Invesco Mortgage Capital (IVR) 10-Q 7 Aug 17 2017 Q2 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2017	Aug. 03, 2017
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	Jun. 30, 2017
Document Fiscal Year Focus	2,017
Document Fiscal Period Focus (Q1,Q2,Q3,FY)	Q2
Amendment Flag	false
Entity Common Stock, Shares Outstanding		111,609,901

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively)	$ 16,083,284	$ 14,981,331
Commercial loans, held-for-investment	278,866	273,355
Cash and cash equivalents	64,069	161,788
Due from counterparties	1,246	86,450
Investment related receivable	83,181	43,886
Accrued interest receivable	49,852	46,945
Derivative assets, at fair value	11,005	3,186
Other assets	102,428	109,297
Total assets	16,673,931	15,706,238
Liabilities:
Repurchase agreements	12,118,948	11,160,669
Secured loans	1,650,000	1,650,000
Exchangeable senior notes, net	217,804	397,041
Derivative liabilities, at fair value	44,147	134,228
Dividends and distributions payable	50,930	50,924
Investment related payable	202,051	9,232
Accrued interest payable	14,987	21,066
Collateral held payable	3,471	1,700
Accounts payable and accrued expenses	1,790	1,534
Due to affiliate	9,709	9,660
Total liabilities	14,313,837	13,436,054
Commitments and contingencies (See Note 16):
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,609,901 and 111,594,595 shares issued and outstanding, respectively	1,116	1,116
Additional paid in capital	2,380,243	2,379,863
Accumulated other comprehensive income	337,391	293,668
Retained earnings (distributions in excess of earnings)	(673,625)	(718,303)
Total stockholders’ equity	2,330,341	2,241,560
Non-controlling interest	29,753	28,624
Total equity	2,360,094	2,270,184
Total liabilities and equity	16,673,931	15,706,238
Series A Cumulative Redeemable Preferred Stock
Equity:
Preferred Stock	135,356	135,356
Series B Cumulative Redeemable Preferred Stock
Equity:
Preferred Stock	$ 149,860	$ 149,860

CONDENSED CONSOLIDATED BALANCE3

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Mortgage-backed and credit risk transfer securities, pledged as collateral	$ 15,367,150	$ 14,422,198
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	4,500,000	450,000,000
Common Stock - shares issued	111,609,901	111,594,595
Common Stock - shares outstanding	111,609,901	111,594,595
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		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Interest Income
Mortgage-backed and credit risk transfer securities	$ 121,027	$ 112,860	$ 239,900	$ 235,106
Commercial loans	6,021	5,947	11,785	10,840
Total interest income	127,048	118,807	251,685	245,946
Interest Expense
Repurchase agreements	36,072	31,260	66,019	73,060
Secured loans	4,535	2,688	7,948	5,403
Exchangeable senior notes	3,504	5,614	8,512	11,227
Total interest expense	44,111	39,562	82,479	89,690
Net interest income	82,937	79,245	169,206	156,256
Other Income (loss)
Gain (loss) on investments, net	11,175	1,414	9,322	13,015
Equity in earnings (losses) of unconsolidated ventures	(154)	202	(1,688)	1,263
Gain (loss) on derivative instruments, net	(53,513)	(90,363)	(48,051)	(328,906)
Realized and unrealized credit derivative income (loss), net	21,403	17,228	41,358	25,638
Net loss on extinguishment of debt	(526)	0	(5,237)	0
Other investment income (loss), net	2,533	(2,745)	3,862	(3,063)
Total other income (loss)	(19,082)	(74,264)	(434)	(292,053)
Expenses
Management fee – related party	9,027	9,061	17,828	18,573
General and administrative	1,608	1,896	3,692	3,933
Total expenses	10,635	10,957	21,520	22,506
Net income (loss)	53,220	(5,976)	147,252	(158,303)
Net income (loss) attributable to non-controlling interest	670	(75)	1,856	(1,958)
Net income (loss) attributable to Invesco Mortgage Capital Inc.	52,550	(5,901)	145,396	(156,345)
Dividends to preferred stockholders	5,716	5,716	11,432	11,432
Net income (loss) attributable to common stockholders	$ 46,834	$ (11,617)	$ 133,964	$ (167,777)
Earnings (loss) per share:
Net income attributable to common shareholders (basic) (usd per share)	$ 0.42	$ (0.10)	$ 1.20	$ (1.49)
Net income attributable to common shareholders (diluted) (usd per share)	0.41	(0.10)	1.15	(1.49)
Dividends declared per common share (usd per share)	$ 0.40	$ 0.4	$ 0.8	$ 0.8

CONDENSED CONSOLIDATED STATEME5

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ 53,220	$ (5,976)	$ 147,252	$ (158,303)
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	39,633	117,116	55,922	238,576
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	651	(1,037)	1,501	(11,581)
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,369)	3,238	(12,667)	16,162
Currency translation adjustments on investment in unconsolidated venture	139	274	(476)	225
Total other comprehensive income (loss)	34,054	119,591	44,280	243,382
Comprehensive income (loss)	87,274	113,615	191,532	85,079
Less: Comprehensive (income) loss attributable to non-controlling interest	(1,099)	(1,435)	(2,414)	(1,094)
Less: Dividends to preferred stockholders	(5,716)	(5,716)	(11,432)	(11,432)
Comprehensive income (loss) attributable to common stockholders	$ 80,459	$ 106,464	$ 177,686	$ 72,553

CONDENSED CONSOLIDATED STATEME6

CONDENSED CONSOLIDATED STATEMENT OF EQUITY (Unaudited) - 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
Balance at beginning of period at Dec. 31, 2015						$ 318,624
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	$ (158,303)
Other comprehensive income	243,382
Balance at end of period at Jun. 30, 2016						558,954
Balance at beginning of period at Mar. 31, 2016						440,873
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	(5,976)
Other comprehensive income	119,591
Balance at end of period at Jun. 30, 2016						558,954
Beginning Balance (in shares) at Dec. 31, 2016		5,600,000	6,200,000	111,594,595
Balance at beginning of period at Dec. 31, 2016	2,270,184	$ 135,356	$ 149,860	$ 1,116	$ 2,379,863	293,668	$ (718,303)	$ 2,241,560	$ 28,624
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	147,252						145,396	145,396	1,856
Other comprehensive income	44,280					43,722		43,722	558
Stock awards (in shares)				15,306
Common stock dividends	(89,286)						(89,286)	(89,286)
Common unit dividends	(1,140)								(1,140)
Preferred stock dividends	(11,432)						(11,432)	(11,432)
Amortization of equity-based compensation	236				233			233	3
Rebalancing of ownership percentage of non-controlling interest	1				147	1		148	(148)
Ending Balance (in shares) at Jun. 30, 2017		5,600,000	6,200,000	111,609,901
Balance at end of period at Jun. 30, 2017	2,360,094	$ 135,356	$ 149,860	$ 1,116	2,380,243	337,391	(673,625)	2,330,341	29,753
Balance at beginning of period at Mar. 31, 2017						303,765
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	53,220
Other comprehensive income	34,054
Rebalancing of ownership percentage of non-controlling interest	1
Ending Balance (in shares) at Jun. 30, 2017		5,600,000	6,200,000	111,609,901
Balance at end of period at Jun. 30, 2017	$ 2,360,094	$ 135,356	$ 149,860	$ 1,116	$ 2,380,243	$ 337,391	$ (673,625)	$ 2,330,341	$ 29,753

CONDENSED CONSOLIDATED STATEME7

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016
Cash Flows from Operating Activities
Net income (loss)	$ 147,252	$ (158,303)
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	53,436	53,664
Amortization of commercial loan origination fees	(164)	(139)
Unrealized (gain) loss on derivative instruments, net	(20,120)	211,261
Unrealized (gain) loss on credit derivatives, net	(29,707)	(19,229)
(Gain) loss on investments, net	(9,322)	(13,015)
Realized (gain) loss on derivative instruments, net	25,311	63,569
Realized (gain) loss on credit derivatives, net	0	6,017
Equity in (earnings) losses of unconsolidated ventures	1,688	(1,263)
Amortization of equity-based compensation	263	265
Amortization of deferred securitization and financing costs	912	1,227
Amortization of net deferred losses on de-designated interest rate swaps	(12,667)	16,162
Net loss on extinguishment of debt	5,237	0
(Gain) loss on foreign currency transactions, net	(2,229)	4,741
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	(2,497)	1,893
Decrease in operating liabilities	(3,016)	(5,039)
Net cash provided by operating activities	154,377	161,811
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(2,533,663)	(1,061,651)
(Contributions to) distributions from investments in unconsolidated ventures, net	7,826	6,863
Change in other assets	0	1,125
Principal payments from mortgage-backed and credit risk transfer securities	1,065,577	1,131,028
Proceeds from sale of mortgage-backed and credit risk transfer securities	572,616	659,959
Payments on sale of credit derivatives	0	(6,017)
Proceeds from/ (payments for) settlement or termination of forwards, swaps and swaptions, net	(25,311)	(62,083)
Principal payments from commercial loans held-for-investment	0	15,000
Origination and advances of commercial loans, net of origination fees	(3,170)	(83,005)
Net cash provided by (used in) investing activities	(919,582)	571,699
Cash Flows from Financing Activities
Proceeds from issuance of common stock	0	35
Repurchase of common stock	0	(25,000)
Due from counterparties	(1,246)	(158,132)
Change in collateral held payable	1,771	660
Proceeds from repurchase agreements	63,154,822	61,581,699
Principal repayments of repurchase agreements	(62,200,623)	(61,939,100)
Proceeds from secured loans	0	125,000
Principal repayments of secured loans	0	(125,000)
Extinguishment of exchangeable senior notes	(185,386)	0
Payments of deferred costs	0	(136)
Payments of dividends and distributions	(101,852)	(102,651)
Net cash provided by (used in) financing activities	667,486	(642,625)
Net change in cash and cash equivalents	(97,719)	90,885
Cash and cash equivalents, beginning of period	161,788	53,199
Cash and cash equivalents, end of period	64,069	144,084
Supplement Disclosure of Cash Flow Information
Interest paid	97,003	74,037
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	57,423	226,995
Dividends and distributions declared not paid	50,930	50,919
Net change in investment related payable (receivable)	(163,489)	206,034
Net change in repurchase agreements, not settled	4,081	0
Change in due from counterparties	86,450	1,126
U.S. Treasury securities
Cash Flows from Investing Activities
Purchase of trading securities	0	(152,256)
Proceeds from sale of trading securities	0	122,736
Exchange-traded funds
Cash Flows from Investing Activities
Purchase of trading securities	(3,508)	0
Proceeds from sale of trading securities	$ 51	$ 0

Organization and Business Opera

Organization and Business Operations	6 Months Ended
	Jun. 30, 2017
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company", "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership"), as its sole general partner. As of June 30, 2017 , we owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3% . We have one operating segment. We primarily invest 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 or the Federal Home Loan Mortgage Corporation (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. We 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 commencing with our taxable year ended December 31, 2009. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940.

