Invesco Mortgage Capital (IVR) 10-Q 7 Aug 18 2018 Q2 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2018	Aug. 03, 2018
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, 2018
Document Fiscal Year Focus	2,018
Document Fiscal Period Focus	Q2
Amendment Flag	false
Entity Common Stock, Shares Outstanding		111,643,188

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively)	$ 17,583,187	$ 18,190,754
Commercial loans, held-for-investment	127,607	191,808
Cash and cash equivalents	70,254	88,381
Restricted cash	0	620
Due from counterparties	7,255	0
Investment related receivable	70,839	73,217
Derivative assets, at fair value	47,509	6,896
Other assets	108,124	105,580
Total assets	18,014,775	18,657,256
Liabilities:
Repurchase agreements	13,702,321	14,080,801
Secured loans	1,650,000	1,650,000
Exchangeable senior notes, net	0	143,231
Derivative liabilities, at fair value	6,071	32,765
Dividends and distributions payable	50,201	50,193
Investment related payable	23,562	5,191
Accrued interest payable	18,886	17,845
Collateral held payable	39,748	7,327
Accounts payable and accrued expenses	1,705	2,200
Due to affiliate	10,558	10,825
Total liabilities	15,503,052	16,000,378
Commitments and contingencies (See Note 16):
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,643,188 and 111,624,159 shares issued and outstanding, respectively	1,116	1,116
Additional paid in capital	2,384,902	2,384,356
Accumulated other comprehensive income	89,461	261,029
Retained earnings (distributions in excess of earnings)	(551,632)	(579,334)
Total stockholders’ equity	2,487,171	2,630,491
Non-controlling interest	24,552	26,387
Total equity	2,511,723	2,656,878
Total liabilities and equity	18,014,775	18,657,256
Series A Preferred Stock
Equity:
Preferred Stock	135,356	135,356
Series B Preferred Stock
Equity:
Preferred Stock	149,860	149,860
Series C Preferred Stock
Equity:
Preferred Stock	$ 278,108	$ 278,108

CONDENSED CONSOLIDATED BALANCE3

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Preferred Stock - par value (in usd per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized	450,000,000	450,000,000
Common Stock - shares issued	111,643,188	111,624,159
Common Stock - shares outstanding	111,643,188	111,624,159
MBS and GSE CRT pledged as collateral	$ 17,047,937	$ 17,560,811
Series A 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 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
Series C Preferred Stock
Preferred Stock - dividend rate stated percentage	7.50%	7.50%
Preferred Stock - shares issued	11,500,000	11,500,000
Preferred Stock - shares outstanding	11,500,000	11,500,000
Preferred Stock - liquidation preference value	$ 287,500	$ 287,500

CONDENSED CONSOLIDATED STATEMEN

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Interest Income
Mortgage-backed and credit risk transfer securities	$ 147,548	$ 121,027	$ 296,551	$ 239,900
Commercial loans	4,051	6,021	8,273	11,785
Total interest income	151,599	127,048	304,824	251,685
Interest Expense
Repurchase agreements	69,389	36,072	128,974	66,019
Secured loans	8,471	4,535	15,398	7,948
Exchangeable senior notes	0	3,504	1,621	8,512
Total interest expense	77,860	44,111	145,993	82,479
Net interest income	73,739	82,937	158,831	169,206
Other Income (loss)
Gain (loss) on investments, net	(36,377)	11,175	(196,747)	9,322
Equity in earnings (losses) of unconsolidated ventures	798	(154)	1,694	(1,688)
Gain (loss) on derivative instruments, net	67,169	(53,513)	200,536	(48,051)
Realized and unrealized credit derivative income (loss), net	735	21,403	3,900	41,358
Net loss on extinguishment of debt	0	(526)	(26)	(5,237)
Other investment income (loss), net	(2,160)	2,533	942	3,862
Total other income (loss)	30,165	(19,082)	10,299	(434)
Expenses
Management fee – related party	10,102	9,027	20,323	17,828
General and administrative	1,525	1,608	3,281	3,692
Total expenses	11,627	10,635	23,604	21,520
Net income	92,277	53,220	145,526	147,252
Net income attributable to non-controlling interest	1,163	670	1,834	1,856
Net income attributable to Invesco Mortgage Capital Inc.	91,114	52,550	143,692	145,396
Dividends to preferred stockholders	11,106	5,716	22,213	11,432
Net income attributable to common stockholders	$ 80,008	$ 46,834	$ 121,479	$ 133,964
Earnings per share:
Net income attributable to common shareholders (basic) (usd per share)	$ 0.72	$ 0.42	$ 1.09	$ 1.20
Net income attributable to common shareholders (diluted) (usd per share)	0.72	0.41	1.08	1.15
Dividends declared per common share (usd per share)	$ 0.42	$ 0.4	$ 0.84	$ 0.8

