (loss) (4,997 ) 6,150 1,153 Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net (25,390 ) (5,221 ) (30,611 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net (3,223 ) (929 ) (4,152 ) Total other comprehensive income (loss) 22,536 (6,150 ) 16,386 The following changes have been made to the Company's Unaudited Consolidated Statement of Cash Flows for the nine months ended September 30, 2015 : $ in thousands Nine Months Ended September 30, 2015 As Reported Adjustment As Revised Cash Flows from Operating Activities Net income (4,997 ) 6,150 1,153 Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 96,121 (5,221 ) 90,900 (Gain) loss on investments, net (10,090 ) (929 ) (11,019 ) Non-cash Investing and Financing Activities Information Net change in unrealized gain on mortgage-backed and credit risk transfer securities (28,613 ) (6,150 ) (34,763 )

Organization and Business Ope39

Organization and Business Operations - Additional Information (Detail) - segment	9 Months Ended
	Sep. 30, 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 Accoun40

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	Sep. 30, 2016	Dec. 31, 2015
Variable Interest Entity
Carrying Amount	$ 16,074,077	$ 16,065,935
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	4,810,168
Company's Maximum Risk of Loss	4,810,168
Variable Interest Entity, Not Primary Beneficiary | CMBS
Variable Interest Entity
Carrying Amount	2,668,290
Company's Maximum Risk of Loss	2,668,290
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	2,109,115
Company's Maximum Risk of Loss	2,109,115
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	32,763
Company's Maximum Risk of Loss	$ 32,763

Mortgage-Backed and Credit Ri42

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	9 Months Ended		12 Months Ended
	Sep. 30, 2016		Dec. 31, 2015
Schedule of Available-for-sale Securities
Principal balance	$ 19,057,309		$ 19,810,113
Unamortized premium (discount)	(3,443,820)		(3,896,616)
Amortized cost	15,613,489		15,913,497
Unrealized gain/ (loss), net	460,588		152,438
Fair value	$ 16,074,077		$ 16,065,935
Net weighted average coupon	3.05%	[1]	3.08%	[2]
Period-end weighted average yield	3.07%	[3]	3.31%	[4]
Quarterly weighted average yield	2.84%	[5]	3.16%	[6]
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	83.50%		84.40%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	24.00%		27.50%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	24.30%		27.60%
Unamortized premium (discount) non-accretable portion	$ (261,700)		$ (281,600)
Percentage of Non-Agency RMBS interest-only, principal balance	44.00%		42.10%
Percentage of Non-Agency RMBS interest-only, amortized cost	1.50%		1.30%
Percentage of Non-Agency RMBS interest only, fair value	1.40%		1.30%
Percentage of government sponsored enterprise credit risk transfer securities	3.50%		1.90%
Percentage of CMBS interest only, principal balance	20.20%
Percentage of CMBS interest only, amortized cost	0.90%
Percentage of CMBS interest only, fair value	0.90%		0.90%
Percentage of CMBS commercial real estate mezzanine loan pass-through certificates			0.70%
Agency RMBS
Schedule of Available-for-sale Securities
Principal balance	$ 9,699,022		$ 8,982,359
Unamortized premium (discount)	418,620		389,623
Amortized cost	10,117,642		9,371,982
Unrealized gain/ (loss), net	171,936		38,455
Fair value	$ 10,289,578		$ 9,410,437
Net weighted average coupon	3.38%	[1]	3.54%	[2]
Period-end weighted average yield	2.49%	[3]	2.65%	[4]
Quarterly weighted average yield	2.17%	[5]	2.53%	[6]
Agency RMBS | 15 Year Fixed-Rate
Schedule of Available-for-sale Securities
Principal balance	$ 3,453,364		$ 1,527,877
Unamortized premium (discount)	153,698		72,389
Amortized cost	3,607,062		1,600,266
Unrealized gain/ (loss), net	30,890		10,664
Fair value	$ 3,637,952		$ 1,610,930
Net weighted average coupon	3.13%	[1]	3.72%	[2]
Period-end weighted average yield	2.21%	[3]	2.47%	[4]
Quarterly weighted average yield	1.86%	[5]	2.40%	[6]
Agency RMBS | 30 Year Fixed-Rate
Schedule of Available-for-sale Securities
Principal balance	$ 3,331,034		$ 3,796,091
Unamortized premium (discount)	215,594		249,285
Amortized cost	3,546,628		4,045,376
Unrealized gain/ (loss), net	88,937		18,581
Fair value	$ 3,635,565		$ 4,063,957
Net weighted average coupon	4.21%	[1]	4.24%	[2]
Period-end weighted average yield	2.72%	[3]	2.81%	[4]
Quarterly weighted average yield	2.55%	[5]	2.85%	[6]
Agency RMBS | ARM
Schedule of Available-for-sale Securities
Principal balance	$ 321,140		$ 417,424
Unamortized premium (discount)	2,917		4,625
Amortized cost	324,057		422,049
Unrealized gain/ (loss), net	7,896		3,976
Fair value	$ 331,953		$ 426,025
Net weighted average coupon	2.71%	[1]	2.72%	[2]
Period-end weighted average yield	2.62%	[3]	2.58%	[4]
Quarterly weighted average yield	2.18%	[5]	2.26%	[6]
Agency RMBS | Hybrid ARM
Schedule of Available-for-sale Securities
Principal balance	$ 2,593,484		$ 3,240,967
Unamortized premium (discount)	46,411		63,324
Amortized cost	2,639,895		3,304,291
Unrealized gain/ (loss), net	44,213		5,234
Fair value	$ 2,684,108		$ 3,309,525
Net weighted average coupon	2.71%	[1]	2.73%	[2]
Period-end weighted average yield	2.55%	[3]	2.56%	[4]
Quarterly weighted average yield	2.06%	[5]	2.22%	[6]
Agency-CMO
Schedule of Available-for-sale Securities
Principal balance	$ 1,611,750	[7]	$ 1,774,621	[8]
Unamortized premium (discount)	(1,257,836)	[7]	(1,386,284)	[8]
Amortized cost	353,914	[7]	388,337	[8]
Unrealized gain/ (loss), net	10,122	[7]	482	[8]
Fair value	$ 364,036	[7]	$ 388,819	[8]
Net weighted average coupon	2.22%	[1],[7]	2.23%	[2],[8]
Period-end weighted average yield	3.25%	[3],[7]	4.29%	[4],[8]
Quarterly weighted average yield	2.42%	[5],[7]	3.42%	[6],[8]
Non-Agency RMBS
Schedule of Available-for-sale Securities
Principal balance	$ 4,078,976	[9],[10],[11]	$ 4,965,978	[12],[13],[14]
Unamortized premium (discount)	(2,065,395)	[9],[10],[11]	(2,363,799)	[12],[13],[14]
Amortized cost	2,013,581	[9],[10],[11]	2,602,179	[12],[13],[14]
Unrealized gain/ (loss), net	95,534	[9],[10],[11]	90,308	[12],[13],[14]
Fair value	$ 2,109,115	[9],[10],[11]	$ 2,692,487	[12],[13],[14]
Net weighted average coupon	2.18%	[1],[9],[10],[11]	2.20%	[2],[12],[13],[14]
Period-end weighted average yield	5.06%	[3],[9],[10],[11]	5.11%	[4],[12],[13],[14]
Quarterly weighted average yield	5.06%	[5],[9],[10],[11]	4.90%	[6],[12],[13],[14]
Non-Agency RMBS | Variable Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as variable rate	46.10%		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	7.10%		6.40%
GSE CRT
Schedule of Available-for-sale Securities
Principal balance	$ 591,460	[15],[16]	$ 657,500	[17],[18]
Unamortized premium (discount)	20,580	[15],[16]	22,593	[17],[18]
Amortized cost	612,040	[15],[16]	680,093	[17],[18]
Unrealized gain/ (loss), net	31,018	[15],[16]	(21,865)	[17],[18]
Fair value	$ 643,058	[15],[16]	$ 658,228	[17],[18]
Net weighted average coupon	1.53%	[1],[15],[16]	1.32%	[2],[17],[18]
Period-end weighted average yield	0.83%	[3],[15],[16]	0.72%	[4],[17],[18]
Quarterly weighted average yield	0.98%	[5],[15],[16]	0.62%	[6],[17],[18]
CMBS
Schedule of Available-for-sale Securities
Principal balance	$ 3,076,101	[19],[20]	$ 3,429,655	[21]
Unamortized premium (discount)	(559,789)	[19],[20]	(558,749)	[21]
Amortized cost	2,516,312	[19],[20]	2,870,906	[21]
Unrealized gain/ (loss), net	151,978	[19],[20]	45,058	[21]
Fair value	$ 2,668,290	[19],[20]	$ 2,915,964	[21]
Net weighted average coupon	3.89%	[1],[19],[20]	3.95%	[2],[21]
Period-end weighted average yield	4.33%	[3],[19],[20]	4.30%	[4],[21]
Quarterly weighted average yield	4.28%	[5],[19],[20]	4.35%	[6],[21]
Percentage of securities purchased on or after September 1, 2016, principal balance	0.40%
Percentage of securities purchased on or after September 1, 2016, amortized cost	0.60%
Percentage of securities purchased on or after September 1, 2016, fair value	0.50%
[1]	Net weighted average coupon as of September 30, 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 September 30, 2016 and incorporates future prepayment and loss assumptions.
[4]	Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions.
[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 83.5% of principal/notional balance, 24.0% of amortized cost and 24.3% of fair value.
[8]	Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), 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 46.8% fixed rate, 46.1% variable rate, and 7.1% floating rate based on fair value.
[10]	Non-Agency RMBS includes interest-only securities which represent 44.0% of principal/notional balance, 1.5% of amortized cost and 1.4% of fair value.
[11]	Of the total discount in non-Agency RMBS, $261.7 million is non-accretable based on the Company's estimated future cash flows of the securities.
[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 42.1% of principal/notional balance, 1.3% of amortized cost and1.3% of fair value.
[14]	Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities.
[15]	GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option 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 3.5% 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 coupon interest associated with embedded derivatives not accounted for under the fair value option 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 20.2% of principal/notional balance, 0.9% of amortized cost and 0.9% of fair value.
[20]	The Company has elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 0.4% of principal/notional balance, 0.6% of amortized cost and 0.5% of fair value.
[21]	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 Ri43