Summary of Significant Accounti

Summary of Significant Accounting Policies	6 Months Ended
	Jun. 30, 2017
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2016 . The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon 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 our financial condition and results of operations for the periods presented. 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 our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements 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. We are required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. We have determined that this new accounting standard will not have an impact on our financial condition or results of operations but will simplify financial statement disclosures. 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. We are required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our 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. Additionally, in November 2016, the FASB issued new guidance on classification and presentation of changes in restricted cash on the statement of cash flows. We are required to adopt the new accounting standards in the first quarter of 2018 using a retrospective transition method for each period presented. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	6 Months Ended
	Jun. 30, 2017
Variable Interest Entity Disclosure [Abstract]
Variable Interest Entities (VIEs)	Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2017 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss CMBS 2,777,516 2,777,516 Non-Agency RMBS 1,575,840 1,575,840 Investments in unconsolidated ventures 23,311 23,311 Total 4,376,667 4,376,667 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	6 Months Ended
	Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2017 and December 31, 2016 . June 30, 2017 $ 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 3,187,931 134,856 3,322,787 (46,007 ) 3,276,780 3.09 % 2.19 % 1.97 % 30 year fixed-rate 4,816,054 232,385 5,048,439 20,677 5,069,116 3.95 % 3.10 % 2.83 % ARM * 269,123 1,988 271,111 3,463 274,574 2.68 % 2.58 % 2.27 % Hybrid ARM 1,891,257 30,099 1,921,356 12,659 1,934,015 2.71 % 2.54 % 2.29 % Total Agency pass-through (4) 10,164,365 399,328 10,563,693 (9,208 ) 10,554,485 3.42 % 2.69 % 2.44 % Agency-CMO (5) 1,429,977 (1,129,678 ) 300,299 (2,033 ) 298,266 2.04 % 2.87 % 0.34 % Non-Agency RMBS (6)(7)(8) 3,247,516 (1,793,760 ) 1,453,756 122,084 1,575,840 2.18 % 5.80 % 5.90 % GSE CRT (9)(10) 769,217 25,537 794,754 82,423 877,177 3.06 % 2.40 % 2.62 % CMBS (11)(12) 3,317,888 (612,386 ) 2,705,502 72,014 2,777,516 3.90 % 4.62 % 4.45 % Total 18,928,963 (3,110,959 ) 15,818,004 265,280 16,083,284 3.17 % 3.30 % 3.07 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2017 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2017 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 23.7% of principal/notional balance, 23.5% of amortized cost and 23.5% of fair value. (5) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 84.3% of principal/notional balance, 24.1% of amortized cost and 23.9% of fair value. (6) Non-Agency RMBS held by us is 43.8% fixed rate, 48.0% variable rate, and 8.2% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $258.2 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities which represent 47.7% of principal/notional balance, 1.8% of amortized cost and 1.5% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 26.1% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 18.5% of principal/notional balance, 0.7% of amortized cost and 0.7% of fair value. (12) We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 10.6% of principal/notional balance, 11.3% of amortized cost and 11.0% of fair value. December 31, 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 3,460,625 151,526 3,612,151 (54,223 ) 3,557,928 3.11 % 2.19 % 1.99 % 30 year fixed-rate 2,780,806 185,521 2,966,327 15,390 2,981,717 4.37 % 2.61 % 2.57 % ARM 301,900 2,520 304,420 3,453 307,873 2.69 % 2.59 % 2.16 % Hybrid ARM 2,423,152 42,360 2,465,512 8,789 2,474,301 2.70 % 2.52 % 2.02 % Total Agency pass-through (4) 8,966,483 381,927 9,348,410 (26,591 ) 9,321,819 3.37 % 2.42 % 2.20 % Agency-CMO (5) 1,712,120 (1,368,916 ) 343,204 837 344,041 2.16 % 3.08 % 2.07 % Non-Agency RMBS (6)(7)(8) 3,838,314 (1,934,269 ) 1,904,045 91,506 1,995,551 2.21 % 5.22 % 5.22 % GSE CRT (9)(10) 707,899 24,320 732,219 35,981 768,200 2.38 % 1.51 % 1.24 % CMBS (11)(12) 3,050,747 (559,857 ) 2,490,890 60,830 2,551,720 3.80 % 4.21 % 4.17 % Total 18,275,563 (3,456,795 ) 14,818,768 162,563 14,981,331 3.05 % 3.05 % 2.87 % (1) Net weighted average coupon as of December 31, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 4.3% of principal/notional balance, 4.3% of amortized cost and 4.2% of fair value. (5) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), which represent 85.5% o f principal (notional) balance, 26.8% of amortized cost and 21.7% of fair value. (6) Non-Agency RMBS held by us is 45.5% variable rate, 47.2% fixed rate, and 7.3% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $252.5 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities, which represent 43.5% of principal/notional balance, 1.5% of amortized cost and 1.3% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 19.2% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 20.3% of principal/notional balance, 0.8% of amortized cost and 0.9% of fair value. (12) We have 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. The following table summarizes our non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 % of Non-Agency December 31, 2016 % of Non-Agency Prime 699,638 44.4 % 889,658 44.6 % Alt-A 421,492 26.7 % 447,213 22.4 % Re-REMIC 237,766 15.1 % 364,301 18.2 % Subprime/reperforming 216,944 13.8 % 294,379 14.8 % Total Non-Agency 1,575,840 100.0 % 1,995,551 100.0 % The following table summarizes the credit enhancement provided to our re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of June 30, 2017 and December 31, 2016 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2017 December 31, 2016 0% - 10% 26.3 % 17.6 % 10% - 20% 3.9 % 7.4 % 20% - 30% 9.9 % 13.5 % 30% - 40% 19.4 % 15.7 % 40% - 50% 18.4 % 27.0 % 50% - 60% 20.3 % 16.1 % 60% - 70% 1.8 % 2.7 % Total 100.0 % 100.0 % (1) Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by us 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 us. 48.3% of our Re-REMIC holdings are not senior tranches. The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2017 and December 31, 2016 are presented below. $ in thousands June 30, 2017 December 31, 2016 Principal balance 18,928,963 18,275,563 Unamortized premium 484,242 476,314 Unamortized discount (3,595,201 ) (3,933,109 ) Gross unrealized gains 379,923 302,099 Gross unrealized losses (114,643 ) (139,536 ) Fair value 16,083,284 14,981,331 The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 Less than one year 117,913 121,076 Greater than one year and less than five years 8,306,399 6,719,923 Greater than or equal to five years 7,658,972 8,140,332 Total 16,083,284 14,981,331 The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at June 30, 2017 and December 31, 2016 . June 30, 2017 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 2,534,116 (54,361 ) 129 111,912 (2,469 ) 19 2,646,028 (56,830 ) 148 30 year fixed-rate 1,351,307 (16,221 ) 59 507,832 (16,337 ) 27 1,859,139 (32,558 ) 86 ARM 82,986 (89 ) 9 — — — 82,986 (89 ) 9 Hybrid ARM 799,528 (4,824 ) 73 7,048 (105 ) 4 806,576 (4,929 ) 77 Total Agency pass-through (1) 4,767,937 (75,495 ) 270 626,792 (18,911 ) 50 5,394,729 (94,406 ) 320 Agency-CMO (2) 124,257 (5,340 ) 26 21,443 (1,012 ) 4 145,700 (6,352 ) 30 Non-Agency RMBS 113,298 (2,385 ) 23 166,184 (2,403 ) 24 279,482 (4,788 ) 47 CMBS (3) 487,895 (8,767 ) 42 19,970 (330 ) 5 507,865 (9,097 ) 47 Total 5,493,387 (91,987 ) 361 834,389 (22,656 ) 83 6,327,776 (114,643 ) 444 (1) Amounts disclosed include Agency RMBS with a fair value of $ 801.6 million for which the fair value option has been elected. Such securities have unrealized losses of $ 6.5 million . (2) Fair value includes unrealized losses on Agency IO of $3.9 million and unrealized losses on CMO of $2.4 million . (3) Amounts disclosed includes CMBS with a fair value of $168.0 million for which the fair value option has been elected. Such securities have unrealized losses of $2.3 million . December 31, 2016 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 2,781,777 (66,506 ) 127 65,964 (1,556 ) 17 2,847,741 (68,062 ) 144 30 year fixed-rate 747,719 (15,409 ) 45 547,763 (18,004 ) 27 1,295,482 (33,413 ) 72 ARM 120,540 (326 ) 9 1,091 (7 ) 1 121,631 (333 ) 10 Hybrid ARM 1,356,687 (9,922 ) 99 252 (4 ) 2 1,356,939 (9,926 ) 101 Total Agency pass-through (1) 5,006,723 (92,163 ) 280 615,070 (19,571 ) 47 5,621,793 (111,734 ) 327 Agency-CMO (2) 163,114 (3,812 ) 28 22,792 (952 ) 3 185,906 (4,764 ) 31 Non-Agency RMBS 287,647 (7,861 ) 42 497,863 (6,671 ) 36 785,510 (14,532 ) 78 GSE CRT (3) — — — 35,935 (969 ) 3 35,935 (969 ) 3 CMBS (4) 401,016 (6,733 ) 36 47,219 (804 ) 6 448,235 (7,537 ) 42 Total 5,858,500 (110,569 ) 386 1,218,879 (28,967 ) 95 7,077,379 (139,536 ) 481 (1) Amounts disclosed include Agency RMBS with a fair value of $149.7 million for which the fair value option has been elected. Such securities have unrealized losses of $4.0 million . (2) Fair value includes unrealized losses on Agency IO of $3.0 million unrealized losses and unrealized losses on CMO of $1.7 million . (3) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. (4) Amounts disclosed includes CMBS with a fair value of $13.9 million for which the fair value option has been elected. Such securities have unrealized losses of $613,000 . Gross unrealized losses on our Agency RMBS and CMO were $94.4 million and $2.4 million , respectively, at June 30, 2017 . Due to the inherent credit quality of Agency RMBS and CMO, we determined that at June 30, 2017 , any unrealized losses on our Agency RMBS and CMO portfolio are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS, GSE CRT and CMBS were $17.8 million at June 30, 2017 . We did 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 our assessment for other-than-temporary impairment on a quarterly basis. We assess our 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 following table represents the other-than-temporary impairment losses ("OTTI") included in earnings for the three and six months ended June 30, 2017 and 2016 : Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 RMBS interest-only securities 3,585 1,472 3,876 7,155 Non-Agency RMBS (1) 513 53 754 53 Total 4,098 1,525 4,630 7,208 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. As we have 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 condensed consolidated statements of operations. As of June 30, 2017 , we did not intend to sell the securities and determined that it was not more likely than not that we will be required to sell the securities. The following table summarizes the changes in accumulated other comprehensive income (loss) related to our GSE CRT debt host contracts and available-for-sale MBS for the three and six months ended June 30, 2017 and 2016 . We reclassify unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when we sell our investments. The table excludes MBS and GSE CRT that are accounted for under the fair value option. As of June 30, 2017 , $3.1 billion or 19.3% of our MBS and GSE CRT are accounted for under the fair value option. Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 163,440 288,715 146,301 177,799 Unrealized gain (loss) on MBS and GSE CRT 39,633 117,116 55,922 238,576 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net 651 (1,037 ) 1,501 (11,581 ) Balance at the end of period 203,724 404,794 203,724 404,794 The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Gross realized gains on sale of investments 1,311 1,037 2,215 14,052 Gross realized losses on sale of investments (1,962 ) — (3,873 ) (2,471 ) Other-than-temporary impairment losses (4,098 ) (1,525 ) (4,630 ) (7,208 ) Net unrealized gains and losses on MBS accounted for under the fair value option 7,715 1,266 4,113 7,942 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 8,195 173 11,474 237 Net unrealized gains and losses on trading securities 14 463 23 463 Total gain (loss) on investments, net 11,175 1,414 9,322 13,015 The following table presents components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2017 and 2016 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 91,979 (27,775 ) 64,204 Non-Agency 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 CMBS 31,506 (1,852 ) 29,654 Other 95 — 95 Total 147,267 (26,240 ) 121,027 For the three months ended June 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 84,440 (28,277 ) 56,163 Non-Agency 24,127 2,292 26,419 GSE CRT 2,136 (775 ) 1,361 CMBS 31,476 (2,839 ) 28,637 Other 297 (17 ) 280 Total 142,476 (29,616 ) 112,860 For the six months ended June 30, 2017 $ in thousands Coupon Net (Premium Interest Agency 183,210 (56,353 ) 126,857 Non-Agency 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 CMBS 61,182 (4,486 ) 56,696 Other 156 — 156 Total 293,336 (53,436 ) 239,900 For the six months ended June 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 170,211 (52,462 ) 117,749 Non-Agency 49,976 6,136 56,112 GSE CRT 4,333 (1,542 ) 2,791 CMBS 63,740 (5,779 ) 57,961 Other 510 (17 ) 493 Total 288,770 (53,664 ) 235,106

Commercial Loans Held-for-Inves

Commercial Loans Held-for-Investment	6 Months Ended
	Jun. 30, 2017
Receivables [Abstract]
Commercial Loans Held-for-Investment	Commercial Loans Held-for-Investment The following table summarizes commercial loans held-for-investment as of June 30, 2017 and December 31, 2016 that we purchased or originated. June 30, 2017 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 279,121 (255 ) 278,866 8.50 % 1.4 Total 10 279,121 (255 ) 278,866 8.50 % 1.4 December 31, 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 10 273,666 (311 ) 273,355 8.14 % 1.6 Total 10 273,666 (311 ) 273,355 8.14 % 1.6 (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 June 30, 2017 and December 31, 2016 based on our analysis of credit quality factors as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 .

Other Assets

Other Assets	6 Months Ended
	Jun. 30, 2017
Schedule of Investments [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 23,311 33,301 Investment in exchange-traded fund 3,979 500 Prepaid expenses and other assets 888 1,246 Total 102,428 109,297 IAS Services LLC, our 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. We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 16 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures. We have invested in an exchange-traded fund that is managed by an affiliate of our Manager. The exchange-traded fund invests in our target assets.

Borrowings

Borrowings	6 Months Ended
	Jun. 30, 2017
Debt Disclosure [Abstract]
Borrowings	Borrowings We finance the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following table summarizes certain characteristics of our borrowings at June 30, 2017 and December 31, 2016 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,227,679 1.29 % 20 Non-Agency RMBS 1,130,943 2.50 % 29 GSE CRT 661,432 2.58 % 7 CMBS 1,098,894 2.33 % 16 Total Repurchase Agreements 12,118,948 1.56 % 21 Secured Loans 1,650,000 1.23 % 2,501 Exchangeable Senior Notes (1) 218,755 5.00 % 258 Total Borrowings 13,987,703 1.58 % 317 $ in thousands December 31, 2016 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 8,148,220 0.93 % 32 Non-Agency RMBS 1,519,859 2.06 % 28 GSE CRT 547,872 2.25 % 16 CMBS 944,718 1.86 % 16 Total Repurchase Agreements 11,160,669 1.23 % 30 Secured Loans 1,650,000 0.74 % 2,682 Exchangeable Senior Notes (1) 400,000 5.00 % 439 Total Borrowings 13,210,669 1.28 % 373 (1) The carrying value of exchangeable senior notes is $217.8 million and $397.0 million as of June 30, 2017 and December 31, 2016 , respectively. The carrying value is net of unamortized debt issuance costs of $1.0 million and $3.0 million as of June 30, 2017 and December 31, 2016 , respectively. The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of June 30, 2018 12,337,703 2019 — 2020 300,000 2021 100,000 2022 — Thereafter 1,250,000 Total 13,987,703 The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2017 and December 31, 2016 . June 30, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,315,644 9.5 % 1,383,316 ING Financial Market LLC 1,270,181 9.2 % 1,336,963 Pierpont Securities LLC 1,125,511 8.2 % 1,181,071 Royal Bank of Canada 1,073,515 7.8 % 1,258,618 Mitsubishi UFJ Securities (USA), Inc. 653,956 4.7 % 691,437 E D & F Man Capital Markets Inc. 621,813 4.5 % 653,306 Scotia Capital 605,826 4.4 % 630,441 Citigroup Global Markets Inc. 552,926 4.0 % 656,821 Industrial and Commercial Bank of China Financial Services LLC 524,907 3.8 % 550,286 South Street Securities LLC 485,749 3.5 % 514,435 KGS-Alpha Capital Markets, L.P. 481,965 3.5 % 506,387 Goldman, Sachs & Co. 467,361 3.4 % 586,400 JP Morgan Securities Inc. 411,296 3.0 % 476,473 Societe Generale 395,937 2.9 % 509,082 Guggenheim Liquidity Services, LLC 329,375 2.4 % 346,416 Mizuho Securities USA Inc. 329,168 2.4 % 347,282 Natixis, New York Branch 302,566 2.2 % 327,418 BNP Paribas Securities Corp. 283,528 2.1 % 326,548 Daiwa Capital Markets America Inc. 218,702 1.6 % 230,239 All other counterparties (2) 669,022 4.9 % 857,358 Total Repurchase Agreement Counterparties 12,118,948 88.0 % 13,370,297 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,941,665 Total 13,768,948 100.0 % 15,311,962 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties. December 31, 2016 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,401,966 11.2 % 1,468,793 ING Financial Market LLC 1,142,200 8.9 % 1,216,492 Royal Bank of Canada 1,098,631 8.6 % 1,293,336 Industrial and Commercial Bank of China Financial Services LLC 707,616 5.5 % 748,503 Mitsubishi UFJ Securities (USA), Inc. 703,382 5.5 % 740,404 Pierpont Securities LLC 681,853 5.3 % 717,663 South Street Securities LLC 675,660 5.3 % 713,330 Goldman, Sachs & Co. 486,430 3.8 % 623,400 Scotia Capital 479,105 3.7 % 500,578 JP Morgan Securities Inc. 477,947 3.7 % 554,494 KGS-Alpha Capital Markets, L.P. 441,541 3.4 % 475,858 Citigroup Global Markets Inc. 427,185 3.3 % 534,875 E D & F Man Capital Markets Inc. 405,615 3.2 % 430,896 Guggenheim Liquidity Services, LLC 356,149 2.8 % 377,030 Natixis, New York Branch 336,202 2.6 % 362,432 Societe Generale 325,393 2.5 % 427,200 BNP Paribas Securities Corp. 307,641 2.4 % 346,484 All other counterparties (2) 706,153 5.4 % 912,536 Total Repurchase Agreement Counterparties: 11,160,669 87.1 % 12,444,304 Secured Loans Counterparty: FHLBI 1,650,000 12.9 % 1,931,582 Total 12,810,669 100.0 % 14,375,886 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven 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 we maintain effective control of the financed assets. Repurchase agreements are subject to certain financial covenants. We were in compliance with these covenants at June 30, 2017 . Our repurchase agreement collateral ratio (MBS and GSE CRTs pledged as collateral/Amount Outstanding) was 110% as of June 30, 2017 ( December 31, 2016 : 112% ). Secured Loans Our wholly-owned captive insurance subsidiary, IAS Services LLC is a member of the FHLBI. As a member of the FHLBI, IAS Services LLC has borrowed funds from the FHLBI in the form of secured loans. As of June 30, 2017 , IAS Services LLC, had $1.65 billion in outstanding secured loans from the FHLBI. These secured loans have floating rates that are based on the three-month FHLB swap rate plus a spread. For the six months ended June 30, 2017 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 0.96% and a weighted average maturity of 6.9 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 until February 2021. New advances or renewals that mature after February 2021 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 February 19, 2016 and extend beyond February 2021. We do not expect there to be any impact to our existing FHLBI borrowings under the FHFA rule. The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. 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 loans from the FHLBI. Exchangeable Senior Notes In 2013, our wholly-owned subsidiary, IAS Operating Partnership LP, issued $400.0 million in aggregate principal amount of Exchangeable Senior Notes (the "Notes") due March 15, 2018. The Notes may be exchanged for shares of our common stock at the applicable exchange rate at any time prior to the close of business on March 13, 2018. The Notes are reported on our consolidated balance sheets net of unamortized debt issuance costs. Debt issuance costs are amortized as an adjustment to interest expense using the effective interest method over the stated legal maturity of the Notes. In June and March 2017, we retired $31.2 million and $150.0 million of Notes for a repurchase price of $31.6 million and $153.8 million , respectively. During the three months ended June 30, 2017 , we realized a $526,000 net loss on extinguishment of debt including $136,000 of unamortized debt issuance costs associated with the retired debt. During the six months ended June 30, 2017 , we realized a $5.2 million net loss on extinguishment of debt including $1.0 million of unamortized debt issuance costs associated with the retired debt. Accrued interest payable on the Notes was approximately $3.2 million as of June 30, 2017 ( December 31, 2016 : $5.9 million ).

Collateral Positions

Collateral Positions	6 Months Ended
	Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Collateral Positions	Collateral Positions The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2017 and December 31, 2016 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2016 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Cash collateral pledged on bilateral swaps and currency forward contracts is classified as due from counterparties on our consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2017 and December 31, 2016 , we did not recognize any non-cash collateral held. Collateral Pledged June 30, 2017 December 31, 2016 Repurchase Agreements: Agency RMBS 9,711,706 8,654,233 Non-Agency RMBS 1,424,646 1,887,550 GSE CRT 874,493 734,212 CMBS 1,359,452 1,168,309 Total repurchase agreements collateral pledged 13,370,297 12,444,304 Secured Loans: Agency RMBS 596,514 585,504 CMBS 1,345,151 1,346,078 Total secured loans collateral pledged 1,941,665 1,931,582 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS 55,188 46,312 Cash 1,246 86,450 Total interest rate swaps and currency forward contracts collateral pledged (1) 56,434 132,762 Total: Mortgage-backed and GSE CRT securities 15,367,150 14,422,198 Cash 1,246 86,450 Total collateral pledged 15,368,396 14,508,648 Collateral Held June 30, 2017 December 31, 2016 Interest Rate Swaps: Cash 3,471 1,700 Non-cash collateral — 536 Total collateral held 3,471 2,236 (1) Cash collateral pledged on our currency forward contracts was $980,000 as of June 30, 2017 . We did no t pledge any collateral on our currency forward contracts as of December 31, 2016 . Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our 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 us, 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 respective lender and us. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. Secured Loans The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our 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. IAS Services LLC would be required to provide additional collateral or fund margin calls if the value of pledged assets declines. Interest Rate Swaps Collateral pledged with our interest rate swap counterparties is segregated in our books and records. We have two types of interest rate swap agreements: bilateral interest rate swaps that are governed by an International Swaps and Derivatives Association ("ISDA") agreement and interest rate swaps that are centrally cleared by the Chicago Mercantile Exchange ("CME") through a Futures Commission Merchant. Interest rate swaps that are governed by an ISDA agreement provide for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate swaps change. We are required to pledge initial margin and daily variation margin for our interest rate swaps that are centrally cleared by CME. CME determines the fair value of our centrally cleared swaps, including daily variation margin. Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate swaps as settlement rather than collateral. As a result of this rule change, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Currency Forward Contracts Collateral pledged with our currency forward counterparty is segregated in our books and records. Eligible collateral to be pledged can be in the form of cash or securities. Our currency forward contract provides for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the currency forward contracts change.