CONDENSED CONSOLIDATED STATEME5

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Statement of Comprehensive Income [Abstract]
Net income	$ 92,277	$ 53,220	$ 145,526	$ 147,252
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	(47,929)	39,633	(180,246)	55,922
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	9,889	651	19,126	1,501
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,898)	(6,369)	(13,437)	(12,667)
Currency translation adjustments on investment in unconsolidated venture	486	139	798	(476)
Total other comprehensive income (loss)	(44,452)	34,054	(173,759)	44,280
Comprehensive income (loss)	47,825	87,274	(28,233)	191,532
Less: Comprehensive (income) loss attributable to non-controlling interest	(602)	(1,099)	357	(2,414)
Less: Dividends to preferred stockholders	(11,106)	(5,716)	(22,213)	(11,432)
Comprehensive income (loss) attributable to common stockholders	$ 36,117	$ 80,459	$ (50,089)	$ 177,686

CONDENSED CONSOLIDATED STATEME6

CONDENSED CONSOLIDATED STATEMENT OF EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Preferred StockSeries A Preferred Stock	Preferred StockSeries B Preferred Stock	Preferred StockSeries C Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Distributions in excess of earnings)	Total Stockholders’ Equity	Non- Controlling Interest
Balance at beginning of period at Dec. 31, 2016							$ 293,668
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	$ 147,252
Other comprehensive income (loss)	44,280
Rebalancing of ownership percentage of non-controlling interest	1
Balance at end of period at Jun. 30, 2017							337,391
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 (loss)	34,054
Rebalancing of ownership percentage of non-controlling interest	1
Balance at end of period at Jun. 30, 2017							337,391
Beginning Balance (in shares) at Dec. 31, 2017		5,600,000	6,200,000	11,500,000	111,624,159
Balance at beginning of period at Dec. 31, 2017	2,656,878	$ 135,356	$ 149,860	$ 278,108	$ 1,116	$ 2,384,356	261,029	$ (579,334)	$ 2,630,491	$ 26,387
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	145,526							143,692	143,692	1,834
Other comprehensive income (loss)	(173,759)						(171,568)		(171,568)	(2,191)
Stock awards (in shares)					19,029
Common stock dividends	(93,777)							(93,777)	(93,777)
Common unit dividends	(1,197)									(1,197)
Preferred stock dividends	(22,213)							(22,213)	(22,213)
Amortization of equity-based compensation	265					262			262	3
Rebalancing of ownership percentage of non-controlling interest						284			284	(284)
Ending Balance (in shares) at Jun. 30, 2018		5,600,000	6,200,000	11,500,000	111,643,188
Balance at end of period at Jun. 30, 2018	2,511,723	$ 135,356	$ 149,860	$ 278,108	$ 1,116	2,384,902	89,461	(551,632)	2,487,171	24,552
Balance at beginning of period at Mar. 31, 2018							133,352
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	92,277
Other comprehensive income (loss)	(44,452)
Ending Balance (in shares) at Jun. 30, 2018		5,600,000	6,200,000	11,500,000	111,643,188
Balance at end of period at Jun. 30, 2018	$ 2,511,723	$ 135,356	$ 149,860	$ 278,108	$ 1,116	$ 2,384,902	$ 89,461	$ (551,632)	$ 2,487,171	$ 24,552