Mortgage-Backed and Credit Risk Transfer Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) - USD ($) $ in Thousands	9 Months Ended		12 Months Ended
	Sep. 30, 2016		Dec. 31, 2015
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	$ 16,074,077		$ 16,065,935
Non-Agency RMBS
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	$ 2,109,115	[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 (including pledged securities of $15,493,599 and $15,553,934, respectively)	$ 938,893		$ 1,081,428
% of Non-Agency	44.50%		40.20%
Non-Agency RMBS | Alt-A
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	$ 465,127		$ 544,306
% of Non-Agency	22.10%		20.20%
Non-Agency RMBS | Re-Remic
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	$ 406,703		$ 663,853
% of Non-Agency	19.30%		24.70%
Non-Agency RMBS | Subprime/Reperforming
Schedule of Available-for-sale Securities
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	$ 298,392		$ 402,900
% of Non-Agency	14.10%		14.90%
[1]	Non-Agency RMBS held by the Company is 46.8% fixed rate, 46.1% variable rate, and 7.1% floating rate based on fair value.
[2]	Non-Agency RMBS includes interest-only securities which represent 44.0% of principal/notional balance, 1.5% of amortized cost and 1.4% of fair value.
[3]	Of the total discount in non-Agency RMBS, $261.7 million is non-accretable based on the Company's estimated future cash flows of the securities.
[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 42.1% of principal/notional balance, 1.3% of amortized cost and1.3% of fair value.
[6]	Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities.

Mortgage-Backed and Credit Ri44

Mortgage-Backed and Credit Risk Transfer Securities - Components of Senior Re-REMIC at Fair Value (Detail)		9 Months Ended
		Sep. 30, 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)		32.60%
Re-REMIC 0-10
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	15.90%	11.00%
Re-REMIC 10-20
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	7.30%	5.60%
Re-REMIC 20-30
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	13.50%	12.70%
Re-REMIC 30-40
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	16.10%	20.80%
Re-REMIC 40-50
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	28.50%	32.80%
Re-REMIC 50-60
Schedule of Available-for-sale Securities
Re-REMIC holdings by subordination	[1]	16.10%	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. 32.6% of the Company's Re-REMIC holdings are not senior tranches.

Mortgage-Backed and Credit Ri45

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of Investment Portfolio (Detail) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Principal balance	$ 19,057,309	$ 19,810,113
Unamortized premium	512,631	495,539
Unamortized discount	(3,956,451)	(4,392,155)
Gross unrealized gains	485,503	303,890
Gross unrealized losses	(24,915)	(151,452)
Fair value	$ 16,074,077	$ 16,065,935

Mortgage-Backed and Credit Ri46

Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 238,817	$ 427,678
Greater than one year and less than five years	10,957,834	6,237,547
Greater than or equal to five years	4,877,426	9,400,710
Fair value	$ 16,074,077	$ 16,065,935