Derivatives and Hedging Activit

Derivatives and Hedging Activities	6 Months Ended
	Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives and Hedging Activities	Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2017 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 6,500,000 1,400,000 — 7,900,000 Currency Forward Contracts 62,308 137,860 (131,575 ) 68,593 Credit Derivatives 569,966 — (5,729 ) 564,237 Total 7,132,274 1,537,860 (137,304 ) 8,532,830 Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one to twelve months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. In addition, our secured loans have floating interest rates. As such, we are exposed to changing interest rates. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps involve the receipt of variable-rate amounts from a counterparty in exchange for making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. Effective December 31, 2013, we voluntarily discontinued cash flow hedge accounting for our interest rate swaps to gain greater flexibility in managing interest rate exposures. Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our 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. We reclassified $6.4 million as a decrease ( June 30, 2016 : $3.2 million as an increase) and $12.7 million as a decrease ( June 30, 2016 : $16.2 million as an increase) to interest expense for the three and six months ended June 30, 2017 , respectively. During the next 12 months, we estimate that $26.3 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2017 , $136.6 million ( December 31, 2016 : $149.1 million ) of unrealized gain/(loss) on discontinued cash flow hedges, net is still included in accumulated other comprehensive income. As of June 30, 2017 , we 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 450,000 1/12/2024 2.10 % CME Central Clearing 450,000 1/25/2024 2.15 % CME Central Clearing 100,000 4/2/2025 2.04 % CME Central Clearing (1 ) 250,000 5/24/2028 2.78 % CME Central Clearing (1 ) 250,000 5/24/2028 2.39 % Total 7,900,000 2.17 % (1) Forward start date of 5/24/2018 Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. Interest Rate Swaptions We have purchased interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of a portion of our investment portfolio (referred to as "convexity risk"). The interest rate swaptions provide us 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 our 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 our 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 we sell or exercise 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 June 30, 2017 and December 31, 2016 , we have no outstanding interest rate swaptions. Currency Forward Contracts We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our 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 our condensed consolidated statements of operations. As of June 30, 2017 , we have $49.6 million ( December 31, 2016 : $49.0 million ) of notional amount of forward contracts denominated in Pound Sterling and $19.0 million ( December 31, 2016 : $13.3 million ) of notional amount of forward contracts denominated in Euro. Credit Derivatives Our 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 June 30, 2017 and December 31, 2016 , terms of the GSE CRT embedded derivatives are: $ in thousand June 30, 2017 December 31, 2016 Fair value amount 46,802 17,095 Notional amount 564,237 569,966 Maximum potential amount of future undiscounted payments 564,237 569,966 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2017 As of December 31, 2016 As of June 30, 2017 As of December 31, 2016 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 11,005 3,085 Interest Rate Swaps Liability 43,047 133,833 Currency Forward Contracts — 101 Currency Forward Contracts 1,100 395 Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate swaps as settlement rather than collateral. As a result of this rule change, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2017 and 2016 . $ in thousands Three months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,844 15,559 21,403 $ in thousands Three months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (5,097 ) 6,112 16,213 17,228 $ in thousands Six months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 11,651 29,707 41,358 $ in thousands Six months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (6,017 ) 12,426 19,229 25,638 The following table summarizes the effect of interest rate swaps, interest rate swaptions and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2017 and 2016 : $ in thousands Three months ended June 30, 2017 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 (38,512 ) (19,966 ) 7,975 (50,503 ) Currency Forward Contracts (1,717 ) — (1,293 ) (3,010 ) Total (40,229 ) (19,966 ) 6,682 (53,513 ) $ in thousands Three months ended June 30, 2016 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 (20,105 ) (24,985 ) (49,711 ) (94,801 ) Currency Forward Contracts (479 ) — 4,917 4,438 Total (20,584 ) (24,985 ) (44,794 ) (90,363 ) $ in thousands Six months ended June 30, 2017 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 (22,518 ) (42,860 ) 20,925 (44,453 ) Currency Forward Contracts (2,793 ) — (805 ) (3,598 ) Total (25,311 ) (42,860 ) 20,120 (48,051 ) $ in thousands Six months ended June 30, 2016 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 (64,000 ) (54,076 ) (216,382 ) (334,458 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 1,916 — 3,636 5,552 Total (63,569 ) (54,076 ) (211,261 ) (328,906 ) Credit-risk-related Contingent Features We have agreements with each of our bilateral derivative counterparties. Some of those agreements contain a provision whereby if we default on any of our indebtedness, including default whereby repayment of the indebtedness has not been accelerated by the lender, we could be declared in default on our derivative obligations. At June 30, 2017 , the fair value of derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to bilateral interest rate swap agreements, was $40.0 million . We have minimum collateral posting thresholds with certain of our derivative counterparties and have pledged collateral of $55.2 million of Agency RMBS as of June 30, 2017 . If we had breached any of these provisions at June 30, 2017 , we could have been required to settle our obligations under these agreements at their termination value. We also have an agreement with a clearing counterparty for our interest rate swaps that includes cross default provisions. The fair value of our centrally cleared interest rate derivative contracts was a net asset as of June 30, 2017 . We were in compliance with all of the financial provisions of these counterparty agreements as of June 30, 2017 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	6 Months Ended
	Jun. 30, 2017
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of our 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 our condensed consolidated balance sheets at June 30, 2017 and December 31, 2016 . Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate swaps as settlement rather than collateral. As a result of this rule change, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Our derivative asset of $7.3 million at June 30, 2017 related to centrally cleared interest rate swaps is not included in the table below as a result of this change. Offsetting of Derivative Assets As of June 30, 2017 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) (4) 3,706 — 3,706 — (3,445 ) 261 Total 3,706 — 3,706 — (3,445 ) 261 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (4) 44,147 — 44,147 (43,047 ) (980 ) 120 Repurchase Agreements (3) 12,118,948 — 12,118,948 (12,118,948 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,813,095 — 13,813,095 (13,811,995 ) (980 ) 120 Offsetting of Derivative Assets As of December 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (4) 3,186 — 3,186 (1,640 ) (1,546 ) — Total 3,186 — 3,186 (1,640 ) (1,546 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (4) 134,228 — 134,228 (45,738 ) (85,787 ) 2,703 Repurchase Agreements (3) 11,160,669 — 11,160,669 (11,160,669 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 12,944,897 — 12,944,897 (12,856,407 ) (85,787 ) 2,703 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2017 and December 31, 2016 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $13.4 billion and $12.4 billion at June 30, 2017 and December 31, 2016 , respectively. (4) Cash collateral received on our derivatives was $3.5 million and $1.7 million at June 30, 2017 and December 31, 2016 , respectively. We did not receive any non-cash collateral on our derivatives at June 30, 2017 . Non-cash collateral received on our derivatives was $536,000 at December 31, 2016 . Cash collateral pledged by us on our derivatives was $86.5 million at December 31, 2016 . As a result of the CME rule change effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the table above at June 30, 2017 . (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion at June 30, 2017 and December 31, 2016 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 2017
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 our 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 our assets and liabilities measured at fair value on a recurring basis. June 30, 2017 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 16,036,482 46,802 — 16,083,284 Derivative assets — 11,005 — — 11,005 Other assets (4) 3,979 — — 23,311 27,290 Total assets 3,979 16,047,487 46,802 23,311 16,121,579 Liabilities: Derivative liabilities — 44,147 — — 44,147 Total liabilities — 44,147 — — 44,147 December 31, 2016 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 14,964,236 17,095 — 14,981,331 Derivative assets — 3,186 — — 3,186 Other assets (4) 500 — — 33,301 33,801 Total assets 500 14,967,422 17,095 33,301 15,018,318 Liabilities: Derivative liabilities — 134,228 — — 134,228 Total liabilities — 134,228 — — 134,228 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2017 , the net embedded derivative asset position of $46.8 million includes $47.7 million of embedded derivatives in an asset position and $900,000 of embedded derivatives in a liability position. As of December 31, 2016 , the net embedded derivative asset position of $17.1 million includes $21.0 million of embedded derivatives in an asset position and $3.9 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2017 and December 31, 2016 , the weighted average remaining term of investments in unconsolidated ventures is 1.8 and 1.3 years, respectively. (4) Includes $4.0 million and $0.5 million of investment in an exchange-traded fund as of June 30, 2017 and December 31, 2016 , respectively. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Beginning balance 31,243 (22,706 ) 17,095 (25,722 ) Sales and settlements — 5,097 — 6,017 Total net gains / (losses) included in net income: — — — Realized gains/(losses), net — (5,097 ) — (6,017 ) Unrealized gains/(losses), net (1) 15,559 16,213 29,707 19,229 Ending balance 46,802 (6,493 ) 46,802 (6,493 ) (1) Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the three months ended June 30, 2017 and 2016 , are $15.6 million and $11.1 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the six months ended June 30, 2017 and 2016 , are $29.7 million and $12.6 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. We did not reverse any unrealized gains or losses on securities sold in the three and six months ended June 30, 2017 . During the three and six months ended June 30, 2016 , we reversed unrealized losses on securities sold during the period of $5.1 million and $6.0 million , respectively. The following table summarizes significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands June 30, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 46,802 Market Comparables, Vendor Pricing Weighted average life 3.7 - 7.5 years 5.7 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2016 Technique Input Range Average GSE CRT Embedded Derivatives 17,095 Market Comparables, Vendor Pricing Weighted average life 2.5 - 7.7 years 5.3 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates 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 our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 278,866 280,257 273,355 275,319 Other assets 74,250 74,250 74,250 74,250 Total 353,116 354,507 347,605 349,569 Financial Liabilities Repurchase agreements 12,118,948 12,118,722 11,160,669 11,161,034 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 217,804 220,943 397,041 400,000 Total 13,986,752 13,989,665 13,207,710 13,211,034 The following describes our 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. Subsequent to the origination or purchase, commercial loan investments are valued on a monthly 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. • 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 we 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 exchangeable senior notes is a Level 2 fair value measurement based on a valuation obtained from a third-party pricing service.

Related Party Transactions

Related Party Transactions	6 Months Ended
	Jun. 30, 2017
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three and six months ended June 30, 2017 , we reimbursed our Manager $202,000 ( June 30, 2016 : $182,000 ) and $387,000 ( June 30, 2016 : $341,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $24.3 million as of June 30, 2017 ( December 31, 2016 : $149.9 million ) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets. We also pay our 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 and six months ended June 30, 2017 , we did not pay our Manager any costs related to such transactions. For the three and six months ended June 30, 2016 , we paid our Manager $189,000 and $692,000 , respectively, related to such transactions. Management Fee Expense We pay our Manager a management fee equal to 1.50% of our 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 excludes (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 our Manager and our independent directors and approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for our operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. We incurred costs of $1.2 million and $1.4 million originally paid for by our Manager for the three months ended June 30, 2017 and 2016 , respectively. We incurred costs of $2.8 million and $3.2 million originally paid for by our Manager for the six months ended June 30, 2017 and 2016 , respectively. Termination Fee If we terminate our management agreement, we owe our Manager a termination fee equal to three times the sum of our average annual management fee during the 24 -month period before termination, calculated as of the end of the most recently completed fiscal quarter.

Stockholders' Equity

Stockholders' Equity	6 Months Ended
	Jun. 30, 2017
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity Preferred Stock Holders of our 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 our 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. We may elect to redeem shares of preferred stock at our 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 our qualification as a REIT or upon the occurrence of a change in control. Accumulated Other Comprehensive Income The following tables present the components of accumulated other comprehensive income. The tables exclude MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 39,633 — 39,633 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 651 — 651 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,369 ) (6,369 ) Currency translation adjustments on investment in unconsolidated venture 139 — — 139 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Balance at beginning of period (512 ) 161,381 142,896 303,765 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Other comprehensive income/(loss) attributable to non-controlling interest (2 ) (508 ) 81 (429 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Three Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 117,116 — 117,116 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (1,037 ) — (1,037 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 3,238 3,238 Currency translation adjustments on investment in unconsolidated venture 274 — — 274 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Balance at beginning of period (79 ) 279,916 161,036 440,873 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Other comprehensive income/(loss) attributable to non-controlling interest (5 ) (1,464 ) (41 ) (1,510 ) Balance at end of period 190 394,531 164,233 558,954 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 55,922 — 55,922 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 1,501 — 1,501 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (12,667 ) (12,667 ) Currency translation adjustments on investment in unconsolidated venture (476 ) — — (476 ) Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Balance at beginning of period 95 144,458 149,115 293,668 Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Other comprehensive income/(loss) attributable to non-controlling interest 6 (724 ) 160 (558 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 238,576 — 238,576 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (11,581 ) — (11,581 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 16,162 16,162 Currency translation adjustments on investment in unconsolidated venture 225 — — 225 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Balance at beginning of period (32 ) 170,383 148,273 318,624 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Other comprehensive income/(loss) attributable to non-controlling interest (3 ) (2,847 ) (202 ) (3,052 ) Balance at end of period 190 394,531 164,233 558,954 Effective December 31, 2013, we voluntarily discontinued cash flow hedge accounting for our interest rate swaps to gain greater flexibility in managing interest rate exposures. Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our 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 units ("OP Units") for cash equal to the market value of an equivalent number of shares of common stock, or at our option, we may purchase their OP Units by issuing one share of common stock for each OP Unit redeemed. We also have an equity incentive plan which allows us to grant securities convertible into our common stock to our independent directors and employees of our Manager and its affiliates. Share Repurchase Program During the three and six months ended June 30, 2017 and three months ended June 30, 2016 , we did not repurchase any shares of our common stock. During the six months ended June 30, 2016 , we repurchased and concurrently retired 2,063,451 shares of our 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 June 30, 2017 , we have authority to purchase 18,239,082 additional shares of our common stock under our share repurchase program. The share repurchase program has no stated expiration date. Share-Based Compensation We established the 2009 Equity Incentive Plan for grants of common stock and other equity based awards to our independent directors and officers and employees of our Manager and its affiliates (the "Incentive Plan"). Under the Incentive Plan, a total of 1,000,000 shares of common stock are authorized for issuance. Unless terminated earlier, the Incentive Plan will terminate in 2019 , but will continue to govern the unexpired awards. As of June 30, 2017 , 806,778 shares of common stock remain available for future issuance under the Incentive Plan. We recognized compensation expense of approximately $112,000 ( June 30, 2016 : $85,000 ) and approximately $197,000 ( June 30, 2016 : $170,000 ) related to our independent directors for the three and six months ended June 30, 2017 , respectively. During the three months ended June 30, 2017 and 2016 , we issued 5,292 shares and 6,160 shares of common stock, respectively, pursuant to the Incentive Plan to our independent directors. During the six months ended June 30, 2017 and 2016 , we issued 10,748 shares and 13,908 shares of common stock, respectively, pursuant to the Incentive Plan to our independent 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. We recognized compensation expense of approximately $35,000 ( June 30, 2016 : $63,000 ) and $66,000 ( June 30, 2016 : $95,000 ) for the three and six months ended June 30, 2017 , respectively, related to restricted stock units awarded to employees of our Manager and its affiliates which is reimbursed by our Manager under the management agreement. At June 30, 2017 there was approximately $288,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 45 months, with a weighted-average remaining vesting period of 20 months. The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three and six months ended June 30, 2017 . Three Months Ended June 30, Six Months Ended June 30, 2017 2017 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 19,827 $ 14.35 18,807 $ 14.37 Shares granted during the period — — 8,115 15.55 Shares vested during the period — — (7,095 ) 15.78 Unvested at the end of the period 19,827 $ 14.35 19,827 $ 14.35 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date. Dividends On June 15, 2017 , we declared the following dividends: • a dividend of $0.40 per share of common stock to be paid on July 26, 2017 to stockholders of record as of the close of business on June 27, 2017 ; • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on July 25, 2017 to stockholders of record as of the close of business on July 1, 2017 ; and • a dividend of $0.4844 per share of Series B Preferred Stock to be paid on September 27, 2017 to stockholders of record as of the close of business on September 5, 2017 .

Earnings per Common Share

Earnings per Common Share	6 Months Ended
	Jun. 30, 2017
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three and six months ended June 30, 2017 and 2016 is computed as follows: Three Months Ended Six Months Ended In thousands except per share amounts 2017 2016 2017 2016 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 46,834 (11,617 ) 133,964 (167,777 ) Effect of dilutive securities: Income allocated to exchangeable senior notes 3,504 — 8,512 — Income (loss) allocated to non-controlling interest 670 (75 ) 1,856 (1,958 ) Dilutive net income (loss) available to stockholders 51,008 (11,692 ) 144,332 (169,735 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,608 111,581 111,603 112,362 Effect of dilutive securities: Restricted stock awards 20 — 20 — OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes 10,507 — 12,782 — Dilutive Shares 123,560 113,006 125,830 113,787 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.42 (0.10 ) 1.20 (1.49 ) Diluted 0.41 (0.10 ) 1.15 (1.49 ) The following potential common shares were excluded from diluted earnings per share for the three and six months ended June 30, 2016 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 46,001 and 44,172 for restricted stock awards.