CONDENSED CONSOLIDATED STATEME7

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017
Cash Flows from Operating Activities
Net income	$ 145,526	$ 147,252
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	25,657	37,534
Realized and unrealized (gain) loss on derivative instruments, net	(217,159)	5,191
Realized and unrealized (gain) loss on credit derivatives, net	7,371	(29,707)
Gain (loss) on investments, net	(196,747)	9,322
(Income) loss from investments in unconsolidated ventures in excess of distributions received	(1,150)	2,106
Other amortization	(13,052)	(11,656)
Net loss on extinguishment of debt	26	5,237
(Gain) loss on foreign currency transactions, net	1,099	(2,229)
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	2,267	(2,497)
Increase (decrease) in operating liabilities	435	(3,016)
Net cash provided by operating activities	147,767	138,893
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(1,213,558)	(2,533,663)
(Contributions to) distributions from investments in unconsolidated ventures, net	(1,077)	7,408
Change in other assets	0	(3,457)
Principal payments from mortgage-backed and credit risk transfer securities	1,061,392	1,081,479
Proceeds from sale of mortgage-backed and credit risk transfer securities	387,726	572,616
Proceeds from/ (payments for) settlement or termination of forwards, swaps and futures, net	149,852	(25,311)
Net change in due from counterparties and collateral held payable	25,165	1,771
Principal payments from commercial loans held-for-investment	64,814	0
Origination and advances of commercial loans, net of origination fees	(1,677)	(3,170)
Net cash provided by (used in) investing activities	472,637	(902,327)
Cash Flows from Financing Activities
Due from counterparties - secured loans	0	(1,246)
Proceeds from repurchase agreements	72,281,324	63,154,822
Principal repayments of repurchase agreements	(72,659,696)	(62,200,623)
Extinguishment of exchangeable senior notes	(143,433)	(185,386)
Payments of deferred costs	(167)	0
Payments of dividends and distributions	(117,179)	(101,852)
Net cash (used in) provided by financing activities	(639,151)	665,715
Net change in cash, cash equivalents and restricted cash	(18,747)	(97,719)
Cash, cash equivalents and restricted cash, beginning of period	89,001	161,788
Cash, cash equivalents and restricted cash, end of period	70,254	64,069
Supplement Disclosure of Cash Flow Information
Interest paid	158,027	97,003
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	(161,120)	57,423
Dividends and distributions declared not paid	50,201	50,930
Net change in investment related payable (receivable)	(18,871)	(163,489)
Net change in repurchase agreements, not settled	(108)	4,081
Change in due from counterparties and collateral held payable	$ 0	$ 86,450