Mortgage-Backed and Credit Ri47

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	Sep. 30, 2016USD ($)security		Dec. 31, 2015USD ($)security
Fair Value
Less than 12 months	$ 1,586,656		$ 6,095,710
12 months or more	1,351,598		1,675,435
Total	2,938,254		7,771,145
Unrealized Losses
Less than 12 months	(12,082)		(78,451)
12 months or more	(12,833)		(73,001)
Total	$ 24,915		$ 151,452
Number of Securities
Less than 12 months | security	136		368
12 months or more | security	94		91
Total | security	230		459
Agency RMBS
Fair Value
Less than 12 months	$ 910,779		$ 3,491,280
12 months or more	962,810		1,197,897
Total	1,873,589		4,689,177
Unrealized Losses
Less than 12 months	(2,628)		(40,491)
12 months or more	(6,266)		(40,979)
Total	$ 8,894		$ 81,470
Number of Securities
Less than 12 months | security	48		187
12 months or more | security	54		53
Total | security	102		240
Agency RMBS | 15 Year Fixed-Rate
Fair Value
Less than 12 months	$ 785,124		$ 600,480
12 months or more	69,916		77,506
Total	855,040		677,986
Unrealized Losses
Less than 12 months	(2,384)		(8,081)
12 months or more	(680)		(1,482)
Total	$ 3,064		$ 9,563
Number of Securities
Less than 12 months | security	36		33
12 months or more | security	14		6
Total | security	50		39
Agency RMBS | 30 Year Fixed-Rate
Fair Value
Less than 12 months	$ 36,352		$ 776,065
12 months or more	891,280		1,120,391
Total	927,632		1,896,456
Unrealized Losses
Less than 12 months	(27)		(14,827)
12 months or more	(5,546)		(39,497)
Total	$ 5,573		$ 54,324
Number of Securities
Less than 12 months | security	5		32
12 months or more | security	37		47
Total | security	42		79
Agency RMBS | ARM
Fair Value
Less than 12 months	$ 0		$ 200,863
12 months or more	1,360		0
Total	1,360		200,863
Unrealized Losses
Less than 12 months	0		(501)
12 months or more	(36)		0
Total	$ 36		$ 501
Number of Securities
Less than 12 months | security	0		11
12 months or more | security	1		0
Total | security	1		11
Agency RMBS | Hybrid ARM
Fair Value
Less than 12 months	$ 89,303		$ 1,913,872
12 months or more	254		0
Total	89,557		1,913,872
Unrealized Losses
Less than 12 months	(217)		(17,082)
12 months or more	(4)		0
Total	$ 221		$ 17,082
Number of Securities
Less than 12 months | security	7		111
12 months or more | security	2		0
Total | security	9		111
Agency-CMO
Fair Value
Less than 12 months	$ 24,918	[1]	$ 166,754	[2]
12 months or more	26,085	[1]	9,118	[2]
Total	51,003	[1]	175,872	[2]
Unrealized Losses
Less than 12 months	(1,255)	[1]	(3,296)	[2]
12 months or more	(759)	[1]	(6,934)	[2]
Total	$ 2,014	[1]	$ 10,230	[2]
Number of Securities
Less than 12 months | security	15	[1]	14	[2]
12 months or more | security	4	[1]	9	[2]
Total | security	19	[1]	23	[2]
Agency IO
Number of Securities
Fair value, option, fair value	$ 1,700		$ 8,300
CMO
Number of Securities
Fair value, option, unrealized losses	346		1,900
Non-Agency RMBS
Fair Value
Less than 12 months	582,750		872,575
12 months or more	265,241		316,010
Total	847,991		1,188,585
Unrealized Losses
Less than 12 months	(7,881)		(7,286)
12 months or more	(3,824)		(10,699)
Total	$ 11,705		$ 17,985
Number of Securities
Less than 12 months | security	63		66
12 months or more | security	27		20
Total | security	90		86
GSE CRT
Fair Value
Less than 12 months	$ 0	[3]	$ 340,116	[4]
12 months or more	36,080	[3]	120,877	[4]
Total	36,080	[3]	460,993	[4]
Unrealized Losses
Less than 12 months	0	[3]	(10,050)	[4]
12 months or more	(947)	[3]	(13,605)	[4]
Total	$ 947	[3]	$ 23,655	[4]
Number of Securities
Less than 12 months | security	0	[3]	16	[4]
12 months or more | security	3	[3]	7	[4]
Total | security	3	[3]	23	[4]
Fair value, option, fair value			$ 12,400
Fair value, option, unrealized losses			56
CMBS
Fair Value
Less than 12 months	$ 68,209	[5]	1,224,985
12 months or more	61,382	[5]	31,533
Total	129,591	[5]	1,256,518
Unrealized Losses
Less than 12 months	(318)	[5]	(17,328)
12 months or more	(1,037)	[5]	(784)
Total	$ 1,355	[5]	$ 18,112
Number of Securities
Less than 12 months | security	10	[5]	85
12 months or more | security	6	[5]	2
Total | security	16	[5]	87
Fair value, option, fair value	$ 10,700
Fair value, option, unrealized losses	$ 36
[1]	Fair value includes unrealized losses on Agency IO of $1.7 million and unrealized losses on CMO of $346,000.
[2]	Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million.
[3]	Fair value includes unrealized losses on both the debt host contract and the embedded derivative.
[4]	Fair value includes unrealized losses on both the debt host contract and the embedded derivative. Amounts disclosed includes GSE CRT with a fair value of $12.4 million for which the fair value option has been elected. Such securities have unrealized losses of $56,000.
[5]	Amounts disclosed includes CMBS with a fair value of $10.7 million for which the fair value option has been elected. Such securities have unrealized losses of $36,000.

Mortgage-Backed and Credit Ri48

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Schedule of Available-for-sale Securities
Gross unrealized losses	$ 24,915	$ 151,452
CMO
Schedule of Available-for-sale Securities
Gross unrealized losses	346
Agency RMBS
Schedule of Available-for-sale Securities
Gross unrealized losses	8,900
Agency-IO, Non-Agency RMBS, GSE CRT and CMBS
Schedule of Available-for-sale Securities
Gross unrealized losses	$ 15,700

Mortgage-Backed and Credit Ri49

Mortgage-Backed and Credit Risk Transfer Securities - OTTI Rollforward (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Investments, Debt and Equity Securities [Abstract]
Other-than-temporary credit impairment losses	$ 1,156	$ 0	$ 8,364	$ 0
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Cumulative credit loss at beginning of period	7,208	0	0	0
Additions:
Other-than-temporary impairments not previously recognized	1,038	0	8,364	0
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments	118	0	0	0
Cumulative credit loss at end of period	$ 8,364	$ 0	$ 8,364	$ 0

Mortgage-Backed and Credit Ri50

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		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward]
Unrealized gain (loss) on MBS and GSE CRT at beginning of period	$ 404,794	$ 298,251	$ 177,799	$ 376,336
Unrealized gain (loss) on MBS and GSE CRT	32,015	42,933	270,591	(30,611)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	0	389	(11,581)	(4,152)
Unrealized gain (loss) on MBS and GSE CRT at end of period	$ 436,809	$ 341,573	$ 436,809	$ 341,573

Mortgage-Backed and Credit Ri51

Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Schedule of Available-for-sale Securities
Gross realized gain on sale of investments	$ 144	$ 991	$ 14,196	$ 5,498
Gross realized loss on sale of investments	(1,449)	(1,404)	(3,920)	(1,370)
Other-than-temporary impairment losses	(1,156)	0	(8,364)	0
Net unrealized gains and losses on U.S. Treasury securities accounted for as trading securities	(463)	0	0	0
Total gains (loss) on investments, net	(7,155)	(1,967)	5,860	11,019
RMBS IOs
Schedule of Available-for-sale Securities
Net unrealized gains (losses)	(5,412)	(1,554)	2,530	6,891
GSE CRT
Schedule of Available-for-sale Securities
Net unrealized gains (losses)	$ 1,181	$ 0	$ 1,418	$ 0

Mortgage-Backed and Credit Ri52

Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Schedule of Available-for-sale Securities
Coupon Interest	$ 144,325	$ 160,130	$ 433,095	$ 486,744
Net (Premium Amortization)/Discount Accretion	(31,858)	(31,825)	(85,522)	(90,900)
Interest Income	112,467	128,305	347,573	395,844
Agency RMBS
Schedule of Available-for-sale Securities
Coupon Interest	88,615	93,366	258,826	282,132
Net (Premium Amortization)/Discount Accretion	(31,773)	(32,153)	(84,235)	(93,840)
Interest Income	56,842	61,213	174,591	188,292
Non-Agency RMBS
Schedule of Available-for-sale Securities
Coupon Interest	22,775	26,761	72,751	85,854
Net (Premium Amortization)/Discount Accretion	3,509	4,452	9,645	13,445
Interest Income	26,284	31,213	82,396	99,299
GSE CRT
Schedule of Available-for-sale Securities
Coupon Interest	2,268	1,663	6,601	4,849
Net (Premium Amortization)/Discount Accretion	(765)	(782)	(2,307)	(2,312)
Interest Income	1,503	881	4,294	2,537
CMBS
Schedule of Available-for-sale Securities
Coupon Interest	29,872	38,350	93,612	113,862
Net (Premium Amortization)/Discount Accretion	(2,788)	(3,342)	(8,567)	(8,193)
Interest Income	27,084	35,008	85,045	105,669
Other
Schedule of Available-for-sale Securities
Coupon Interest	795	(10)	1,305	47
Net (Premium Amortization)/Discount Accretion	(41)	0	(58)	0
Interest Income	$ 754	$ (10)	$ 1,247	$ 47