Non-controlling Interest - Oper

Non-controlling Interest - Operating Partnership	6 Months Ended
	Jun. 30, 2017
Noncontrolling Interest [Abstract]
Non-controlling Interest - Operating Partnership	Non-controlling Interest - Operating Partnership Non-controlling interest represents the aggregate ownership interest of a wholly-owned Invesco subsidiary in our 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 or repurchase of common stock ("Share" or "Shares") or OP Units changes the percentage ownership of both the Unit Holders and the common stockholders. Since an OP unit is generally redeemable for cash or Shares at our option, it is deemed to be a Share equivalent. Therefore, such transactions are treated as capital transactions and result in a reallocation between stockholders’ equity and non-controlling interest in the accompanying condensed consolidated balance sheets. As of June 30, 2017 and December 31, 2016 , non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.3% interest in the Operating Partnership. Income allocated to the non-controlling interest is based on the Unit Holders' ownership percentage of the Operating Partnership. The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the three and six months ended June 30, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Net income (loss) allocated 670 (75 ) 1,856 (1,958 ) Distributions paid 570 570 1,140 1,140 As of June 30, 2017 and December 31, 2016 , distributions payable to the non-controlling interest were approximately $570,000 .

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2017
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. Our material off-balance sheet commitments as of June 30, 2017 are discussed below. As discussed in Note 6 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest 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 June 30, 2017 and December 31, 2016 , our undrawn capital and purchase commitments were $12.6 million and $15.5 million , respectively. As discussed in Note 5 - "Commercial Loans Held-for-Investment", we purchase and originate commercial loans. As of June 30, 2017 and December 31, 2016 , we have unfunded commitments on commercial loans held-for-investment of $6.4 million and $9.7 million , respectively. We have entered into agreements with financial institutions to guarantee certain obligations of our subsidiaries. We would be required to perform under these guarantees in the event of certain defaults. We have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

Subsequent Events

Subsequent Events	6 Months Ended
	Jun. 30, 2017
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events We have 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)	6 Months Ended
	Jun. 30, 2017
Accounting Policies [Abstract]
Basis of Presentation	Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2016 .
Consolidation	The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon 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 our financial condition and results of operations for the periods presented.
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.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements	Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements 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. We are required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. We have determined that this new accounting standard will not have an impact on our financial condition or results of operations but will simplify financial statement disclosures. 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. We are required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our 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. Additionally, in November 2016, the FASB issued new guidance on classification and presentation of changes in restricted cash on the statement of cash flows. We are required to adopt the new accounting standards in the first quarter of 2018 using a retrospective transition method for each period presented. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.

Variable Interest Entities ("26

Variable Interest Entities ("VIEs") (Tables)	6 Months Ended
	Jun. 30, 2017
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Summary of Assets and Liabilities of Variable Interest Entities	Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2017 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss CMBS 2,777,516 2,777,516 Non-Agency RMBS 1,575,840 1,575,840 Investments in unconsolidated ventures 23,311 23,311 Total 4,376,667 4,376,667

Mortgage-Backed and Credit Ri27

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	6 Months Ended
	Jun. 30, 2017
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2017 and December 31, 2016 are presented below. $ in thousands June 30, 2017 December 31, 2016 Principal balance 18,928,963 18,275,563 Unamortized premium 484,242 476,314 Unamortized discount (3,595,201 ) (3,933,109 ) Gross unrealized gains 379,923 302,099 Gross unrealized losses (114,643 ) (139,536 ) Fair value 16,083,284 14,981,331 The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2017 and December 31, 2016 . June 30, 2017 $ 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 3,187,931 134,856 3,322,787 (46,007 ) 3,276,780 3.09 % 2.19 % 1.97 % 30 year fixed-rate 4,816,054 232,385 5,048,439 20,677 5,069,116 3.95 % 3.10 % 2.83 % ARM * 269,123 1,988 271,111 3,463 274,574 2.68 % 2.58 % 2.27 % Hybrid ARM 1,891,257 30,099 1,921,356 12,659 1,934,015 2.71 % 2.54 % 2.29 % Total Agency pass-through (4) 10,164,365 399,328 10,563,693 (9,208 ) 10,554,485 3.42 % 2.69 % 2.44 % Agency-CMO (5) 1,429,977 (1,129,678 ) 300,299 (2,033 ) 298,266 2.04 % 2.87 % 0.34 % Non-Agency RMBS (6)(7)(8) 3,247,516 (1,793,760 ) 1,453,756 122,084 1,575,840 2.18 % 5.80 % 5.90 % GSE CRT (9)(10) 769,217 25,537 794,754 82,423 877,177 3.06 % 2.40 % 2.62 % CMBS (11)(12) 3,317,888 (612,386 ) 2,705,502 72,014 2,777,516 3.90 % 4.62 % 4.45 % Total 18,928,963 (3,110,959 ) 15,818,004 265,280 16,083,284 3.17 % 3.30 % 3.07 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2017 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2017 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 23.7% of principal/notional balance, 23.5% of amortized cost and 23.5% of fair value. (5) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 84.3% of principal/notional balance, 24.1% of amortized cost and 23.9% of fair value. (6) Non-Agency RMBS held by us is 43.8% fixed rate, 48.0% variable rate, and 8.2% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $258.2 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities which represent 47.7% of principal/notional balance, 1.8% of amortized cost and 1.5% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 26.1% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 18.5% of principal/notional balance, 0.7% of amortized cost and 0.7% of fair value. (12) We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 10.6% of principal/notional balance, 11.3% of amortized cost and 11.0% of fair value. December 31, 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 3,460,625 151,526 3,612,151 (54,223 ) 3,557,928 3.11 % 2.19 % 1.99 % 30 year fixed-rate 2,780,806 185,521 2,966,327 15,390 2,981,717 4.37 % 2.61 % 2.57 % ARM 301,900 2,520 304,420 3,453 307,873 2.69 % 2.59 % 2.16 % Hybrid ARM 2,423,152 42,360 2,465,512 8,789 2,474,301 2.70 % 2.52 % 2.02 % Total Agency pass-through (4) 8,966,483 381,927 9,348,410 (26,591 ) 9,321,819 3.37 % 2.42 % 2.20 % Agency-CMO (5) 1,712,120 (1,368,916 ) 343,204 837 344,041 2.16 % 3.08 % 2.07 % Non-Agency RMBS (6)(7)(8) 3,838,314 (1,934,269 ) 1,904,045 91,506 1,995,551 2.21 % 5.22 % 5.22 % GSE CRT (9)(10) 707,899 24,320 732,219 35,981 768,200 2.38 % 1.51 % 1.24 % CMBS (11)(12) 3,050,747 (559,857 ) 2,490,890 60,830 2,551,720 3.80 % 4.21 % 4.17 % Total 18,275,563 (3,456,795 ) 14,818,768 162,563 14,981,331 3.05 % 3.05 % 2.87 % (1) Net weighted average coupon as of December 31, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 4.3% of principal/notional balance, 4.3% of amortized cost and 4.2% of fair value. (5) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), which represent 85.5% o f principal (notional) balance, 26.8% of amortized cost and 21.7% of fair value. (6) Non-Agency RMBS held by us is 45.5% variable rate, 47.2% fixed rate, and 7.3% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $252.5 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities, which represent 43.5% of principal/notional balance, 1.5% of amortized cost and 1.3% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 19.2% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 20.3% of principal/notional balance, 0.8% of amortized cost and 0.9% of fair value. (12) We have 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.
Components of Non-Agency RMBS Portfolio by Asset Type	The following table summarizes our non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 % of Non-Agency December 31, 2016 % of Non-Agency Prime 699,638 44.4 % 889,658 44.6 % Alt-A 421,492 26.7 % 447,213 22.4 % Re-REMIC 237,766 15.1 % 364,301 18.2 % Subprime/reperforming 216,944 13.8 % 294,379 14.8 % Total Non-Agency 1,575,840 100.0 % 1,995,551 100.0 %
Components of Senior Re-REMIC at Fair Value	The following table summarizes the credit enhancement provided to our re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of June 30, 2017 and December 31, 2016 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2017 December 31, 2016 0% - 10% 26.3 % 17.6 % 10% - 20% 3.9 % 7.4 % 20% - 30% 9.9 % 13.5 % 30% - 40% 19.4 % 15.7 % 40% - 50% 18.4 % 27.0 % 50% - 60% 20.3 % 16.1 % 60% - 70% 1.8 % 2.7 % Total 100.0 % 100.0 % (1) Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by us 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 us. 48.3% of our 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 our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 Less than one year 117,913 121,076 Greater than one year and less than five years 8,306,399 6,719,923 Greater than or equal to five years 7,658,972 8,140,332 Total 16,083,284 14,981,331
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 our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at June 30, 2017 and December 31, 2016 . June 30, 2017 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 2,534,116 (54,361 ) 129 111,912 (2,469 ) 19 2,646,028 (56,830 ) 148 30 year fixed-rate 1,351,307 (16,221 ) 59 507,832 (16,337 ) 27 1,859,139 (32,558 ) 86 ARM 82,986 (89 ) 9 — — — 82,986 (89 ) 9 Hybrid ARM 799,528 (4,824 ) 73 7,048 (105 ) 4 806,576 (4,929 ) 77 Total Agency pass-through (1) 4,767,937 (75,495 ) 270 626,792 (18,911 ) 50 5,394,729 (94,406 ) 320 Agency-CMO (2) 124,257 (5,340 ) 26 21,443 (1,012 ) 4 145,700 (6,352 ) 30 Non-Agency RMBS 113,298 (2,385 ) 23 166,184 (2,403 ) 24 279,482 (4,788 ) 47 CMBS (3) 487,895 (8,767 ) 42 19,970 (330 ) 5 507,865 (9,097 ) 47 Total 5,493,387 (91,987 ) 361 834,389 (22,656 ) 83 6,327,776 (114,643 ) 444 (1) Amounts disclosed include Agency RMBS with a fair value of $ 801.6 million for which the fair value option has been elected. Such securities have unrealized losses of $ 6.5 million . (2) Fair value includes unrealized losses on Agency IO of $3.9 million and unrealized losses on CMO of $2.4 million . (3) Amounts disclosed includes CMBS with a fair value of $168.0 million for which the fair value option has been elected. Such securities have unrealized losses of $2.3 million . December 31, 2016 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 2,781,777 (66,506 ) 127 65,964 (1,556 ) 17 2,847,741 (68,062 ) 144 30 year fixed-rate 747,719 (15,409 ) 45 547,763 (18,004 ) 27 1,295,482 (33,413 ) 72 ARM 120,540 (326 ) 9 1,091 (7 ) 1 121,631 (333 ) 10 Hybrid ARM 1,356,687 (9,922 ) 99 252 (4 ) 2 1,356,939 (9,926 ) 101 Total Agency pass-through (1) 5,006,723 (92,163 ) 280 615,070 (19,571 ) 47 5,621,793 (111,734 ) 327 Agency-CMO (2) 163,114 (3,812 ) 28 22,792 (952 ) 3 185,906 (4,764 ) 31 Non-Agency RMBS 287,647 (7,861 ) 42 497,863 (6,671 ) 36 785,510 (14,532 ) 78 GSE CRT (3) — — — 35,935 (969 ) 3 35,935 (969 ) 3 CMBS (4) 401,016 (6,733 ) 36 47,219 (804 ) 6 448,235 (7,537 ) 42 Total 5,858,500 (110,569 ) 386 1,218,879 (28,967 ) 95 7,077,379 (139,536 ) 481 (1) Amounts disclosed include Agency RMBS with a fair value of $149.7 million for which the fair value option has been elected. Such securities have unrealized losses of $4.0 million . (2) Fair value includes unrealized losses on Agency IO of $3.0 million unrealized losses and unrealized losses on CMO of $1.7 million . (3) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. (4) Amounts disclosed includes CMBS with a fair value of $13.9 million for which the fair value option has been elected. Such securities have unrealized losses of $613,000 .
Changes in other than temporary impairment included in earnings	The following table represents the other-than-temporary impairment losses ("OTTI") included in earnings for the three and six months ended June 30, 2017 and 2016 : Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 RMBS interest-only securities 3,585 1,472 3,876 7,155 Non-Agency RMBS (1) 513 53 754 53 Total 4,098 1,525 4,630 7,208 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income.
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 our GSE CRT debt host contracts and available-for-sale MBS for the three and six months ended June 30, 2017 and 2016 . We reclassify unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when we sell our investments. The table excludes MBS and GSE CRT that are accounted for under the fair value option. As of June 30, 2017 , $3.1 billion or 19.3% of our MBS and GSE CRT are accounted for under the fair value option. Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 163,440 288,715 146,301 177,799 Unrealized gain (loss) on MBS and GSE CRT 39,633 117,116 55,922 238,576 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net 651 (1,037 ) 1,501 (11,581 ) Balance at the end of period 203,724 404,794 203,724 404,794
Realized Gain (Loss) on Investments	The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Gross realized gains on sale of investments 1,311 1,037 2,215 14,052 Gross realized losses on sale of investments (1,962 ) — (3,873 ) (2,471 ) Other-than-temporary impairment losses (4,098 ) (1,525 ) (4,630 ) (7,208 ) Net unrealized gains and losses on MBS accounted for under the fair value option 7,715 1,266 4,113 7,942 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 8,195 173 11,474 237 Net unrealized gains and losses on trading securities 14 463 23 463 Total gain (loss) on investments, net 11,175 1,414 9,322 13,015
Components of MBS and GSE CRT Interest Income	The following table presents components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2017 and 2016 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 91,979 (27,775 ) 64,204 Non-Agency 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 CMBS 31,506 (1,852 ) 29,654 Other 95 — 95 Total 147,267 (26,240 ) 121,027 For the three months ended June 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 84,440 (28,277 ) 56,163 Non-Agency 24,127 2,292 26,419 GSE CRT 2,136 (775 ) 1,361 CMBS 31,476 (2,839 ) 28,637 Other 297 (17 ) 280 Total 142,476 (29,616 ) 112,860 For the six months ended June 30, 2017 $ in thousands Coupon Net (Premium Interest Agency 183,210 (56,353 ) 126,857 Non-Agency 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 CMBS 61,182 (4,486 ) 56,696 Other 156 — 156 Total 293,336 (53,436 ) 239,900 For the six months ended June 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 170,211 (52,462 ) 117,749 Non-Agency 49,976 6,136 56,112 GSE CRT 4,333 (1,542 ) 2,791 CMBS 63,740 (5,779 ) 57,961 Other 510 (17 ) 493 Total 288,770 (53,664 ) 235,106

Commercial Loans Held-for-Inv28

Commercial Loans Held-for-Investment (Tables)	6 Months Ended
	Jun. 30, 2017
Receivables [Abstract]
Schedule of Commercial Loans Held-for-Investment	The following table summarizes commercial loans held-for-investment as of June 30, 2017 and December 31, 2016 that we purchased or originated. June 30, 2017 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 279,121 (255 ) 278,866 8.50 % 1.4 Total 10 279,121 (255 ) 278,866 8.50 % 1.4 December 31, 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 10 273,666 (311 ) 273,355 8.14 % 1.6 Total 10 273,666 (311 ) 273,355 8.14 % 1.6 (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)	6 Months Ended
	Jun. 30, 2017
Schedule of Investments [Abstract]
Summary of Company's Other Investments	The following table summarizes our other assets as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 23,311 33,301 Investment in exchange-traded fund 3,979 500 Prepaid expenses and other assets 888 1,246 Total 102,428 109,297

Borrowings (Tables)

Borrowings (Tables)	6 Months Ended
	Jun. 30, 2017
Debt Disclosure [Abstract]
Schedule of Borrowings	The following table summarizes certain characteristics of our borrowings at June 30, 2017 and December 31, 2016 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,227,679 1.29 % 20 Non-Agency RMBS 1,130,943 2.50 % 29 GSE CRT 661,432 2.58 % 7 CMBS 1,098,894 2.33 % 16 Total Repurchase Agreements 12,118,948 1.56 % 21 Secured Loans 1,650,000 1.23 % 2,501 Exchangeable Senior Notes (1) 218,755 5.00 % 258 Total Borrowings 13,987,703 1.58 % 317 $ in thousands December 31, 2016 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 8,148,220 0.93 % 32 Non-Agency RMBS 1,519,859 2.06 % 28 GSE CRT 547,872 2.25 % 16 CMBS 944,718 1.86 % 16 Total Repurchase Agreements 11,160,669 1.23 % 30 Secured Loans 1,650,000 0.74 % 2,682 Exchangeable Senior Notes (1) 400,000 5.00 % 439 Total Borrowings 13,210,669 1.28 % 373 (1) The carrying value of exchangeable senior notes is $217.8 million and $397.0 million as of June 30, 2017 and December 31, 2016 , respectively. The carrying value is net of unamortized debt issuance costs of $1.0 million and $3.0 million as of June 30, 2017 and December 31, 2016 , respectively.
Schedule of Maturities of Outstanding Borrowings	The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of June 30, 2018 12,337,703 2019 — 2020 300,000 2021 100,000 2022 — Thereafter 1,250,000 Total 13,987,703
Schedule of Repurchase Agreements by Counterparties	The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2017 and December 31, 2016 . June 30, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,315,644 9.5 % 1,383,316 ING Financial Market LLC 1,270,181 9.2 % 1,336,963 Pierpont Securities LLC 1,125,511 8.2 % 1,181,071 Royal Bank of Canada 1,073,515 7.8 % 1,258,618 Mitsubishi UFJ Securities (USA), Inc. 653,956 4.7 % 691,437 E D & F Man Capital Markets Inc. 621,813 4.5 % 653,306 Scotia Capital 605,826 4.4 % 630,441 Citigroup Global Markets Inc. 552,926 4.0 % 656,821 Industrial and Commercial Bank of China Financial Services LLC 524,907 3.8 % 550,286 South Street Securities LLC 485,749 3.5 % 514,435 KGS-Alpha Capital Markets, L.P. 481,965 3.5 % 506,387 Goldman, Sachs & Co. 467,361 3.4 % 586,400 JP Morgan Securities Inc. 411,296 3.0 % 476,473 Societe Generale 395,937 2.9 % 509,082 Guggenheim Liquidity Services, LLC 329,375 2.4 % 346,416 Mizuho Securities USA Inc. 329,168 2.4 % 347,282 Natixis, New York Branch 302,566 2.2 % 327,418 BNP Paribas Securities Corp. 283,528 2.1 % 326,548 Daiwa Capital Markets America Inc. 218,702 1.6 % 230,239 All other counterparties (2) 669,022 4.9 % 857,358 Total Repurchase Agreement Counterparties 12,118,948 88.0 % 13,370,297 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,941,665 Total 13,768,948 100.0 % 15,311,962 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties. December 31, 2016 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,401,966 11.2 % 1,468,793 ING Financial Market LLC 1,142,200 8.9 % 1,216,492 Royal Bank of Canada 1,098,631 8.6 % 1,293,336 Industrial and Commercial Bank of China Financial Services LLC 707,616 5.5 % 748,503 Mitsubishi UFJ Securities (USA), Inc. 703,382 5.5 % 740,404 Pierpont Securities LLC 681,853 5.3 % 717,663 South Street Securities LLC 675,660 5.3 % 713,330 Goldman, Sachs & Co. 486,430 3.8 % 623,400 Scotia Capital 479,105 3.7 % 500,578 JP Morgan Securities Inc. 477,947 3.7 % 554,494 KGS-Alpha Capital Markets, L.P. 441,541 3.4 % 475,858 Citigroup Global Markets Inc. 427,185 3.3 % 534,875 E D & F Man Capital Markets Inc. 405,615 3.2 % 430,896 Guggenheim Liquidity Services, LLC 356,149 2.8 % 377,030 Natixis, New York Branch 336,202 2.6 % 362,432 Societe Generale 325,393 2.5 % 427,200 BNP Paribas Securities Corp. 307,641 2.4 % 346,484 All other counterparties (2) 706,153 5.4 % 912,536 Total Repurchase Agreement Counterparties: 11,160,669 87.1 % 12,444,304 Secured Loans Counterparty: FHLBI 1,650,000 12.9 % 1,931,582 Total 12,810,669 100.0 % 14,375,886 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties.

Collateral Positions (Tables)

Collateral Positions (Tables)	6 Months Ended
	Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Fair Value of Collateral Hold and Pledged	The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2017 and December 31, 2016 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2016 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Cash collateral pledged on bilateral swaps and currency forward contracts is classified as due from counterparties on our consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2017 and December 31, 2016 , we did not recognize any non-cash collateral held. Collateral Pledged June 30, 2017 December 31, 2016 Repurchase Agreements: Agency RMBS 9,711,706 8,654,233 Non-Agency RMBS 1,424,646 1,887,550 GSE CRT 874,493 734,212 CMBS 1,359,452 1,168,309 Total repurchase agreements collateral pledged 13,370,297 12,444,304 Secured Loans: Agency RMBS 596,514 585,504 CMBS 1,345,151 1,346,078 Total secured loans collateral pledged 1,941,665 1,931,582 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS 55,188 46,312 Cash 1,246 86,450 Total interest rate swaps and currency forward contracts collateral pledged (1) 56,434 132,762 Total: Mortgage-backed and GSE CRT securities 15,367,150 14,422,198 Cash 1,246 86,450 Total collateral pledged 15,368,396 14,508,648 Collateral Held June 30, 2017 December 31, 2016 Interest Rate Swaps: Cash 3,471 1,700 Non-cash collateral — 536 Total collateral held 3,471 2,236 (1) Cash collateral pledged on our currency forward contracts was $980,000 as of June 30, 2017 . We did no t pledge any collateral on our currency forward contracts as of December 31, 2016 .

Derivatives and Hedging Activ32

Derivatives and Hedging Activities (Tables)	6 Months Ended
	Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Outstanding Interest Rate Swaptions and Derivative Instrument Information	The following table summarizes changes in the notional amount of our derivative instruments during 2017 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 6,500,000 1,400,000 — 7,900,000 Currency Forward Contracts 62,308 137,860 (131,575 ) 68,593 Credit Derivatives 569,966 — (5,729 ) 564,237 Total 7,132,274 1,537,860 (137,304 ) 8,532,830
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges	As of June 30, 2017 , we 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 450,000 1/12/2024 2.10 % CME Central Clearing 450,000 1/25/2024 2.15 % CME Central Clearing 100,000 4/2/2025 2.04 % CME Central Clearing (1 ) 250,000 5/24/2028 2.78 % CME Central Clearing (1 ) 250,000 5/24/2028 2.39 % Total 7,900,000 2.17 % (1) Forward start date of 5/24/2018
Disclosure of Credit Derivatives	At June 30, 2017 and December 31, 2016 , terms of the GSE CRT embedded derivatives are: $ in thousand June 30, 2017 December 31, 2016 Fair value amount 46,802 17,095 Notional amount 564,237 569,966 Maximum potential amount of future undiscounted payments 564,237 569,966
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet	The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2017 As of December 31, 2016 As of June 30, 2017 As of December 31, 2016 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 11,005 3,085 Interest Rate Swaps Liability 43,047 133,833 Currency Forward Contracts — 101 Currency Forward Contracts 1,100 395
Effect of Derivative Financial Instruments on Statement of Operations	The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2017 and 2016 . $ in thousands Three months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,844 15,559 21,403 $ in thousands Three months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (5,097 ) 6,112 16,213 17,228 $ in thousands Six months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 11,651 29,707 41,358 $ in thousands Six months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (6,017 ) 12,426 19,229 25,638 The following table summarizes the effect of interest rate swaps, interest rate swaptions and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2017 and 2016 : $ in thousands Three months ended June 30, 2017 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 (38,512 ) (19,966 ) 7,975 (50,503 ) Currency Forward Contracts (1,717 ) — (1,293 ) (3,010 ) Total (40,229 ) (19,966 ) 6,682 (53,513 ) $ in thousands Three months ended June 30, 2016 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 (20,105 ) (24,985 ) (49,711 ) (94,801 ) Currency Forward Contracts (479 ) — 4,917 4,438 Total (20,584 ) (24,985 ) (44,794 ) (90,363 ) $ in thousands Six months ended June 30, 2017 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 (22,518 ) (42,860 ) 20,925 (44,453 ) Currency Forward Contracts (2,793 ) — (805 ) (3,598 ) Total (25,311 ) (42,860 ) 20,120 (48,051 ) $ in thousands Six months ended June 30, 2016 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 (64,000 ) (54,076 ) (216,382 ) (334,458 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 1,916 — 3,636 5,552 Total (63,569 ) (54,076 ) (211,261 ) (328,906 )

Offsetting Assets and Liabili33

Offsetting Assets and Liabilities (Tables)	6 Months Ended
	Jun. 30, 2017
Offsetting [Abstract]
Offsetting Derivative Assets	Offsetting of Derivative Assets As of June 30, 2017 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) (4) 3,706 — 3,706 — (3,445 ) 261 Total 3,706 — 3,706 — (3,445 ) 261 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (4) 44,147 — 44,147 (43,047 ) (980 ) 120 Repurchase Agreements (3) 12,118,948 — 12,118,948 (12,118,948 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,813,095 — 13,813,095 (13,811,995 ) (980 ) 120 Offsetting of Derivative Assets As of December 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (4) 3,186 — 3,186 (1,640 ) (1,546 ) — Total 3,186 — 3,186 (1,640 ) (1,546 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (4) 134,228 — 134,228 (45,738 ) (85,787 ) 2,703 Repurchase Agreements (3) 11,160,669 — 11,160,669 (11,160,669 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 12,944,897 — 12,944,897 (12,856,407 ) (85,787 ) 2,703 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2017 and December 31, 2016 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $13.4 billion and $12.4 billion at June 30, 2017 and December 31, 2016 , respectively. (4) Cash collateral received on our derivatives was $3.5 million and $1.7 million at June 30, 2017 and December 31, 2016 , respectively. We did not receive any non-cash collateral on our derivatives at June 30, 2017 . Non-cash collateral received on our derivatives was $536,000 at December 31, 2016 . Cash collateral pledged by us on our derivatives was $86.5 million at December 31, 2016 . As a result of the CME rule change effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the table above at June 30, 2017 . (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion at June 30, 2017 and December 31, 2016 , respectively.
Offsetting Derivative Liabilities	Offsetting of Derivative Assets As of June 30, 2017 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) (4) 3,706 — 3,706 — (3,445 ) 261 Total 3,706 — 3,706 — (3,445 ) 261 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (4) 44,147 — 44,147 (43,047 ) (980 ) 120 Repurchase Agreements (3) 12,118,948 — 12,118,948 (12,118,948 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,813,095 — 13,813,095 (13,811,995 ) (980 ) 120 Offsetting of Derivative Assets As of December 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (4) 3,186 — 3,186 (1,640 ) (1,546 ) — Total 3,186 — 3,186 (1,640 ) (1,546 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2016 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (4) 134,228 — 134,228 (45,738 ) (85,787 ) 2,703 Repurchase Agreements (3) 11,160,669 — 11,160,669 (11,160,669 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 12,944,897 — 12,944,897 (12,856,407 ) (85,787 ) 2,703 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2017 and December 31, 2016 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $13.4 billion and $12.4 billion at June 30, 2017 and December 31, 2016 , respectively. (4) Cash collateral received on our derivatives was $3.5 million and $1.7 million at June 30, 2017 and December 31, 2016 , respectively. We did not receive any non-cash collateral on our derivatives at June 30, 2017 . Non-cash collateral received on our derivatives was $536,000 at December 31, 2016 . Cash collateral pledged by us on our derivatives was $86.5 million at December 31, 2016 . As a result of the CME rule change effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the table above at June 30, 2017 . (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion at June 30, 2017 and December 31, 2016 , respectively.

Fair Value of Financial Instr34

Fair Value of Financial Instruments (Tables)	6 Months Ended
	Jun. 30, 2017
Fair Value Disclosures [Abstract]
Fair Value Measured on Recurring Basis	The following tables present our assets and liabilities measured at fair value on a recurring basis. June 30, 2017 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 16,036,482 46,802 — 16,083,284 Derivative assets — 11,005 — — 11,005 Other assets (4) 3,979 — — 23,311 27,290 Total assets 3,979 16,047,487 46,802 23,311 16,121,579 Liabilities: Derivative liabilities — 44,147 — — 44,147 Total liabilities — 44,147 — — 44,147 December 31, 2016 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 14,964,236 17,095 — 14,981,331 Derivative assets — 3,186 — — 3,186 Other assets (4) 500 — — 33,301 33,801 Total assets 500 14,967,422 17,095 33,301 15,018,318 Liabilities: Derivative liabilities — 134,228 — — 134,228 Total liabilities — 134,228 — — 134,228 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2017 , the net embedded derivative asset position of $46.8 million includes $47.7 million of embedded derivatives in an asset position and $900,000 of embedded derivatives in a liability position. As of December 31, 2016 , the net embedded derivative asset position of $17.1 million includes $21.0 million of embedded derivatives in an asset position and $3.9 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2017 and December 31, 2016 , the weighted average remaining term of investments in unconsolidated ventures is 1.8 and 1.3 years, respectively. (4) Includes $4.0 million and $0.5 million of investment in an exchange-traded fund as of June 30, 2017 and December 31, 2016 , respectively.
Embedded Derivatives Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Beginning balance 31,243 (22,706 ) 17,095 (25,722 ) Sales and settlements — 5,097 — 6,017 Total net gains / (losses) included in net income: — — — Realized gains/(losses), net — (5,097 ) — (6,017 ) Unrealized gains/(losses), net (1) 15,559 16,213 29,707 19,229 Ending balance 46,802 (6,493 ) 46,802 (6,493 ) (1) Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the three months ended June 30, 2017 and 2016 , are $15.6 million and $11.1 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the six months ended June 30, 2017 and 2016 , are $29.7 million and $12.6 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. We did not reverse any unrealized gains or losses on securities sold in the three and six months ended June 30, 2017 . During the three and six months ended June 30, 2016 , we reversed unrealized losses on securities sold during the period of $5.1 million and $6.0 million , respectively.
Embedded Derivatives Fair Value Inputs	The following table summarizes significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands June 30, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 46,802 Market Comparables, Vendor Pricing Weighted average life 3.7 - 7.5 years 5.7 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2016 Technique Input Range Average GSE CRT Embedded Derivatives 17,095 Market Comparables, Vendor Pricing Weighted average life 2.5 - 7.7 years 5.3 years
Carrying Value and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 278,866 280,257 273,355 275,319 Other assets 74,250 74,250 74,250 74,250 Total 353,116 354,507 347,605 349,569 Financial Liabilities Repurchase agreements 12,118,948 12,118,722 11,160,669 11,161,034 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 217,804 220,943 397,041 400,000 Total 13,986,752 13,989,665 13,207,710 13,211,034

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	6 Months Ended
	Jun. 30, 2017
Equity [Abstract]
Schedule of accumulated other comprehensive income	The following tables present the components of accumulated other comprehensive income. The tables exclude MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 39,633 — 39,633 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 651 — 651 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,369 ) (6,369 ) Currency translation adjustments on investment in unconsolidated venture 139 — — 139 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Balance at beginning of period (512 ) 161,381 142,896 303,765 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Other comprehensive income/(loss) attributable to non-controlling interest (2 ) (508 ) 81 (429 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Three Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 117,116 — 117,116 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (1,037 ) — (1,037 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 3,238 3,238 Currency translation adjustments on investment in unconsolidated venture 274 — — 274 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Balance at beginning of period (79 ) 279,916 161,036 440,873 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Other comprehensive income/(loss) attributable to non-controlling interest (5 ) (1,464 ) (41 ) (1,510 ) Balance at end of period 190 394,531 164,233 558,954 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 55,922 — 55,922 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 1,501 — 1,501 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (12,667 ) (12,667 ) Currency translation adjustments on investment in unconsolidated venture (476 ) — — (476 ) Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Balance at beginning of period 95 144,458 149,115 293,668 Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Other comprehensive income/(loss) attributable to non-controlling interest 6 (724 ) 160 (558 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 238,576 — 238,576 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (11,581 ) — (11,581 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 16,162 16,162 Currency translation adjustments on investment in unconsolidated venture 225 — — 225 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Balance at beginning of period (32 ) 170,383 148,273 318,624 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Other comprehensive income/(loss) attributable to non-controlling interest (3 ) (2,847 ) (202 ) (3,052 ) Balance at end of period 190 394,531 164,233 558,954
Schedule of Nonvested Restricted Stock Units Activity	The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three and six months ended June 30, 2017 . Three Months Ended June 30, Six Months Ended June 30, 2017 2017 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 19,827 $ 14.35 18,807 $ 14.37 Shares granted during the period — — 8,115 15.55 Shares vested during the period — — (7,095 ) 15.78 Unvested at the end of the period 19,827 $ 14.35 19,827 $ 14.35 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date.