Commercial Loans Held-for-Inv53

Commercial Loans Held-for-Investment - Schedule of Commercial Loans Held-for-Investment(Details)		9 Months Ended	12 Months Ended
		Sep. 30, 2016USD ($)loan	Dec. 31, 2015USD ($)loan
Accounts, Notes, Loans and Financing Receivable
Carrying value		$ 273,291,000	$ 209,062,000
Commercial Portfolio Segment
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan		10	6
Principal balance		$ 273,686,000	$ 210,769,000
Unamortized (fees)/ costs, net		(395,000)	(1,707,000)
Carrying value		$ 273,291,000	$ 209,062,000
Weighted Average Coupon		8.07%	7.97%
Weighted Average Years to Maturity	[1]	1 year 10 months 10 days	1 year 9 months 1 day
Allowance for loan losses		$ 0	$ 0
Commercial Portfolio Segment | Mezzanine Loans
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan		10	6
Principal balance		$ 273,686,000	$ 210,769,000
Unamortized (fees)/ costs, net		(395,000)	(1,707,000)
Carrying value		$ 273,291,000	$ 209,062,000
Weighted Average Coupon		8.07%	7.97%
Weighted Average Years to Maturity	[1]	1 year 10 months 10 days	1 year 9 months 1 day
[1]	Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements.

Other Assets - Summary of Compa

Other Assets - Summary of Company's Other Investments (Details) - USD ($) $ in Thousands	1 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Schedule of Investments [Abstract]
Reverse repurchase agreement	$ 75,000	$ 0
FHLBI stock	74,250	75,375
Investments in unconsolidated ventures	32,763	38,413
Prepaid expenses	1,501	1,284
Total	$ 183,514	$ 115,072
Reverse repurchase agreement, fixed rate percentage	0.90%

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands		9 Months Ended		12 Months Ended
		Sep. 30, 2016		Dec. 31, 2015
Repurchase Agreements
Amount outstanding		$ 12,060,502		$ 12,126,048
Weighted average interest rate (percent)		1.07%		0.96%
Weighted average remaining maturity (days)		18 days		25 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 13,344,339		$ 13,460,288
Secured Loans
Amount outstanding		1,650,000		1,650,000
MBS and GSE CRTs Pledged as Collateral		1,979,412	[2]	1,949,699	[3]
Total Borrowings
MBS and GSE CRTs Pledged as Collateral		15,323,751	[2]	15,409,987	[3]
Available-for-sale securities pledged as collateral		0		15,553,934
Carrying value of exchangeable senior notes		396,420		394,573
Agency RMBS
Repurchase Agreements
Amount outstanding		$ 9,002,003		$ 8,389,643
Weighted average interest rate (percent)		0.70%		0.65%
Weighted average remaining maturity (days)		15 days		24 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 9,495,729		$ 8,827,976
Total Borrowings
Available-for-sale securities pledged as collateral		169,800		143,900
Non-Agency RMBS
Repurchase Agreements
Amount outstanding		$ 1,626,907		$ 2,077,240
Weighted average interest rate (percent)		1.91%		1.68%
Weighted average remaining maturity (days)		34 days		32 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 2,017,629		$ 2,563,877
GSE CRT
Repurchase Agreements
Amount outstanding		$ 434,128		$ 488,275
Weighted average interest rate (percent)		2.11%		1.91%
Weighted average remaining maturity (days)		26 days		19 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 588,017		$ 640,828
CMBS
Repurchase Agreements
Amount outstanding		$ 997,464		$ 1,170,890
Weighted average interest rate (percent)		1.70%		1.49%
Weighted average remaining maturity (days)		18 days		23 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 1,242,964		$ 1,427,607
Secured Loans
Secured Loans
Amount outstanding		$ 1,650,000		$ 1,650,000
Weighted average interest rate (percent)		0.63%		0.55%
Weighted average remaining maturity (days)		2774 days		2937 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 1,979,412		$ 1,949,699
Exchangeable Senior Notes
Exchangeable Senior Notes
Amount outstanding	[4]	$ 400,000		$ 400,000
Weighted average interest rate (percent)		5.00%		5.00%
Weighted average remaining maturity (days)	[4]	531 days		805 days
Total Borrowings
Debt issuance costs		$ 3,600		$ 5,400
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding		$ 14,110,502		$ 14,176,048
Weighted average interest rate (percent)		1.07%		1.02%
Weighted average remaining maturity (days)		355 days		386 days
MBS and GSE CRTs Pledged as Collateral	[1]	$ 15,323,751		$ 15,409,987
[1]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." As of September 30, 2016, the Company also pledged Agency RMBS with a fair value of $169.8 million (December 31, 2015: $143.9 million) as collateral against its interest rate swaps. See Note 8 - "Derivative and Hedging Activities" for additional information.
[2]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies."
[3]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies."
[4]	The carrying value of exchangeable senior notes is $396.4 million and $394.6 million as of September 30, 2016 and December 31, 2015, respectively. The carrying value is net of debt issuance costs of $3.6 million and $5.4 million as of September 30, 2016 and December 31, 2015, respectively.

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Sep. 30, 2016USD ($)
Debt Disclosure [Abstract]
2,017	$ 12,060,502
2,018	400,000
2,019	0
2,020	300,000
2,021	100,000
Thereafter	1,250,000
Total	$ 14,110,502

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Repurchase Agreement Counterparty
Collateral ratio	111.00%	111.00%
Cash margin deposits	$ 241,200	$ 109,300
Advances from Federal Home Loan Banks	1,650,000	1,650,000
Agency RMBS
Repurchase Agreement Counterparty
Cash margin deposits	$ 169,800
Repurchase Agreements
Repurchase Agreement Counterparty
Cash margin deposits		$ 710,000
Minimum
Repurchase Agreement Counterparty
Repurchase obligation maturity	1 month
Maximum
Repurchase Agreement Counterparty
Repurchase obligation maturity	12 months
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks	$ 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)	7 years 7 months 7 days
Residential Loans Held as Collateral | FHLBI | CMBS
Repurchase Agreement Counterparty
Collateral pledged against secured loans	$ 1,400,000
Residential Loans Held as Collateral | FHLBI | Agency RMBS
Repurchase Agreement Counterparty
Collateral pledged against secured loans	$ 554,100

Borrowings - Repurchase Agreeme

Borrowings - Repurchase Agreements (Detail) $ in Thousands		9 Months Ended		12 Months Ended
		Sep. 30, 2016USD ($)Counterparty		Dec. 31, 2015USD ($)Counterparty
Repurchase Agreement Counterparty
Amount Outstanding	[1]	$ 12,060,502		$ 12,126,048
MBS and GSE CRTs Pledged as Collateral	[2]	13,344,339		13,460,288
Advances from Federal Home Loan Banks		$ 1,650,000		$ 1,650,000
Secured Loans Counterparty, Percentage of Total Amount Outstanding		12.00%		12.00%
Secured Loans Counterparty, Collateral Pledged		$ 1,979,412	[3]	$ 1,949,699	[4]
Total, Amount Outstanding		$ 13,710,502		$ 13,776,048
Total, Percentage of Total Amount Outstanding		100.00%		100.00%
MBS and GSE CRTs Pledged as Collateral		$ 15,323,751	[3]	$ 15,409,987	[4]
Number of counterparties | Counterparty		7		9
Repurchase Agreement Counterparties [Member]
Repurchase Agreement Counterparty
Amount Outstanding		$ 12,060,502		$ 12,126,048
Percent of Total Amount Outstanding		88.00%		88.00%
MBS and GSE CRTs Pledged as Collateral		$ 13,344,339	[3]	$ 13,460,288	[4]
HSBC Securities (USA) Inc
Repurchase Agreement Counterparty
Amount Outstanding		$ 1,525,553		$ 1,566,747
Percent of Total Amount Outstanding		11.10%		11.40%
MBS and GSE CRTs Pledged as Collateral		$ 1,585,305	[3]	$ 1,611,020	[4]
Royal Bank of Canada
Repurchase Agreement Counterparty
Amount Outstanding		$ 1,141,588		$ 1,148,480
Percent of Total Amount Outstanding		8.30%		8.30%
MBS and GSE CRTs Pledged as Collateral		$ 1,346,702	[3]	$ 1,383,839	[4]
ING Financial Market LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 1,282,856		$ 1,050,548
Percent of Total Amount Outstanding		9.40%		7.60%
MBS and GSE CRTs Pledged as Collateral		$ 1,357,344	[3]	$ 1,112,102	[4]
South Street Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 808,445		$ 799,783
Percent of Total Amount Outstanding		5.90%		5.80%
MBS and GSE CRTs Pledged as Collateral		$ 846,859	[3]	$ 838,600	[4]
Pierpont Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 677,562		$ 786,623
Percent of Total Amount Outstanding		4.90%		5.70%
MBS and GSE CRTs Pledged as Collateral		$ 710,636	[3]	$ 814,804	[4]
Industrial and Commercial Bank of China Financial Services LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 687,602		$ 695,933
Percent of Total Amount Outstanding		5.00%		5.10%
MBS and GSE CRTs Pledged as Collateral		$ 723,710	[3]	$ 730,941	[4]
Goldman, Sachs & Co
Repurchase Agreement Counterparty
Amount Outstanding		$ 503,471		$ 428,799
Percent of Total Amount Outstanding		3.70%		3.10%
MBS and GSE CRTs Pledged as Collateral		$ 642,598	[3]	$ 552,549	[4]
Mitsubishi UFJ Securities (USA), Inc
Repurchase Agreement Counterparty
Amount Outstanding		$ 751,338		$ 627,383
Percent of Total Amount Outstanding		5.50%		4.60%
MBS and GSE CRTs Pledged as Collateral		$ 791,305	[3]	$ 657,201	[4]
Scotia Capital
Repurchase Agreement Counterparty
Amount Outstanding		$ 504,986		$ 576,137
Percent of Total Amount Outstanding		3.70%		4.20%
MBS and GSE CRTs Pledged as Collateral		$ 524,343	[3]	$ 598,343	[4]
JP Morgan Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 506,780		$ 622,665
Percent of Total Amount Outstanding		3.70%		4.50%
MBS and GSE CRTs Pledged as Collateral		$ 587,973	[3]	$ 728,502	[4]
Citigroup Global Markets Inc
Repurchase Agreement Counterparty
Amount Outstanding		$ 443,440		$ 585,632
Percent of Total Amount Outstanding		3.20%		4.30%
MBS and GSE CRTs Pledged as Collateral		$ 556,574	[3]	$ 725,882	[4]
E D & F Man Capital Markets Inc
Repurchase Agreement Counterparty
Amount Outstanding		$ 405,297
Percent of Total Amount Outstanding		3.00%
MBS and GSE CRTs Pledged as Collateral		$ 427,750
BNP Paribas Securities Corp
Repurchase Agreement Counterparty
Amount Outstanding		$ 389,923		$ 474,053
Percent of Total Amount Outstanding		2.80%		3.40%
MBS and GSE CRTs Pledged as Collateral		$ 429,201	[3]	$ 530,584	[4]
KGS Alpha Capital Markets LP
Repurchase Agreement Counterparty
Amount Outstanding		$ 477,243		$ 380,286
Percent of Total Amount Outstanding		3.50%		2.80%
MBS and GSE CRTs Pledged as Collateral		$ 503,042	[3]	$ 400,758	[4]
Guggenheim Liquidity Services, LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 374,773		$ 265,709
Percent of Total Amount Outstanding		2.70%		1.90%
MBS and GSE CRTs Pledged as Collateral		$ 394,749		$ 279,345	[4]
Wells Fargo Securities, LLC
Repurchase Agreement Counterparty
Amount Outstanding		$ 366,147		$ 463,673
Percent of Total Amount Outstanding		2.70%		3.40%
MBS and GSE CRTs Pledged as Collateral		$ 437,727	[3]	$ 551,667	[4]
Banc of America Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding				$ 380,520
Percent of Total Amount Outstanding				2.80%
MBS and GSE CRTs Pledged as Collateral	[4]			$ 442,801
Societe Generale
Repurchase Agreement Counterparty
Amount Outstanding		$ 332,727
Percent of Total Amount Outstanding		2.40%
MBS and GSE CRTs Pledged as Collateral	[3]	$ 436,285
Natixis, New York Branch
Repurchase Agreement Counterparty
Amount Outstanding		$ 276,918
Percent of Total Amount Outstanding		2.00%
MBS and GSE CRTs Pledged as Collateral	[3]	$ 299,093
Morgan Stanley & Co. Incorporated
Repurchase Agreement Counterparty
Amount Outstanding				$ 273,124
Percent of Total Amount Outstanding				2.00%
MBS and GSE CRTs Pledged as Collateral	[4]			$ 320,484
All other counterparties
Repurchase Agreement Counterparty
Amount Outstanding		$ 603,853	[5]	$ 999,953	[6]
Percent of Total Amount Outstanding		4.50%	[5]	7.10%	[6]
MBS and GSE CRTs Pledged as Collateral		$ 743,143	[3],[5]	$ 1,180,866	[4],[6]
[1]	The fair value of securities pledged against the Company's borrowing under repurchase agreements was $13.3 billion and $13.5 billion at September 30, 2016 and December 31, 2015, respectively.
[2]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." As of September 30, 2016, the Company also pledged Agency RMBS with a fair value of $169.8 million (December 31, 2015: $143.9 million) as collateral against its interest rate swaps. See Note 8 - "Derivative and Hedging Activities" for additional information.
[3]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies."
[4]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies."
[5]	Represents amounts outstanding with seven counterparties.
[6]	Represents amounts outstanding with nine counterparties.

Derivatives and Hedging Activ59

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail)	9 Months Ended
	Sep. 30, 2016USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	$ 12,471,324,000
Additions	231,205,000
Settlement, Termination, Expiration or Exercise	(5,564,366,000)
Notional Amount as of September 30, 2016	7,138,163,000
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	(4,950,000,000)
Notional Amount as of September 30, 2016	6,500,000,000
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 September 30, 2016	0
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	76,324,000
Additions	231,205,000
Settlement, Termination, Expiration or Exercise	(240,256,000)
Notional Amount as of September 30, 2016	67,273,000
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2016	645,000,000
Additions	0
Settlement, Termination, Expiration or Exercise	(74,110,000)
Notional Amount as of September 30, 2016	$ 570,890,000

Derivatives and Hedging Activ60

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands		3 Months Ended		9 Months Ended
		Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Increase (Decrease) to interest expense		$ (4,800)	$ 15,700	$ 11,300	$ 51,200
Amount reclassified to interest expenses within Next 12 months		25,300		25,300
Accumulated other comprehensive income		585,563		585,563		$ 318,624
Cash margin deposits		241,200		241,200		109,300
Available-for-sale securities pledged as collateral		0		0		15,553,934
Derivative liabilities, at fair value	[1]	382,321		382,321		238,148
Accrued Interest
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative liabilities, at fair value		153,000		153,000
Agency RMBS
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Cash margin deposits		169,800		169,800
Available-for-sale securities pledged as collateral		169,800		169,800		143,900
Central Clearing Counterparty | Liability Derivatives
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative liabilities, at fair value		245,500		245,500
GSE CRT
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Embedded derivatives at fair value		19,470		19,470		(25,722)
Unrealized gain/(loss) on discontinued cash flow hedges, net
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Accumulated other comprehensive income		$ 159,463		$ 159,463		$ 148,273
[1]	ash collateral was posted by the Company's derivative counterparties at September 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015, respectively.