Earnings per Common Share (Tabl

Earnings per Common Share (Tables)	6 Months Ended
	Jun. 30, 2017
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three and six months ended June 30, 2017 and 2016 is computed as follows: Three Months Ended Six Months Ended In thousands except per share amounts 2017 2016 2017 2016 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 46,834 (11,617 ) 133,964 (167,777 ) Effect of dilutive securities: Income allocated to exchangeable senior notes 3,504 — 8,512 — Income (loss) allocated to non-controlling interest 670 (75 ) 1,856 (1,958 ) Dilutive net income (loss) available to stockholders 51,008 (11,692 ) 144,332 (169,735 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,608 111,581 111,603 112,362 Effect of dilutive securities: Restricted stock awards 20 — 20 — OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes 10,507 — 12,782 — Dilutive Shares 123,560 113,006 125,830 113,787 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.42 (0.10 ) 1.20 (1.49 ) Diluted 0.41 (0.10 ) 1.15 (1.49 )

Non-controlling Interest - Op37

Non-controlling Interest - Operating Partnership (Tables)	6 Months Ended
	Jun. 30, 2017
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 six months ended June 30, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Net income (loss) allocated 670 (75 ) 1,856 (1,958 ) Distributions paid 570 570 1,140 1,140

Organization and Business Ope38

Organization and Business Operations (Detail) - segment	6 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Organization And Business Operations
Ownership interest in Operating Partnership	98.70%
Ownership percentage in Operating Partnership	1.30%	1.30%
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%

Variable Interest Entities ("39

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Variable Interest Entity
Carrying Amount	$ 16,083,284	$ 14,981,331
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	4,376,667
Company's Maximum Risk of Loss	4,376,667
Variable Interest Entity, Not Primary Beneficiary | CMBS
Variable Interest Entity
Carrying Amount	2,777,516
Company's Maximum Risk of Loss	2,777,516
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	1,575,840
Company's Maximum Risk of Loss	1,575,840
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	23,311
Company's Maximum Risk of Loss	$ 23,311

Mortgage-Backed and Credit Ri40

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 18,928,963	$ 18,275,563
Unamortized Premium (Discount)	(3,110,959)	(3,456,795)
Amortized Cost	15,818,004	14,818,768
Unrealized Gain/ (Loss), net	265,280	162,563
Fair value	$ 16,083,284	$ 14,981,331
Net Weighted Average Coupon	3.17%	3.05%
Period- end Weighted Average Yield	3.30%	3.05%
Quarterly Weighted Average Yield	3.07%	2.87%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	84.30%	85.50%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	24.10%	26.80%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	23.90%	21.70%
Unamortized premium (discount) non-accretable portion	$ 258,200	$ 252,500
Percentage of Non-Agency RMBS interest-only, principal balance	47.70%	43.50%
Percentage of Non-Agency RMBS interest-only, amortized cost	1.80%	1.50%
Percentage of Non-Agency RMBS interest only, fair value	1.50%	1.30%
Percentage of government sponsored enterprise credit risk transfer securities	26.10%	19.20%
Percentage of CMBS interest only, principal balance	18.50%	20.30%
Percentage of CMBS interest only, amortized cost	0.70%	0.80%
Percentage of CMBS interest only, fair value	0.70%	0.90%
On or After September 1, 2016
Schedule of Available-for-sale Securities
Fair value option, percentage of RMBS, principal balance	23.70%	4.30%
Fair value option, percentage of RMBS, amortized cost	23.50%	4.30%
Fair value option, percentage of RMBS, fair value	23.50%	4.20%
Fair value option, percentage of CMBS, principal balance	10.60%	0.40%
Fair value option, percentage of CMBS, amortized cost	11.30%	0.60%
Fair value option, percentage of CMBS, fair value	11.00%	0.50%
Agency RMBS
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 10,164,365	$ 8,966,483
Unamortized Premium (Discount)	399,328	381,927
Amortized Cost	10,563,693	9,348,410
Unrealized Gain/ (Loss), net	(9,208)	(26,591)
Fair value	$ 10,554,485	$ 9,321,819
Net Weighted Average Coupon	3.42%	3.37%
Period- end Weighted Average Yield	2.69%	2.42%
Quarterly Weighted Average Yield	2.44%	2.20%
Agency RMBS | 15 year fixed-rate
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 3,187,931	$ 3,460,625
Unamortized Premium (Discount)	134,856	151,526
Amortized Cost	3,322,787	3,612,151
Unrealized Gain/ (Loss), net	(46,007)	(54,223)
Fair value	$ 3,276,780	$ 3,557,928
Net Weighted Average Coupon	3.09%	3.11%
Period- end Weighted Average Yield	2.19%	2.19%
Quarterly Weighted Average Yield	1.97%	1.99%
Agency RMBS | 30 year fixed-rate
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 4,816,054	$ 2,780,806
Unamortized Premium (Discount)	232,385	185,521
Amortized Cost	5,048,439	2,966,327
Unrealized Gain/ (Loss), net	20,677	15,390
Fair value	$ 5,069,116	$ 2,981,717
Net Weighted Average Coupon	3.95%	4.37%
Period- end Weighted Average Yield	3.10%	2.61%
Quarterly Weighted Average Yield	2.83%	2.57%
Agency RMBS | ARM
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 269,123	$ 301,900
Unamortized Premium (Discount)	1,988	2,520
Amortized Cost	271,111	304,420
Unrealized Gain/ (Loss), net	3,463	3,453
Fair value	$ 274,574	$ 307,873
Net Weighted Average Coupon	2.68%	2.69%
Period- end Weighted Average Yield	2.58%	2.59%
Quarterly Weighted Average Yield	2.27%	2.16%
Agency RMBS | Hybrid ARM
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 1,891,257	$ 2,423,152
Unamortized Premium (Discount)	30,099	42,360
Amortized Cost	1,921,356	2,465,512
Unrealized Gain/ (Loss), net	12,659	8,789
Fair value	$ 1,934,015	$ 2,474,301
Net Weighted Average Coupon	2.71%	2.70%
Period- end Weighted Average Yield	2.54%	2.52%
Quarterly Weighted Average Yield	2.29%	2.02%
Agency-CMO
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 1,429,977	$ 1,712,120
Unamortized Premium (Discount)	(1,129,678)	(1,368,916)
Amortized Cost	300,299	343,204
Unrealized Gain/ (Loss), net	(2,033)	837
Fair value	$ 298,266	$ 344,041
Net Weighted Average Coupon	2.04%	2.16%
Period- end Weighted Average Yield	2.87%	3.08%
Quarterly Weighted Average Yield	0.34%	2.07%
Non-Agency RMBS
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 3,247,516	$ 3,838,314
Unamortized Premium (Discount)	(1,793,760)	(1,934,269)
Amortized Cost	1,453,756	1,904,045
Unrealized Gain/ (Loss), net	122,084	91,506
Fair value	$ 1,575,840	$ 1,995,551
Net Weighted Average Coupon	2.18%	2.21%
Period- end Weighted Average Yield	5.80%	5.22%
Quarterly Weighted Average Yield	5.90%	5.22%
Non-Agency RMBS | Variable Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as variable rate	48.00%	45.50%
Non-Agency RMBS | Fixed Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as fixed rate	43.80%	47.20%
Non-Agency RMBS | Floating Rate
Schedule of Available-for-sale Securities
Percentage of non-agency securities classified as floating rate	8.20%	7.30%
GSE CRT
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 769,217	$ 707,899
Unamortized Premium (Discount)	25,537	24,320
Amortized Cost	794,754	732,219
Unrealized Gain/ (Loss), net	82,423	35,981
Fair value	$ 877,177	$ 768,200
Net Weighted Average Coupon	3.06%	2.38%
Period- end Weighted Average Yield	2.40%	1.51%
Quarterly Weighted Average Yield	2.62%	1.24%
CMBS
Schedule of Available-for-sale Securities
Principal/ Notional Balance	$ 3,317,888	$ 3,050,747
Unamortized Premium (Discount)	(612,386)	(559,857)
Amortized Cost	2,705,502	2,490,890
Unrealized Gain/ (Loss), net	72,014	60,830
Fair value	$ 2,777,516	$ 2,551,720
Net Weighted Average Coupon	3.90%	3.80%
Period- end Weighted Average Yield	4.62%	4.21%
Quarterly Weighted Average Yield	4.45%	4.17%

Mortgage-Backed and Credit Ri41

Mortgage-Backed and Credit Risk Transfer Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities
Non-Agency RMBS, at fair value	$ 16,083,284	$ 14,981,331
Non-Agency RMBS
Schedule of Available-for-sale Securities
Non-Agency RMBS, at fair value	$ 1,575,840	$ 1,995,551
Percentage Of Non-Agency	100.00%	100.00%
Non-Agency RMBS | Prime
Schedule of Available-for-sale Securities
Non-Agency RMBS, at fair value	$ 699,638	$ 889,658
Percentage Of Non-Agency	44.40%	44.60%
Non-Agency RMBS | Alt-A
Schedule of Available-for-sale Securities
Non-Agency RMBS, at fair value	$ 421,492	$ 447,213
Percentage Of Non-Agency	26.70%	22.40%
Non-Agency RMBS | Re-REMIC
Schedule of Available-for-sale Securities
Non-Agency RMBS, at fair value	$ 237,766	$ 364,301
Percentage Of Non-Agency	15.10%	18.20%
Non-Agency RMBS | Subprime/reperforming
Schedule of Available-for-sale Securities
Non-Agency RMBS, at fair value	$ 216,944	$ 294,379
Percentage Of Non-Agency	13.80%	14.80%

Mortgage-Backed and Credit Ri42

Mortgage-Backed and Credit Risk Transfer Securities - Components of Senior Re-REMIC at Fair Value (Detail)	6 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	100.00%	100.00%
Re-REMIC holdings that are not senior class (percentage)	48.30%
0% - 10%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	26.30%	17.60%
10% - 20%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	3.90%	7.40%
20% - 30%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	9.90%	13.50%
30% - 40%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	19.40%	15.70%
40% - 50%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	18.40%	27.00%
50% - 60%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	20.30%	16.10%
60% - 70%
Schedule of Available-for-sale Securities
Percentage of Re-REMIC Holdings at Fair Value	1.80%	2.70%

Mortgage-Backed and Credit Ri43

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of Investment Portfolio (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Principal balance	$ 18,928,963	$ 18,275,563
Unamortized premium	484,242	476,314
Unamortized discount	(3,595,201)	(3,933,109)
Gross unrealized gains	379,923	302,099
Gross unrealized losses	(114,643)	(139,536)
Fair value	$ 16,083,284	$ 14,981,331

Mortgage-Backed and Credit Ri44

Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 117,913	$ 121,076
Greater than one year and less than five years	8,306,399	6,719,923
Greater than or equal to five years	7,658,972	8,140,332
Fair value	$ 16,083,284	$ 14,981,331

Mortgage-Backed and Credit Ri45

Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands	Jun. 30, 2017USD ($)security	Dec. 31, 2016USD ($)security
Fair Value
Less than 12 Months	$ 5,493,387	$ 5,858,500
12 Months or More	834,389	1,218,879
Total	6,327,776	7,077,379
Unrealized Losses
Less than 12 Months	(91,987)	(110,569)
12 Months or More	(22,656)	(28,967)
Total	$ (114,643)	$ (139,536)
Number of Securities
Less than 12 Months (in securities) | security	361	386
12 Months or More (in securities) | security	83	95
Total (in securities) | security	444	481
Agency RMBS
Fair Value
Less than 12 Months	$ 4,767,937	$ 5,006,723
12 Months or More	626,792	615,070
Total	5,394,729	5,621,793
Unrealized Losses
Less than 12 Months	(75,495)	(92,163)
12 Months or More	(18,911)	(19,571)
Total	$ (94,406)	$ (111,734)
Number of Securities
Less than 12 Months (in securities) | security	270	280
12 Months or More (in securities) | security	50	47
Total (in securities) | security	320	327
Fair value option, fair value	$ 801,600	$ 149,700
Fair value option, unrealized losses	6,500	4,000
Agency RMBS | 15 year fixed-rate
Fair Value
Less than 12 Months	2,534,116	2,781,777
12 Months or More	111,912	65,964
Total	2,646,028	2,847,741
Unrealized Losses
Less than 12 Months	(54,361)	(66,506)
12 Months or More	(2,469)	(1,556)
Total	$ (56,830)	$ (68,062)
Number of Securities
Less than 12 Months (in securities) | security	129	127
12 Months or More (in securities) | security	19	17
Total (in securities) | security	148	144
Agency RMBS | 30 year fixed-rate
Fair Value
Less than 12 Months	$ 1,351,307	$ 747,719
12 Months or More	507,832	547,763
Total	1,859,139	1,295,482
Unrealized Losses
Less than 12 Months	(16,221)	(15,409)
12 Months or More	(16,337)	(18,004)
Total	$ (32,558)	$ (33,413)
Number of Securities
Less than 12 Months (in securities) | security	59	45
12 Months or More (in securities) | security	27	27
Total (in securities) | security	86	72
Agency RMBS | ARM
Fair Value
Less than 12 Months	$ 82,986	$ 120,540
12 Months or More	0	1,091
Total	82,986	121,631
Unrealized Losses
Less than 12 Months	(89)	(326)
12 Months or More	0	(7)
Total	$ (89)	$ (333)
Number of Securities
Less than 12 Months (in securities) | security	9	9
12 Months or More (in securities) | security	0	1
Total (in securities) | security	9	10
Agency RMBS | Hybrid ARM
Fair Value
Less than 12 Months	$ 799,528	$ 1,356,687
12 Months or More	7,048	252
Total	806,576	1,356,939
Unrealized Losses
Less than 12 Months	(4,824)	(9,922)
12 Months or More	(105)	(4)
Total	$ (4,929)	$ (9,926)
Number of Securities
Less than 12 Months (in securities) | security	73	99
12 Months or More (in securities) | security	4	2
Total (in securities) | security	77	101
Agency-CMO
Fair Value
Less than 12 Months	$ 124,257	$ 163,114
12 Months or More	21,443	22,792
Total	145,700	185,906
Unrealized Losses
Less than 12 Months	(5,340)	(3,812)
12 Months or More	(1,012)	(952)
Total	$ (6,352)	$ (4,764)
Number of Securities
Less than 12 Months (in securities) | security	26	28
12 Months or More (in securities) | security	4	3
Total (in securities) | security	30	31
Agency IO
Number of Securities
Fair value option, fair value	$ 3,900
Fair value option, unrealized losses		$ 3,000
CMO
Number of Securities
Fair value option, unrealized losses	2,400	1,700
Non-Agency RMBS
Fair Value
Less than 12 Months	113,298	287,647
12 Months or More	166,184	497,863
Total	279,482	785,510
Unrealized Losses
Less than 12 Months	(2,385)	(7,861)
12 Months or More	(2,403)	(6,671)
Total	$ (4,788)	$ (14,532)
Number of Securities
Less than 12 Months (in securities) | security	23	42
12 Months or More (in securities) | security	24	36
Total (in securities) | security	47	78
GSE CRT
Fair Value
Less than 12 Months		$ 0
12 Months or More		35,935
Total		35,935
Unrealized Losses
Less than 12 Months		0
12 Months or More		(969)
Total		$ (969)
Number of Securities
Less than 12 Months (in securities) | security		0
12 Months or More (in securities) | security		3
Total (in securities) | security		3
CMBS
Fair Value
Less than 12 Months	$ 487,895	$ 401,016
12 Months or More	19,970	47,219
Total	507,865	448,235
Unrealized Losses
Less than 12 Months	(8,767)	(6,733)
12 Months or More	(330)	(804)
Total	$ (9,097)	$ (7,537)
Number of Securities
Less than 12 Months (in securities) | security	42	36
12 Months or More (in securities) | security	5	6
Total (in securities) | security	47	42
Fair value option, fair value	$ 168,000	$ 13,900
Fair value option, unrealized losses	$ 2,300	$ 613

Mortgage-Backed and Credit Ri46

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Schedule of Available-for-sale Securities
Gross unrealized losses	$ 114,643	$ 139,536
CMO
Schedule of Available-for-sale Securities
Gross unrealized losses	2,400
Agency RMBS
Schedule of Available-for-sale Securities
Gross unrealized losses	94,400
Agency-IO, Non-Agency RMBS, GSE CRT and CMBS
Schedule of Available-for-sale Securities
Gross unrealized losses	$ 17,800

Mortgage-Backed and Credit Ri47

Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Schedule of Available-for-sale Securities
Other-than-temporary credit impairment losses	$ 4,098	$ 1,525	$ 4,630	$ 7,208
RMBS interest-only securities
Schedule of Available-for-sale Securities
Other-than-temporary credit impairment losses	3,585	1,472	3,876	7,155
Non-Agency RMBS
Schedule of Available-for-sale Securities
Other-than-temporary credit impairment losses	$ 513	$ 53	$ 754	$ 53

Mortgage-Backed and Credit Ri48

Mortgage-Backed and Credit Risk Transfer Securities - Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Investments, Debt and Equity Securities [Abstract]
Amount of MBS and GSE CRT are accounted for under the fair value option	$ 3,100,000		$ 3,100,000
Percentage of MBS and GSE CRT are accounted for under the fair value option	19.30%		19.30%
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward]
Unrealized gain (loss) on MBS and GSE CRT at beginning of period	$ 163,440	$ 288,715	$ 146,301	$ 177,799
Unrealized gain (loss) on MBS and GSE CRT	39,633	117,116	55,922	238,576
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	651	(1,037)	1,501	(11,581)
Unrealized gain (loss) on MBS and GSE CRT at end of period	$ 203,724	$ 404,794	$ 203,724	$ 404,794

Mortgage-Backed and Credit Ri49

Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Schedule of Available-for-sale Securities
Gross realized gains on sale of investments	$ 1,311	$ 1,037	$ 2,215	$ 14,052
Gross realized losses on sale of investments	(1,962)	0	(3,873)	(2,471)
Other-than-temporary impairment losses	(4,098)	(1,525)	(4,630)	(7,208)
Net unrealized gains and losses on trading securities	14	463	23	463
Total gain (loss) on investments, net	11,175	1,414	9,322	13,015
RMBS IOs
Schedule of Available-for-sale Securities
Net unrealized gains (losses)	7,715	1,266	4,113	7,942
GSE CRT
Schedule of Available-for-sale Securities
Net unrealized gains (losses)	$ 8,195	$ 173	$ 11,474	$ 237