Derivatives and Hedging Activ61

Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($)	9 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Interest Rate Derivatives Outstanding
Notional amount	$ 7,138,163,000	$ 12,471,324,000
Interest Rate Swaps
Interest Rate Derivatives Outstanding
Notional amount	$ 6,500,000,000	$ 11,450,000,000
Fixed Interest Rate in Contract	2.14%
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	$ 500,000,000
Maturity Date	May 24, 2021
Fixed Interest Rate in Contract	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	$ 500,000,000
Maturity Date	Jun. 24, 2021
Fixed Interest Rate in Contract	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 | 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%

Derivatives and Hedging Activ62

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Derivative
Notional amount	$ 7,138,163	$ 12,471,324
GSE CRT
Derivative
Fair value amount	19,470	(25,722)
GSE CRT | Embedded Credit Derivative
Derivative
Notional amount	570,890	645,000
Maximum potential amount of future undiscounted payments	$ 570,890	$ 645,000

Derivatives and Hedging Activ63

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands		Sep. 30, 2016	Dec. 31, 2015
Derivatives, Fair Value
Derivative assets, at fair value	[1],[2]	$ 505	$ 8,659
Derivative liabilities, at fair value	[2]	382,321	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		505	1,864
Derivative liabilities, at fair value		84	103
Interest Rate Swap Liability
Derivatives, Fair Value
Derivative liabilities, at fair value		$ 382,237	$ 238,045
[1]	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2016 and December 31, 2015, subject to a netting arrangement.
[2]	ash collateral was posted by the Company's derivative counterparties at September 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015, respectively.

Derivatives and Hedging Activ64

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net			$ (62,222)	$ (44,394)
Unrealized gain (loss), net			(150,842)	(104,546)
Gain (loss) on derivative instruments, net	$ 35,378	$ (220,602)	(293,528)	(287,344)
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	1,347	(3,079)	(62,222)	(44,394)
Contractual interest expense	(26,388)	(46,785)	(80,464)	(138,404)
Unrealized gain (loss), net	60,419	(170,738)	(150,842)	(104,546)
Gain (loss) on derivative instruments, net	35,378	(220,602)	(293,528)	(287,344)
Not Designated as Hedging Instrument | Realized and unrealized credit derivative income (loss), net
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	25,963	(3,944)	39,175	7,923
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	(96)	0	648
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	25,963	(3,848)	39,175	7,275
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	(5,090)	0	(69,090)	(31,881)
Contractual interest expense	(26,388)	(46,785)	(80,464)	(138,404)
Unrealized gain (loss), net	65,396	(173,817)	(150,986)	(113,151)
Gain (loss) on derivative instruments, net	33,918	(220,602)	(300,540)	(283,436)
Not Designated as Hedging Instrument | Interest Rate Swaptions
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net		(2,590)	(1,485)	(10,328)
Contractual interest expense		0	0	0
Unrealized gain (loss), net		2,590	1,485	8,594
Gain (loss) on derivative instruments, net		0	0	(1,734)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on settlement, termination, expiration or exercise, net	6,437	(489)	8,353	1,050
Contractual interest expense	0	0	0	0
Unrealized gain (loss), net	(4,977)	489	(1,341)	(457)
Gain (loss) on derivative instruments, net	$ 1,460	$ 0	$ 7,012	593
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)

Offsetting Assets and Liabili65

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands		Sep. 30, 2016	Dec. 31, 2015
Derivatives Asset
Gross Amounts of Recognized Assets	[1],[2]	$ 505	$ 8,659
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	[1],[2]	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	[1],[2]	505	8,659
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1],[2]	(84)	(4,142)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	[1],[2]	0	(4,517)
Net Amount	[1],[2]	421	$ 0
Reverse Repurchase Agreement
Gross Amounts of Recognized Assets		75,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets		75,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments		(74,791)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received		0
Net Amount		209
Total
Gross Amounts of Recognized Assets		75,505
Gross Amounts Offset in the Condensed Consolidated Balance Sheets		0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets		75,505
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments		(74,875)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received		0
Net Amount		$ 630
[1]	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2016 and December 31, 2015, subject to a netting arrangement.
[2]	ash collateral was posted by the Company's derivative counterparties at September 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015, respectively.

Offsetting Assets and Liabili66

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($)		Sep. 30, 2016	Dec. 31, 2015
Derivatives Liability
Gross Amounts of Recognized Liabilities	[1]	$ 382,321,000	$ 238,148,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	[1]	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	[1]	382,321,000	238,148,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[1],[2]	(151,820,000)	(117,240,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[1]	(230,501,000)	(109,299,000)
Net Amount	[1]	0	11,609,000
Repurchase Agreements
Gross Amounts of Recognized Liabilities	[3]	12,060,502,000	12,126,048,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	[3]	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	[3]	12,060,502,000	12,126,048,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[2],[3]	(12,060,502,000)	(12,126,048,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[3]	0	0
Net Amount	[3]	0	0
Secured Loans
Gross Amounts of Recognized Liabilities	[4]	1,650,000,000	1,650,000,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	[4]	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	[4]	1,650,000,000	1,650,000,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[2],[4]	(1,650,000,000)	(1,650,000,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	[4]	0	0
Net Amount	[4]	0	0
Total Borrowings
Gross Amounts of Recognized Liabilities		14,092,823,000	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		14,092,823,000	14,014,196,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	[2]	(13,862,322,000)	(13,893,288,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted		(230,501,000)	(109,299,000)
Net Amount		0	11,609,000
Fair value of securities pledged under reverse repurchase agreement		74,800,000
Fair value of securities pledged under repurchase agreement	[5]	13,344,339,000	13,460,288,000
Cash collateral posted by Company's derivative counterparties			4,900,000
Due from counterparties		241,200,000	109,300,000
Collateral pledged against secured loans		$ 2,000,000,000	1,900,000,000
Cash collateral posted			$ 0
[1]	ash collateral was posted by the Company's derivative counterparties at September 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015, respectively.
[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 $13.3 billion and $13.5 billion at September 30, 2016 and December 31, 2015, respectively.
[4]	The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $1.9 billion at September 30, 2016 and December 31, 2015, respectively.
[5]	Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies." As of September 30, 2016, the Company also pledged Agency RMBS with a fair value of $169.8 million (December 31, 2015: $143.9 million) as collateral against its interest rate swaps. See Note 8 - "Derivative and Hedging Activities" for additional information.