Mortgage-Backed and Credit Ri50

Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Schedule of Available-for-sale Securities
Coupon Interest	$ 147,267	$ 142,476	$ 293,336	$ 288,770
Net (Premium Amortization)/Discount Accretion	(26,240)	(29,616)	(53,436)	(53,664)
Interest Income	121,027	112,860	239,900	235,106
Agency
Schedule of Available-for-sale Securities
Coupon Interest	91,979	84,440	183,210	170,211
Net (Premium Amortization)/Discount Accretion	(27,775)	(28,277)	(56,353)	(52,462)
Interest Income	64,204	56,163	126,857	117,749
Non-Agency RMBS
Schedule of Available-for-sale Securities
Coupon Interest	18,131	24,127	38,745	49,976
Net (Premium Amortization)/Discount Accretion	3,734	2,292	8,121	6,136
Interest Income	21,865	26,419	46,866	56,112
GSE CRT
Schedule of Available-for-sale Securities
Coupon Interest	5,556	2,136	10,043	4,333
Net (Premium Amortization)/Discount Accretion	(347)	(775)	(718)	(1,542)
Interest Income	5,209	1,361	9,325	2,791
CMBS
Schedule of Available-for-sale Securities
Coupon Interest	31,506	31,476	61,182	63,740
Net (Premium Amortization)/Discount Accretion	(1,852)	(2,839)	(4,486)	(5,779)
Interest Income	29,654	28,637	56,696	57,961
Other
Schedule of Available-for-sale Securities
Coupon Interest	95	297	156	510
Net (Premium Amortization)/Discount Accretion	0	(17)	0	(17)
Interest Income	$ 95	$ 280	$ 156	$ 493

Commercial Loans Held-for-Inv51

Commercial Loans Held-for-Investment (Details)	6 Months Ended	12 Months Ended
	Jun. 30, 2017USD ($)loan	Dec. 31, 2016USD ($)loan
Accounts, Notes, Loans and Financing Receivable
Carrying value	$ 278,866,000	$ 273,355,000
Commercial Portfolio Segment
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan	10	10
Principal Balance	$ 279,121,000	$ 273,666,000
Unamortized (fees)/ costs, net	(255,000)	(311,000)
Carrying value	$ 278,866,000	$ 273,355,000
Weighted Average Coupon	8.50%	8.14%
Weighted Average Years to Maturity	1 year 5 months	1 year 7 months
Allowance for loan losses	$ 0	$ 0
Commercial Portfolio Segment | Mezzanine Loans
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan	10	10
Principal Balance	$ 279,121,000	$ 273,666,000
Unamortized (fees)/ costs, net	(255,000)	(311,000)
Carrying value	$ 278,866,000	$ 273,355,000
Weighted Average Coupon	8.50%	8.14%
Weighted Average Years to Maturity	1 year 5 months	1 year 7 months

Other Assets (Details)

Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Schedule of Investments [Abstract]
FHLBI stock	$ 74,250	$ 74,250
Investments in unconsolidated ventures	23,311	33,301
Investment in exchange-traded fund	3,979	500
Prepaid expenses and other assets	888	1,246
Total	$ 102,428	$ 109,297

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Repurchase Agreements:
Amount outstanding	$ 12,118,948	$ 11,160,669
Weighted average interest rate	1.56%	1.23%
Weighted average remaining maturity	21 days	30 days
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Total Borrowings
Carrying value of exchangeable senior notes	217,804	397,041
Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 9,227,679	$ 8,148,220
Weighted average interest rate	1.29%	0.93%
Weighted average remaining maturity	20 days	32 days
Non-Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 1,130,943	$ 1,519,859
Weighted average interest rate	2.50%	2.06%
Weighted average remaining maturity	29 days	28 days
GSE CRT
Repurchase Agreements:
Amount outstanding	$ 661,432	$ 547,872
Weighted average interest rate	2.58%	2.25%
Weighted average remaining maturity	7 days	16 days
CMBS
Repurchase Agreements:
Amount outstanding	$ 1,098,894	$ 944,718
Weighted average interest rate	2.33%	1.86%
Weighted average remaining maturity	16 days	16 days
Secured Loans
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Weighted average interest rate	1.23%	0.74%
Weighted average remaining maturity	2501 days	2682 days
Exchangeable Senior Notes
Exchangeable Senior Notes
Amount outstanding	$ 218,755	$ 400,000
Weighted average interest rate	5.00%	5.00%
Weighted average remaining maturity	258 days	439 days
Total Borrowings
Debt issuance costs	$ 1,000	$ 3,000
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 13,987,703	$ 13,210,669
Weighted average interest rate	1.58%	1.28%
Weighted average remaining maturity	317 days	373 days

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Jun. 30, 2017USD ($)
Debt Disclosure [Abstract]
2,018	$ 12,337,703
2,019	0
2,020	300,000
2,021	100,000
2,022	0
Thereafter	1,250,000
Total	$ 13,987,703

Borrowings - Repurchase Agreeme

Borrowings - Repurchase Agreements (Detail) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2017USD ($)Counterparty	Dec. 31, 2016USD ($)Counterparty
Repurchase Agreement Counterparty
Amount Outstanding	$ 12,118,948	$ 11,160,669
MBS and GSE CRTs Pledged as Collateral	13,370,297	12,444,304
Advances from Federal Home Loan Banks	$ 1,650,000	$ 1,650,000
Secured Loans Counterparty, Percentage of Total Amount Outstanding	12.00%	12.90%
Secured Loans Counterparty, Pledged as Collateral	$ 1,941,665	$ 1,931,582
Total, Amount Outstanding	$ 13,768,948	$ 12,810,669
Total, Percentage of Total Amount Outstanding	100.00%	100.00%
MBS and GSE CRTs Pledged as Collateral	$ 15,311,962	$ 14,375,886
Number of counterparties | Counterparty	7	7
Repurchase Agreement Counterparties [Member]
Repurchase Agreement Counterparty
Amount Outstanding	$ 12,118,948	$ 11,160,669
Percent of Total Amount Outstanding	88.00%	87.10%
MBS and GSE CRTs Pledged as Collateral	$ 13,370,297	$ 12,444,304
HSBC Securities (USA) Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,315,644	$ 1,401,966
Percent of Total Amount Outstanding	9.50%	11.20%
MBS and GSE CRTs Pledged as Collateral	$ 1,383,316	$ 1,468,793
ING Financial Market LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,270,181	$ 1,142,200
Percent of Total Amount Outstanding	9.20%	8.90%
MBS and GSE CRTs Pledged as Collateral	$ 1,336,963	$ 1,216,492
Pierpont Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,125,511	$ 681,853
Percent of Total Amount Outstanding	8.20%	5.30%
MBS and GSE CRTs Pledged as Collateral	$ 1,181,071	$ 717,663
Royal Bank of Canada
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,073,515	$ 1,098,631
Percent of Total Amount Outstanding	7.80%	8.60%
MBS and GSE CRTs Pledged as Collateral	$ 1,258,618	$ 1,293,336
Mitsubishi UFJ Securities (USA), Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 653,956	$ 703,382
Percent of Total Amount Outstanding	4.70%	5.50%
MBS and GSE CRTs Pledged as Collateral	$ 691,437	$ 740,404
E D & F Man Capital Markets Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 621,813	$ 405,615
Percent of Total Amount Outstanding	4.50%	3.20%
MBS and GSE CRTs Pledged as Collateral	$ 653,306	$ 430,896
Scotia Capital
Repurchase Agreement Counterparty
Amount Outstanding	$ 605,826	$ 479,105
Percent of Total Amount Outstanding	4.40%	3.70%
MBS and GSE CRTs Pledged as Collateral	$ 630,441	$ 500,578
Citigroup Global Markets Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 552,926	$ 427,185
Percent of Total Amount Outstanding	4.00%	3.30%
MBS and GSE CRTs Pledged as Collateral	$ 656,821	$ 534,875
Industrial and Commercial Bank of China Financial Services LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 524,907	$ 707,616
Percent of Total Amount Outstanding	3.80%	5.50%
MBS and GSE CRTs Pledged as Collateral	$ 550,286	$ 748,503
South Street Securities LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 485,749	$ 675,660
Percent of Total Amount Outstanding	3.50%	5.30%
MBS and GSE CRTs Pledged as Collateral	$ 514,435	$ 713,330
KGS Alpha Capital Markets LP
Repurchase Agreement Counterparty
Amount Outstanding	$ 481,965	$ 441,541
Percent of Total Amount Outstanding	3.50%	3.40%
MBS and GSE CRTs Pledged as Collateral	$ 506,387	$ 475,858
Goldman, Sachs & Co
Repurchase Agreement Counterparty
Amount Outstanding	$ 467,361	$ 486,430
Percent of Total Amount Outstanding	3.40%	3.80%
MBS and GSE CRTs Pledged as Collateral	$ 586,400	$ 623,400
JP Morgan Securities Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 411,296	$ 477,947
Percent of Total Amount Outstanding	3.00%	3.70%
MBS and GSE CRTs Pledged as Collateral	$ 476,473	$ 554,494
Societe Generale
Repurchase Agreement Counterparty
Amount Outstanding	$ 395,937	$ 325,393
Percent of Total Amount Outstanding	2.90%	2.50%
MBS and GSE CRTs Pledged as Collateral	$ 509,082	$ 427,200
Guggenheim Liquidity Services, LLC
Repurchase Agreement Counterparty
Amount Outstanding	$ 329,375	$ 356,149
Percent of Total Amount Outstanding	2.40%	2.80%
MBS and GSE CRTs Pledged as Collateral	$ 346,416	$ 377,030
Mizuho Securities USA Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 329,168
Percent of Total Amount Outstanding	2.40%
MBS and GSE CRTs Pledged as Collateral	$ 347,282
Natixis, New York Branch
Repurchase Agreement Counterparty
Amount Outstanding	$ 302,566	$ 336,202
Percent of Total Amount Outstanding	2.20%	2.60%
MBS and GSE CRTs Pledged as Collateral	$ 327,418	$ 362,432
BNP Paribas Securities Corp
Repurchase Agreement Counterparty
Amount Outstanding	$ 283,528	$ 307,641
Percent of Total Amount Outstanding	2.10%	2.40%
MBS and GSE CRTs Pledged as Collateral	$ 326,548	$ 346,484
Daiwa Capital Markets America Inc.
Repurchase Agreement Counterparty
Amount Outstanding	$ 218,702
Percent of Total Amount Outstanding	1.60%
MBS and GSE CRTs Pledged as Collateral	$ 230,239
All other counterparties
Repurchase Agreement Counterparty
Amount Outstanding	$ 669,022	$ 706,153
Percent of Total Amount Outstanding	4.90%	5.40%
MBS and GSE CRTs Pledged as Collateral	$ 857,358	$ 912,536

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($)	1 Months Ended		3 Months Ended		6 Months Ended		12 Months Ended
	Jun. 30, 2017	Mar. 31, 2017	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016	Dec. 31, 2016	Dec. 31, 2013
Repurchase Agreement Counterparty
Collateral ratio					110.00%		112.00%
Advances from Federal Home Loan Banks	$ 1,650,000,000		$ 1,650,000,000		$ 1,650,000,000		$ 1,650,000,000
Net loss on extinguishment of debt			526,000	$ 0	$ 5,237,000	$ 0
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	1,650,000,000		1,650,000,000		$ 1,650,000,000
Average outstanding borrowings from FHLBI					$ 1,650,000,000
FHLBI weighted average interest rate on advances					0.96%
Weighted average maturity (in years)					6 years 10 months 24 days
Exchangeable Senior Notes
Repurchase Agreement Counterparty
Debt principal amount								$ 400,000,000
Accrued interest payable	3,200,000		3,200,000		$ 3,200,000		$ 5,900,000
Exchangeable Senior Notes
Repurchase Agreement Counterparty
Debt principal amount	31,245,000	$ 150,000,000	31,245,000		31,245,000
Extinguishment of debt, amount	$ 31,600,000	$ 153,800,000
Net loss on extinguishment of debt			526,000		5,200,000
Write off of unamortized debt issuance costs			$ 136,000		$ 1,000,000

Collateral Positions (Details)

Collateral Positions (Details) - USD ($)	Jun. 30, 2017	Dec. 31, 2016
Derivative
Repurchase agreements collateral pledged	$ 13,370,297,000	$ 12,444,304,000
Securities loaned collateral pledged	1,941,665,000	1,931,582,000
Interest rate swaps collateral pledged	56,434,000	132,762,000
Total collateral pledged	15,368,396,000	14,508,648,000
Cash	3,471,000	1,700,000
Non-cash collateral	0	536,000
Total collateral held	3,471,000	2,236,000
Cash
Derivative
Total collateral pledged	1,246,000	86,450,000
Interest Rate Swaps and Currency Forward Contracts | Cash
Derivative
Interest rate swaps collateral pledged	1,246,000	86,450,000
Currency Forward Contracts | Cash
Derivative
Interest rate swaps collateral pledged	980,000	0
Agency RMBS
Derivative
Repurchase agreements collateral pledged	9,711,706,000	8,654,233,000
Securities loaned collateral pledged	596,514,000	585,504,000
Agency RMBS | Interest Rate Swaps and Currency Forward Contracts
Derivative
Interest rate swaps collateral pledged	55,188,000	46,312,000
Non-Agency RMBS
Derivative
Repurchase agreements collateral pledged	1,424,646,000	1,887,550,000
GSE CRT
Derivative
Repurchase agreements collateral pledged	874,493,000	734,212,000
CMBS
Derivative
Repurchase agreements collateral pledged	1,359,452,000	1,168,309,000
Securities loaned collateral pledged	1,345,151,000	1,346,078,000
Mortgage-backed and GSE CRT securities
Derivative
Total collateral pledged	$ 15,367,150,000	$ 14,422,198,000

Derivatives and Hedging Activ58

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail)	6 Months Ended
	Jun. 30, 2017USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2017	$ 7,132,274,000
Additions	1,537,860,000
Settlement, Termination, Expiration or Exercise	(137,304,000)
Notional Amount as of June 30, 2017	8,532,830,000
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2017	6,500,000,000
Additions	1,400,000,000
Settlement, Termination, Expiration or Exercise	0
Notional Amount as of June 30, 2017	7,900,000,000
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2017	62,308,000
Additions	137,860,000
Settlement, Termination, Expiration or Exercise	(131,575,000)
Notional Amount as of June 30, 2017	68,593,000
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of January 1, 2017	569,966,000
Additions	0
Settlement, Termination, Expiration or Exercise	(5,729,000)
Notional Amount as of June 30, 2017	$ 564,237,000

Derivatives and Hedging Activ59

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016	Mar. 31, 2017	Dec. 31, 2016	Mar. 31, 2016	Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Decrease (increase) to interest expense	$ 6,400,000	$ (3,200,000)	$ 12,700,000	$ 16,200,000
Amount reclassified to interest expenses within Next 12 months	26,300,000		26,300,000
Unrealized gain on discontinued cash flow hedges included in AOCI	2,360,094,000		2,360,094,000			$ 2,270,184,000
Notional amount	8,532,830,000		8,532,830,000			7,132,274,000
Derivative Liabilities	44,147,000		44,147,000			134,228,000
Cash margin deposits						86,450,000
Accrued Interest
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative Liabilities	40,000,000		40,000,000
Agency RMBS
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Cash margin deposits	55,200,000		55,200,000
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	136,608,000	$ 164,233,000	136,608,000	$ 164,233,000	$ 142,896,000	149,115,000	$ 161,036,000	$ 148,273,000
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	68,593,000		68,593,000			62,308,000
Derivative Liabilities	1,100,000		1,100,000			395,000
Pound Sterling | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	49,600,000		49,600,000			49,000,000
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 19,000,000		$ 19,000,000			$ 13,300,000

Derivatives and Hedging Activ60

Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($)	Jun. 30, 2017	Dec. 31, 2016
Interest Rate Derivatives Outstanding
Notional amount	$ 8,532,830,000	$ 7,132,274,000
Interest Rate Swaps
Interest Rate Derivatives Outstanding
Notional amount	$ 7,900,000,000	$ 6,500,000,000
Fixed Interest Rate in Contract	2.1664%
Interest Rate Swaps | ING Capital Markets LLC
Interest Rate Derivatives Outstanding
Notional amount	$ 350,000,000
Fixed Interest Rate in Contract	0.954%
Interest Rate Swaps | UBS AG
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	1.102%
Interest Rate Swaps | ING Capital Markets LLC
Interest Rate Derivatives Outstanding
Notional amount	$ 400,000,000
Fixed Interest Rate in Contract	0.8675%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 300,000,000
Fixed Interest Rate in Contract	2.496%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 300,000,000
Fixed Interest Rate in Contract	2.691%
Interest Rate Swaps | Wells Fargo Bank, N.A.
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	3.142%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	2.249%
Interest Rate Swaps | Citibank, N.A.
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.83%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	2.439%
Interest Rate Swaps | HSBC Bank USA, National Association
Interest Rate Derivatives Outstanding
Notional amount	$ 550,000,000
Fixed Interest Rate in Contract	2.45%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 1,000,000,000
Fixed Interest Rate in Contract	2.213%
Interest Rate Swaps | The Royal Bank of Scotland Plc
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	1.98375%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 600,000,000
Fixed Interest Rate in Contract	2.883%
Interest Rate Swaps | HSBC Bank USA, National Association
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	2.201%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 450,000,000
Fixed Interest Rate in Contract	2.0999%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 450,000,000
Fixed Interest Rate in Contract	2.1456%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 100,000,000
Fixed Interest Rate in Contract	2.0375%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 250,000,000
Fixed Interest Rate in Contract	2.778%
Interest Rate Swaps | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 250,000,000
Fixed Interest Rate in Contract	2.387%