Fair Value of Financial Instr67

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands		Sep. 30, 2016	Dec. 31, 2015
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)		$ 16,074,077	$ 16,065,935
Gross Amounts of Recognized Assets	[1],[2]	505	8,659
Derivative liabilities, at fair value	[2]	382,321	238,148
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	[3],[4]	16,074,077	16,065,935
Gross Amounts of Recognized Assets		505	8,659
Total assets		16,074,582	16,074,594
Derivative liabilities, at fair value		382,321	238,148
Total liabilities		382,321	238,148
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	[3],[4]	0	0
Gross Amounts of Recognized Assets		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 (including pledged securities of $15,493,599 and $15,553,934, respectively)	[3],[4]	16,054,607	16,091,657
Gross Amounts of Recognized Assets		505	8,659
Total assets		16,055,112	16,100,316
Derivative liabilities, at fair value		382,321	238,148
Total liabilities		382,321	238,148
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,493,599 and $15,553,934, respectively)	[3],[4]	19,470	(25,722)
Gross Amounts of Recognized Assets		0	0
Total assets		19,470	(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	[3],[4]	19,500	(25,700)
Embedded derivatives in an asset position		22,700	1,000
Embedded derivatives in a liability position		$ (3,300)	$ (26,700)
[1]	Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2016 and December 31, 2015, subject to a netting arrangement.
[2]	ash collateral was posted by the Company's derivative counterparties at September 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $241.2 million and $109.3 million at September 30, 2016 and December 31, 2015, respectively.
[3]	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."
[4]	The Company's GSE CRTs purchased prior to August 24, 2015 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 September 30, 2016, the net embedded derivative asset position of $19.5 million includes $22.7 million of embedded derivatives in an asset position and $3.3 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 Instr68

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ (6,493)	$ (10,372)	$ (25,722)	$ (21,495)
Sales and settlements	0	(284)	6,017	2,184
Realized gains/(losses), net	0	284	(6,017)	(2,184)
Unrealized gains/(losses), net	25,963	(3,848)	45,192	7,275
Ending balance	$ 19,470	$ (14,220)	$ 19,470	$ (14,220)

Fair Value of Financial Instr69

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015	Jun. 30, 2016	Sep. 30, 2015	Jun. 30, 2015	Dec. 31, 2014
Fair Value Inputs, Assets, Quantitative Information
Net embedded derivative	$ 19,470	$ (25,722)	$ (6,493)	$ (14,220)	$ (10,372)	$ (21,495)
Level 3 | Market Comparables, Vendor Pricing and Internal Models
Fair Value Inputs, Assets, Quantitative Information
Weighted average life (in years)	5 years 10 months 24 days
Prepayment rate (as percent)		7.83%
Default rate (as percent)		0.16%
Minimum | Level 3 | Market Comparables, Vendor Pricing and Internal Models
Fair Value Inputs, Assets, Quantitative Information
Weighted average life (in years)	2 years 8 months 12 days
Prepayment rate (as percent)		5.72%
Default rate (as percent)		0.10%
Maximum | Level 3 | Market Comparables, Vendor Pricing and Internal Models
Fair Value Inputs, Assets, Quantitative Information
Weighted average life (in years)	8 years 1 month 6 days
Prepayment rate (as percent)		14.37%
Default rate (as percent)		0.35%

Fair Value of Financial Instr70

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Financial Liabilities
FHLBI stock	$ 74,250	$ 75,375
Securities purchased under agreements to resell	75,000
Carrying Value
Financial Assets
Other assets	183,514	115,072
Total	456,805	324,134
Financial Liabilities
Repurchase agreements	12,060,502	12,126,048
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	396,420	394,573
Total	14,106,922	14,170,621
Carrying Value | Commercial Loans Held For Investment
Financial Assets
Mortgage loans, held-for-investment	273,291	209,062
Estimated Fair Value
Financial Assets
Other assets	183,514	115,072
Total	457,434	324,862
Financial Liabilities
Repurchase agreements	12,060,505	12,133,252
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	400,000	376,500
Total	14,110,505	14,159,752
Estimated Fair Value | Commercial Loans Held For Investment
Financial Assets
Mortgage loans, held-for-investment	273,920	209,790
Level 3 | Carrying Value
Financial Liabilities
Securities purchased under agreements to resell	75,000
Level 3 | Estimated Fair Value
Financial Liabilities
Investments in unconsolidated ventures	32,800	38,400
FHLBI | Level 3 | Estimated Fair Value
Financial Liabilities
FHLBI stock	$ 74,300	$ 75,400

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015	Dec. 31, 2014
Related Party Transaction
Investment in money market or mutual funds managed by affiliates of a related party	$ 47,282	$ 76,658	$ 47,282	$ 76,658	$ 53,199	$ 164,144
Management fee – related party	6,719	10,058	25,292	28,816
Affiliate of the Manager
Related Party Transaction
Investment in money market or mutual funds managed by affiliates of a related party	46,900		$ 46,900		$ 47,400
Manager
Related Party Transaction
Management fee (as a percentage)			1.50%
Management fee – related party	6,700	$ 10,100	$ 25,292	$ 28,816
Management fees accrued but not paid	9,000		$ 9,000
Termination fee multiplier			3
Termination fees assessment period			24 months
Accounting for Premiums and discounts Associated with Purchase of Non-Agency RMBS | Manager
Related Party Transaction
Cumulative one-time adjustment	$ 2,300

Related Party Transactions - Ex

Related Party Transactions - Expense Reimbursement (Details) - Manager - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Summary of Investments, Other than Investments in Related Parties
Incurred costs	$ 2,652	$ 2,690	$ 5,877	$ 5,039
Incurred Costs, Prepaid or Expensed
Summary of Investments, Other than Investments in Related Parties
Incurred costs	2,652	$ 2,690	5,827	5,039
Incurred Costs Related to Origination and Commitment Fees [Member]
Summary of Investments, Other than Investments in Related Parties
Incurred costs			692	0
Incurred Costs, Not Paid
Summary of Investments, Other than Investments in Related Parties
Accounts payable, related parties	2		2
Incurred Costs, Capitalized to Other Assets [Member]
Summary of Investments, Other than Investments in Related Parties
Incurred costs	$ 0		$ 50	$ 0

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income	$ 585,563	$ 318,624
Unrealized gain/(loss) on mortgage-backed and credit risk transfer securities, net
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income	426,142	170,383
Unrealized gain/(loss) on discontinued cash flow hedges, net
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income	159,463	148,273
Currency translation adjustments on investment in unconsolidated venture
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income	(42)	(32)
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Accumulated other comprehensive income	$ 585,563	$ 318,624

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares		3 Months Ended		9 Months Ended
		Sep. 30, 2016		Sep. 30, 2016
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		46,000		40,814
Shares granted during the period		0		21,099
Shares forfeited during the period		0		0
Shares vested during the period		0		(15,913)
Unvested at the end of the period		46,000		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)		$ 14.40	[1]	$ 17.29
Granted, Weighted Average Grant Date Fair Value (usd per share)		0	[1]	11.28
Forfeited, Weighted Average Grant Date Fair Value (usd per share)		0	[1]	0
Vested, Weighted Average Grant Date Fair Value (usd per share)		0	[1]	(17.66)
Weighted Average Grant Date Fair Value, at the end of the period (usd per share)	[1]	$ 14.40		$ 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.

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Sep. 14, 2016	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Feb. 29, 2016	Dec. 31, 2015
Class of Stock
Common stock shares issued		111,588,883		111,588,883			113,619,471
Proceeds from issuance of common stock				$ 35	$ 158
Repurchase of shares of common stock				25,000
Total unrecognized compensation cost		$ 542		$ 542
Share-based compensation cost not yet recognized, period for recognition				42 months
Weighted average remaining vesting period				17 months 16 days
Common stock dividend declared, per share		$ 0.40	$ 0.4	$ 1.20	$ 1.3000
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		18,239,082
Common stock dividend declared, per share	$ 0.40
Dividend payable date				Oct. 26, 2016
Dividend payable, date of record				Sep. 27, 2016
Common Stock | DRSPP
Class of Stock
Common stock shares issued		3,201		3,201
Price of per share of stock issued		$ 11.08		$ 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		1,000,000
Incentive plan termination year				2,019
Compensation expense recognized		$ 85	$ 85	$ 255	$ 255
Restricted stock issued		5,448	6,152	19,356	16,896
Common Stock | Incentive Plan | Employee
Class of Stock
Compensation expense recognized		$ 75	$ 31	$ 170	$ 168
Preferred Stock
Class of Stock
Preferred stock, redemption price per share		$ 25		$ 25
Series A Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock, liquidation preference (dollars per share)		25		$ 25
Preferred stock dividend rate				7.75%
Preferred stock, dividends per annum (dollars per share)				$ 1.9375
Dividend payable date				Oct. 25, 2016
Dividend payable, date of record				Oct. 1, 2016
Series A preferred stock dividend, per share	0.4844
Series B Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock, liquidation preference (dollars per share)		$ 25		$ 25
Preferred stock dividend rate				7.75%
Preferred stock, dividends per annum (dollars per share)				$ 1.9375
Dividend payable date				Dec. 27, 2016
Dividend payable, date of record				Dec. 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%		5.18%

Earnings per Common Share - Ear

Earnings per Common Share - Earnings per Share (Detail) - USD ($) shares in Thousands, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Basic Earnings:
Net income (loss) available to common stockholders	$ 129,219	$ (144,515)	$ (38,558)	$ (15,985)
Effect of dilutive securities:
Income allocated to exchangeable senior notes	5,620	0	0	0
Income (loss) allocated to non-controlling interest	1,723	(1,628)	(235)	(10)
Dilutive net income (loss) available to stockholders	$ 136,562	$ (146,143)	$ (38,793)	$ (15,995)
Basic Earnings:
Shares available to common stockholders (in shares)	111,587	122,047	112,101	122,763
Effect of dilutive securities:
Restricted stock awards (in shares)	46	0	0	0
OP units (in shares)	1,425	1,425	1,425	1,425
Exchangeable senior notes (in shares)	16,835	0	0	0
Dilutive Shares (in shares)	129,893	123,472	113,526	124,188

Earnings per Common Share - Add

Earnings per Common Share - Additional Information (Details) - shares	3 Months Ended	9 Months Ended
	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 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	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	40,810	44,785	41,404

Non-controlling Interest - Op78

Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) $ in Thousands	Sep. 30, 2016	Dec. 31, 2015	Sep. 30, 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	$ 50,921	$ 51,734	$ 54,067
Non- Controlling Interest
Noncontrolling Interest
Distributions payable to non-controlling interest	$ 570	$ 570

Non-controlling Interest - Op79

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		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015
Noncontrolling Interest
Net income (loss) allocated	$ 1,723	$ (1,628)	$ (235)	$ (10)
Distributions paid	$ 570	$ 570	$ 1,710	$ 1,853

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	9 Months Ended	12 Months Ended
	Sep. 30, 2016	Dec. 31, 2015
Commitments and Contingencies Disclosure [Abstract]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 16.3	$ 21.1
Unfunded commitment	$ 11.8	$ 2.1

Revision of Previously Issued81

Revision of Previously Issued Financial Statements (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2016	Sep. 30, 2015	Sep. 30, 2016	Sep. 30, 2015	Dec. 31, 2015
Statement of Financial Position [Abstract]
Accumulated other comprehensive income	$ 585,563		$ 585,563		$ 318,624
Retained earnings (distributions in excess of earnings)	(943,771)		(943,771)		(771,313)
Interest Income
Mortgage-backed and credit risk transfer securities	112,467	$ 128,305	347,573	$ 395,844
Other Income
Gain (loss) on investments, net	7,155	1,967	(5,860)	(11,019)
Net income	136,658	(140,427)	(21,645)	1,153
Net income attributable to non-controlling interest	1,723	(1,628)	(235)	(10)
Net income attributable to Invesco Mortgage Capital Inc.	134,935	(138,799)	(21,410)	1,163
Net income (loss) available to common stockholders	$ 129,219	$ (144,515)	$ (38,558)	$ (15,985)
Earnings per share:
Net income attributable to common shareholders (basic) (usd per share)	$ 1.16	$ (1.18)	$ (0.34)	$ (0.13)
Net income attributable to common shareholders (diluted) (usd per share)	$ 1.05	$ (1.18)	$ (0.34)	$ (0.13)
Statement of Comprehensive Income [Abstract]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ 32,015	$ 42,933	$ 270,591	$ (30,611)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	0	389	(11,581)	(4,152)
Total other comprehensive income (loss)	26,949	59,013	270,331	16,386
Cash Flows from Operating Activities
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	31,858	31,825	85,522	90,900
(Gain) loss on investments, net	$ 7,155	1,967	(5,860)	(11,019)
Non-cash Investing and Financing Activities Information
Net change in unrealized gain on mortgage-backed and credit risk transfer securities			$ 259,010	(34,763)
As Reported
Statement of Financial Position [Abstract]
Accumulated other comprehensive income					303,110
Retained earnings (distributions in excess of earnings)					(755,799)
Interest Income
Mortgage-backed and credit risk transfer securities		129,260		390,623
Other Income
Gain (loss) on investments, net		2,958		(10,090)
Net income		(140,463)		(4,997)
Net income attributable to non-controlling interest		(1,629)		(80)
Net income attributable to Invesco Mortgage Capital Inc.		(138,834)		(4,917)
Net income (loss) available to common stockholders		$ (144,550)		$ (22,065)
Earnings per share:
Net income attributable to common shareholders (basic) (usd per share)		$ (1.18)		$ (0.18)
Net income attributable to common shareholders (diluted) (usd per share)		$ (1.18)		$ (0.18)
Statement of Comprehensive Income [Abstract]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net		$ 41,978		$ (25,390)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net		1,380		(3,223)
Total other comprehensive income (loss)		59,049		22,536
Cash Flows from Operating Activities
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net				96,121
(Gain) loss on investments, net		2,958		(10,090)
Non-cash Investing and Financing Activities Information
Net change in unrealized gain on mortgage-backed and credit risk transfer securities				(28,613)
Accounting for Premiums and discounts Associated with Purchase of Non-Agency RMBS
Non-cash Investing and Financing Activities Information
Net change in unrealized gain on mortgage-backed and credit risk transfer securities				(34,763)
Accounting for Premiums and discounts Associated with Purchase of Non-Agency RMBS | Adjustment
Statement of Financial Position [Abstract]
Accumulated other comprehensive income					15,514
Retained earnings (distributions in excess of earnings)					$ (15,514)
Interest Income
Mortgage-backed and credit risk transfer securities		(955)		5,221
Other Income
Gain (loss) on investments, net		(991)		(929)
Net income		36		6,150
Net income attributable to non-controlling interest		1		70
Net income attributable to Invesco Mortgage Capital Inc.		35		6,080
Net income (loss) available to common stockholders		$ 35		$ 6,080
Earnings per share:
Net income attributable to common shareholders (basic) (usd per share)		$ 0		$ 0.05
Net income attributable to common shareholders (diluted) (usd per share)		$ 0		$ 0.05
Statement of Comprehensive Income [Abstract]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net		$ 955		$ (5,221)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net		(991)		(929)
Total other comprehensive income (loss)		(36)		(6,150)
Cash Flows from Operating Activities
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net				(5,221)
(Gain) loss on investments, net		$ (991)		(929)
Non-cash Investing and Financing Activities Information
Net change in unrealized gain on mortgage-backed and credit risk transfer securities				$ (6,150)