Derivatives and Hedging Activ61

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Derivative
Notional amount	$ 8,532,830	$ 7,132,274
GSE CRT
Derivative
Fair value amount	46,802	17,095
GSE CRT | GSE CRT embedded derivatives
Derivative
Notional amount	564,237	569,966
Maximum potential amount of future undiscounted payments	$ 564,237	$ 569,966

Derivatives and Hedging Activ62

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Derivatives, Fair Value
Derivative Assets	$ 3,706	$ 3,186
Derivative Liabilities	44,147	134,228
Interest Rate Swaps Asset
Derivatives, Fair Value
Derivative Assets	11,005	3,085
Currency Forward Contracts
Derivatives, Fair Value
Derivative Assets	0	101
Derivative Liabilities	1,100	395
Interest Rate Swaps Liability
Derivatives, Fair Value
Derivative Liabilities	$ 43,047	$ 133,833

Derivatives and Hedging Activ63

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net			$ (25,311)	$ (63,569)
Unrealized gain (loss), net			20,120	(211,261)
Gain (loss) on derivative instruments, net	$ (53,513)	$ (90,363)	(48,051)	(328,906)
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(40,229)	(20,584)	(25,311)	(63,569)
Contractual net interest expense	(19,966)	(24,985)	(42,860)	(54,076)
Unrealized gain (loss), net	6,682	(44,794)	20,120	(211,261)
Gain (loss) on derivative instruments, net	(53,513)	(90,363)	(48,051)	(328,906)
Not Designated as Hedging Instrument | GSE CRT embedded derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	0	(5,097)	0	(6,017)
Contractual net interest expense	5,844	6,112	11,651	12,426
Unrealized gain (loss), net	15,559	16,213	29,707	19,229
Gain (loss) on derivative instruments, net	21,403	17,228	41,358	25,638
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(38,512)	(20,105)	(22,518)	(64,000)
Contractual net interest expense	(19,966)	(24,985)	(42,860)	(54,076)
Unrealized gain (loss), net	7,975	(49,711)	20,925	(216,382)
Gain (loss) on derivative instruments, net	(50,503)	(94,801)	(44,453)	(334,458)
Not Designated as Hedging Instrument | Interest Rate Swaptions
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net				(1,485)
Contractual net interest expense				0
Unrealized gain (loss), net				1,485
Gain (loss) on derivative instruments, net				0
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(1,717)	(479)	(2,793)	1,916
Contractual net interest expense	0	0	0	0
Unrealized gain (loss), net	(1,293)	4,917	(805)	3,636
Gain (loss) on derivative instruments, net	$ (3,010)	$ 4,438	$ (3,598)	$ 5,552

Offsetting Assets and Liabili64

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Derivatives Asset
Gross Amounts of Recognized Assets	$ 3,706	$ 3,186
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	3,706	3,186
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	0	(1,640)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	(3,445)	(1,546)
Net Amount	261	0
Total
Gross Amounts of Recognized Assets	3,706	3,186
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	3,706	3,186
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	0	(1,640)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	(3,445)	(1,546)
Net Amount	261	$ 0
Central Clearing Counterparty
Derivatives Asset
Gross Amounts of Recognized Assets	$ 7,300

Offsetting Assets and Liabili65

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($)	Jun. 30, 2017	Dec. 31, 2016
Derivatives Liability
Gross Amounts of Recognized Liabilities	$ 44,147,000	$ 134,228,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	44,147,000	134,228,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(43,047,000)	(45,738,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(980,000)	(85,787,000)
Net Amount	120,000	2,703,000
Repurchase Agreements
Gross Amounts of Recognized Liabilities	12,118,948,000	11,160,669,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	12,118,948,000	11,160,669,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(12,118,948,000)	(11,160,669,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Secured Loans
Gross Amounts of Recognized Liabilities	1,650,000,000	1,650,000,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	1,650,000,000	1,650,000,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(1,650,000,000)	(1,650,000,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Total Borrowings
Gross Amounts of Recognized Liabilities	13,813,095,000	12,944,897,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	13,813,095,000	12,944,897,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(13,811,995,000)	(12,856,407,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(980,000)	(85,787,000)
Net Amount	120,000	2,703,000
Fair value of securities pledged under repurchase agreement	13,370,297,000	12,444,304,000
Cash collateral posted by Company's derivative counterparties	3,471,000	1,700,000
Non-cash collateral received on derivatives	0	536,000
Due from counterparties		86,450,000
Collateral pledged against secured loans	$ 1,941,665,000	$ 1,931,582,000

Fair Value of Financial Instr66

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively)	$ 16,083,284	$ 14,981,331
Derivative Assets	3,706	3,186
Derivative Liabilities	$ 44,147	$ 134,228
Weighted average remaining term of investments in unconsolidated ventures	1 year 9 months 24 days	1 year 3 months 28 days
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively)	$ 16,083,284	$ 14,981,331
Derivative Assets	11,005	3,186
Other assets, at fair value	27,290	33,801
NAV as a practical expedient	23,311	33,301
Total assets	16,121,579	15,018,318
Derivative Liabilities	44,147	134,228
Total liabilities	44,147	134,228
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 $15,367,150 and $14,422,198, respectively)	0	0
Derivative Assets	0	0
Other assets, at fair value	3,979	500
Total assets	3,979	500
Derivative Liabilities	0	0
Total liabilities	0	0
Recurring | Level 1 | Exchange-traded funds
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Investments in exchange-traded funds	4,000	500
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 $15,367,150 and $14,422,198, respectively)	16,036,482	14,964,236
Derivative Assets	11,005	3,186
Other assets, at fair value	0	0
Total assets	16,047,487	14,967,422
Derivative Liabilities	44,147	134,228
Total liabilities	44,147	134,228
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 $15,367,150 and $14,422,198, respectively)	46,802	17,095
Derivative Assets	0	0
Other assets, at fair value	0	0
Total assets	46,802	17,095
Derivative Liabilities	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	46,800	17,100
Embedded derivatives in an asset position	47,700	21,000
Embedded derivatives in a liability position	$ (900)	$ (3,900)

Fair Value of Financial Instr67

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Unrealized gains on credit derivative			$ 29,707,000	$ 19,229,000
Reverse of unrealized losses on securities sold	$ 0	$ 5,100,000	0	6,000,000
Embedded Credit Derivative | GSE CRT
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	31,243,000	(22,706,000)	17,095,000	(25,722,000)
Sales and settlements	0	5,097,000	0	6,017,000
Realized gains/(losses), net	0	(5,097,000)	0	(6,017,000)
Unrealized gains/(losses), net	15,559,000	16,213,000	29,707,000	19,229,000
Ending balance	46,802,000	(6,493,000)	46,802,000	(6,493,000)
Unrealized gains on credit derivative	$ 15,600,000	$ 11,100,000	$ 29,700,000	$ 12,600,000

Fair Value of Financial Instr68

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - GSE CRT - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2017	Dec. 31, 2016	Mar. 31, 2017	Jun. 30, 2016	Mar. 31, 2016	Dec. 31, 2015
Market Comparables, Vendor Pricing and Internal Models | Level 3 | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
Weighted average life	5 years 8 months	5 years 3 months
Embedded Credit Derivative
Fair Value Inputs, Assets, Quantitative Information
Net embedded derivative	$ 46,802	$ 17,095	$ 31,243	$ (6,493)	$ (22,706)	$ (25,722)
Embedded Credit Derivative | Market Comparables, Vendor Pricing and Internal Models | Level 3 | Minimum
Fair Value Inputs, Assets, Quantitative Information
Weighted average life	3 years 8 months	2 years 6 months
Embedded Credit Derivative | Market Comparables, Vendor Pricing and Internal Models | Level 3 | Maximum
Fair Value Inputs, Assets, Quantitative Information
Weighted average life	7 years 6 months	7 years 8 months

Fair Value of Financial Instr69

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
Carrying Value
Financial Assets
Other assets	$ 74,250	$ 74,250
Total	353,116	347,605
Financial Liabilities
Repurchase agreements	12,118,948	11,160,669
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	217,804	397,041
Total	13,986,752	13,207,710
Carrying Value | Commercial Loans Held For Investment
Financial Assets
Commercial loans, held-for-investment	278,866	273,355
Estimated Fair Value
Financial Assets
Other assets	74,250	74,250
Total	354,507	349,569
Financial Liabilities
Repurchase agreements	12,118,722	11,161,034
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	220,943	400,000
Total	13,989,665	13,211,034
Estimated Fair Value | Commercial Loans Held For Investment
Financial Assets
Commercial loans, held-for-investment	$ 280,257	$ 275,319

Related Party Transactions (Det

Related Party Transactions (Detail) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016	Dec. 31, 2016	Dec. 31, 2015
Related Party Transaction
Management fee – related party	$ 9,027,000	$ 9,061,000	$ 17,828,000	$ 18,573,000
Investment in money market or mutual funds managed by affiliates of a related party	64,069,000	144,084,000	$ 64,069,000	144,084,000	$ 161,788,000	$ 53,199,000
Manager
Related Party Transaction
Management fee			1.50%
Amounts of transaction with related party	1,200,000	1,400,000	$ 2,800,000	3,200,000
Termination fee multiplier			3
Termination fees assessment period			24 months
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction
Management fee – related party	202,000	182,000	$ 387,000	341,000
Investment in money market or mutual funds managed by affiliates of a related party	24,300,000		24,300,000		$ 149,900,000
Loans origination and commitment fees paid	$ 0	$ 189,000	$ 0	$ 692,000

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Mar. 15, 2017	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016	Dec. 31, 2016
Class of Stock
Common stock dividend declared (dollars per share)		$ 0.40	$ 0.4	$ 0.8	$ 0.8
Common Stock
Class of Stock
Repurchase of shares of common stock (in shares)		0	0	0	2,063,451
Weighted average repurchase price (dollars per share)						$ 12.12
Repurchase of common stock						$ 25,000
Remaining number of shares authorized to be repurchased (in shares)		18,239,082		18,239,082
Common stock dividend declared (dollars per share)	$ 0.4
Preferred Stock
Class of Stock
Preferred stock, redemption price per share (dollars per share)		$ 25		$ 25
Series A Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock dividend rate				7.75%
Preferred stock, liquidation preference (dollars per share)		25		$ 25
Preferred stock, dividends per annum (dollars per share)				$ 1.9375
Series A preferred stock dividend (dollars per share)	0.4844
Series B Cumulative Redeemable Preferred Stock
Class of Stock
Preferred stock dividend rate				7.75%
Preferred stock, liquidation preference (dollars per share)		$ 25		$ 25
Preferred stock, dividends per annum (dollars per share)				$ 1.9375
Series A preferred stock dividend (dollars 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%
Incentive Plan
Class of Stock
Number of shares of common stock remain available for future issuance (in shares)		806,778		806,778
Total unrecognized compensation cost		$ 288		$ 288
Share-based compensation cost not yet recognized, period for recognition				45 months
Weighted average remaining vesting period				20 months
Incentive Plan | Common Stock
Class of Stock
Common stock options reserved for issuance (in shares)		1,000,000		1,000,000
Compensation expense recognized		$ 112	$ 85	$ 197	$ 170
Restricted stock issued (in shares)		5,292	6,160	10,748	13,908
Incentive Plan | Common Stock | Employee
Class of Stock
Compensation expense recognized		$ 35	$ 63	$ 66	$ 95

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ 39,633	$ 117,116	$ 55,922	$ 238,576
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	651	(1,037)	1,501	(11,581)
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,369)	3,238	(12,667)	16,162
Currency translation adjustments on investment in unconsolidated venture	139	274	(476)	225
Total other comprehensive income (loss)	34,054	119,591	44,280	243,382
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period			2,270,184
Other comprehensive income/(loss), net	34,054	119,591	44,280	243,382
Other comprehensive income/(loss) attributable to non-controlling interest	(429)	(1,510)	(558)	(3,052)
Rebalancing of ownership percentage of non-controlling interest	1		1
Balance at end of period	2,360,094		2,360,094
Equity method investments including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	139	274	(476)	225
Total other comprehensive income (loss)	139	274	(476)	225
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Other comprehensive income/(loss), net	139	274	(476)	225
Other comprehensive income/(loss) attributable to non-controlling interest	(2)	(5)	6	(3)
Available-for-sale securities including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	39,633	117,116	55,922	238,576
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	651	(1,037)	1,501	(11,581)
Total other comprehensive income (loss)	40,284	116,079	57,423	226,995
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Other comprehensive income/(loss), net	40,284	116,079	57,423	226,995
Other comprehensive income/(loss) attributable to non-controlling interest	(508)	(1,464)	(724)	(2,847)
Rebalancing of ownership percentage of non-controlling interest	1		1
Derivative and hedging including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,369)	3,238	(12,667)	16,162
Total other comprehensive income (loss)	(6,369)	3,238	(12,667)	16,162
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Other comprehensive income/(loss), net	(6,369)	3,238	(12,667)	16,162
Other comprehensive income/(loss) attributable to non-controlling interest	81	(41)	160	(202)
Equity method investments attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	(512)	(79)	95	(32)
Balance at end of period	(375)	190	(375)	190
Available-for-sale securities attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	161,381	279,916	144,458	170,383
Balance at end of period	201,158	394,531	201,158	394,531
Derivative and hedging attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	142,896	161,036	149,115	148,273
Balance at end of period	136,608	164,233	136,608	164,233
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)			43,722
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	303,765	440,873	293,668	318,624
Other comprehensive income/(loss), net			43,722
Rebalancing of ownership percentage of non-controlling interest			1
Balance at end of period	$ 337,391	$ 558,954	$ 337,391	$ 558,954

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares	3 Months Ended	6 Months Ended
	Jun. 30, 2017	Jun. 30, 2017
Restricted Stock Units
Unvested at the beginning of the period	19,827	18,807
Shares granted during the period	0	8,115
Shares vested during the period	0	(7,095)
Unvested at the end of the period	19,827	19,827
Weighted Average Grant Date Fair Value
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share)	$ 14.35	$ 14.37
Granted, Weighted Average Grant Date Fair Value (usd per share)	0	15.55
Vested, Weighted Average Grant Date Fair Value (usd per share)	0	15.78
Weighted Average Grant Date Fair Value, at the end of the period (usd per share)	$ 14.35	$ 14.35

Earnings per Common Share - Ear

Earnings per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Basic Earnings:
Net income (loss) available to common stockholders	$ 46,834	$ (11,617)	$ 133,964	$ (167,777)
Effect of dilutive securities:
Income allocated to exchangeable senior notes	3,504	0	8,512	0
Income (loss) allocated to non-controlling interest	670	(75)	1,856	(1,958)
Dilutive net income (loss) available to stockholders	$ 51,008	$ (11,692)	$ 144,332	$ (169,735)
Basic Earnings:
Shares available to common stockholders (in shares)	111,608	111,581	111,603	112,362
Effect of dilutive securities:
Restricted stock awards (in shares)	20	0	20	0
OP units (in shares)	1,425	1,425	1,425	1,425
Exchangeable senior notes (in shares)	10,507	0	12,782	0
Dilutive Shares (in shares)	123,560	113,006	125,830	113,787
Net income (loss) attributable to common stockholders
Basic (usd per share)	$ 0.42	$ (0.10)	$ 1.20	$ (1.49)
Diluted (usd per share)	$ 0.41	$ (0.10)	$ 1.15	$ (1.49)

Earnings per Common Share - Add

Earnings per Common Share - Additional Information (Details) - shares	3 Months Ended	6 Months Ended
	Jun. 30, 2016	Jun. 30, 2016
Exchangeable Senior Notes
Antidilutive Securities Excluded from Computation of Earnings Per Share
Antidilutive securities excluded from computation of earnings per share	16,835,720	16,835,720
Restricted Stock Units (RSUs)
Antidilutive Securities Excluded from Computation of Earnings Per Share
Antidilutive securities excluded from computation of earnings per share	46,001	44,172

Non-controlling Interest - Op76

Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) $ in Thousands	Jun. 30, 2017	Dec. 31, 2016
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%	1.30%
Non- Controlling Interest
Noncontrolling Interest
Distribution payable	$ 570	$ 570

Non-controlling Interest - Op77

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		6 Months Ended
	Jun. 30, 2017	Jun. 30, 2016	Jun. 30, 2017	Jun. 30, 2016
Noncontrolling Interest
Net income (loss) allocated	$ 670	$ (75)	$ 1,856	$ (1,958)
Distributions paid	$ 570	$ 570	$ 1,140	$ 1,140

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2017	Dec. 31, 2016
Commitments and Contingencies Disclosure [Abstract]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 12.6	$ 15.5
Unfunded commitment	$ 6.4	$ 9.7