Organization and Business Opera

Organization and Business Operations	6 Months Ended
	Jun. 30, 2018
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, 2018 , 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"); • Commercial mortgage-backed securities (“CMBS”) 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 CMBS"); • RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency (“non-Agency CMBS”); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); • 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, 2018
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, 2017 . 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, 2017 , other than the significant accounting policy disclosed below. Restricted Cash Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments. Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes. Accounting Pronouncements Recently Adopted Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type. Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the six months ended June 30, 2017 . The adoption resulted in a $15.5 million decrease in net cash provided by operating activities, $17.3 million decrease in net cash used in investing activities and $1.8 million decrease in net cash provided by financing activities. We included restricted cash of $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. We did not have any restricted cash as of June 30, 2018. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. 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, 2018
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, 2018 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,151,237 3,151,237 Non-Agency RMBS 1,220,076 1,220,076 Investments in unconsolidated ventures 28,997 28,997 Total 4,400,310 4,400,310 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, 2018
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, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,532,605 85,680 2,618,285 (95,101 ) 2,523,184 2.32 % 1.99 % 30 year fixed-rate 7,602,464 284,277 7,886,741 (221,602 ) 7,665,139 3.14 % 2.95 % ARM * 215,178 1,300 216,478 (1,677 ) 214,801 2.58 % 2.43 % Hybrid ARM 1,566,739 23,143 1,589,882 (22,831 ) 1,567,051 2.56 % 2.28 % Total Agency RMBS pass-through 11,916,986 394,400 12,311,386 (341,211 ) 11,970,175 2.88 % 2.65 % Agency-CMO (3) 995,408 (745,565 ) 249,843 (11,027 ) 238,816 3.26 % 3.04 % Agency CMBS 150,268 1,940 152,208 19 152,227 3.46 % 3.63 % Non-Agency CMBS (4) 3,871,603 (700,887 ) 3,170,716 (19,479 ) 3,151,237 5.02 % 4.95 % Non-Agency RMBS (5)(6)(7) 2,945,105 (1,851,911 ) 1,093,194 126,882 1,220,076 7.09 % 7.12 % GSE CRT (8) 744,545 22,913 767,458 83,198 850,656 2.81 % 3.37 % Total 20,623,915 (2,879,110 ) 17,744,805 (161,618 ) 17,583,187 3.53 % 3.36 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of June 30, 2018 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 79.3% of principal/notional balance, 17.0% of amortized cost and 16.1% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.7% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 47.6% variable rate, 46.0% fixed rate and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $190.7 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("Non-Agency IO") which represent 55.7% of principal/notional balance, 2.4% of amortized cost and 2.3% of fair value. (8) GSE CRT 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. December 31, 2017 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,917,307 119,120 3,036,427 (61,645 ) 2,974,782 2.17 % 1.98 % 30 year fixed-rate 7,354,211 295,977 7,650,188 (9,648 ) 7,640,540 3.09 % 2.90 % ARM 238,486 1,609 240,095 1,105 241,200 2.60 % 2.36 % Hybrid ARM 1,696,148 26,066 1,722,214 (2,829 ) 1,719,385 2.54 % 2.25 % Total Agency RMBS pass-through 12,206,152 442,772 12,648,924 (73,017 ) 12,575,907 2.79 % 2.58 % Agency-CMO (3) 1,226,539 (942,290 ) 284,249 (10,306 ) 273,943 2.91 % 2.74 % Non-Agency CMBS (4) 3,879,775 (704,097 ) 3,175,678 40,739 3,216,417 4.92 % 4.77 % Non-Agency RMBS (5)(6)(7) 2,785,704 (1,661,683 ) 1,124,021 133,587 1,257,608 7.19 % 7.18 % GSE CRT (8) 757,183 24,306 781,489 85,390 866,879 2.45 % 2.79 % Total 20,855,353 (2,840,992 ) 18,014,361 176,393 18,190,754 3.42 % 3.27 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% o f principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value. (8) GSE CRT 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. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2018 and December 31, 2017 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2018 and December 31, 2017, approximately 41% and 36% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. June 30, 2018 December 31, 2017 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 2,170,906 352,278 2,523,184 2,842,440 132,342 2,974,782 30 year fixed-rate 2,216,755 5,448,384 7,665,139 2,467,871 5,172,669 7,640,540 ARM * 214,801 — 214,801 241,200 — 241,200 Hybrid ARM 1,535,502 31,549 1,567,051 1,719,385 — 1,719,385 Total RMBS Agency pass-through 6,137,964 5,832,211 11,970,175 7,270,896 5,305,011 12,575,907 Agency-CMO 182,293 56,523 238,816 203,351 70,592 273,943 Agency CMBS — 152,227 152,227 — — — Non-Agency CMBS 2,294,341 856,896 3,151,237 2,376,413 840,004 3,216,417 Non-Agency RMBS 1,075,371 144,705 1,220,076 1,236,178 21,430 1,257,608 GSE CRT 619,553 231,103 850,656 635,537 231,342 866,879 Total 10,309,522 7,273,665 17,583,187 11,722,375 6,468,379 18,190,754 The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2018 and December 31, 2017 are presented below. June 30, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,743,581 2,880,334 20,623,915 Unamortized premium 471,489 — 471,489 Unamortized discount (552,058 ) (2,798,541 ) (3,350,599 ) Gross unrealized gains (1) 253,314 7,010 260,324 Gross unrealized losses (1) (415,201 ) (6,741 ) (421,942 ) Fair value 17,501,125 82,062 17,583,187 December 31, 2017 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,974,390 2,880,963 20,855,353 Unamortized premium 521,626 — 521,626 Unamortized discount (577,344 ) (2,785,274 ) (3,362,618 ) Gross unrealized gains (1) 336,543 5,113 341,656 Gross unrealized losses (1) (155,146 ) (10,117 ) (165,263 ) Fair value 18,100,069 90,685 18,190,754 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2018 and 2017 is provided later in this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 Less than one year 135,350 135,559 Greater than one year and less than five years 6,166,267 7,934,836 Greater than or equal to five years 11,281,570 10,120,359 Total 17,583,187 18,190,754 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, 2018 and December 31, 2017 . June 30, 2018 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 385,423 (5,524 ) 87 1,780,406 (92,961 ) 127 2,165,829 (98,485 ) 214 30 year fixed-rate 5,930,551 (182,696 ) 212 890,051 (50,074 ) 58 6,820,602 (232,770 ) 270 ARM 157,531 (2,230 ) 17 530 (26 ) 1 158,061 (2,256 ) 18 Hybrid ARM 852,306 (12,652 ) 94 436,416 (12,707 ) 46 1,288,722 (25,359 ) 140 Total Agency RMBS pass-through (1) 7,325,811 (203,102 ) 410 3,107,403 (155,768 ) 232 10,433,214 (358,870 ) 642 Agency-CMO (2) 149,189 (9,756 ) 43 71,796 (3,873 ) 5 220,985 (13,629 ) 48 Agency CMBS (3) 69,365 (78 ) 1 — — — 69,365 (78 ) 1 Non-Agency CMBS (4) 1,842,373 (35,757 ) 136 207,220 (11,547 ) 17 2,049,593 (47,304 ) 153 Non-Agency RMBS (5) 250,751 (1,687 ) 30 50,145 (374 ) 7 300,896 (2,061 ) 37 Total 9,637,489 (250,380 ) 620 3,436,564 (171,562 ) 261 13,074,053 (421,942 ) 881 (1) Amounts disclosed includes Agency RMBS with a fair value of $ 5.3 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 177.0 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.4 million and $18.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.5 million and $856,000 , respectively. (3) Fair value option has been elected for all Agency CMBS. (4) Amounts disclosed includes Non-Agency CMBS with a fair value of $693.4 million for which the fair value option has been elected. Such securities have unrealized losses of $21.8 million . (5) Amounts disclosed includes Non-Agency RMBS and Non-Agency IO with a fair value of $111.2 million and $10.7 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $4,000 and $247,000 , respectively. December 31, 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 111,020 (321 ) 26 2,406,021 (67,285 ) 133 2,517,041 (67,606 ) 159 30 year fixed-rate 3,677,576 (20,730 ) 107 963,547 (27,158 ) 56 4,641,123 (47,888 ) 163 ARM 101,173 (902 ) 12 — — — 101,173 (902 ) 12 Hybrid ARM 614,321 (4,189 ) 73 517,642 (8,091 ) 47 1,131,963 (12,280 ) 120 Total Agency RMBS pass-through (1) 4,504,090 (26,142 ) 218 3,887,210 (102,534 ) 236 8,391,300 (128,676 ) 454 Agency-CMO (2) 75,299 (10,433 ) 44 81,988 (2,309 ) 5 157,287 (12,742 ) 49 Non-Agency CMBS (3) 892,553 (17,612 ) 81 135,139 (3,792 ) 12 1,027,692 (21,404 ) 93 Non-Agency RMBS (4) 84,439 (709 ) 15 96,263 (1,732 ) 11 180,702 (2,441 ) 26 Total 5,556,381 (54,896 ) 358 4,200,600 (110,367 ) 264 9,756,981 (165,263 ) 622 (1) Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 22.8 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000 , respectively. (3) Amounts disclosed includes Non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million . (4) Amounts disclosed includes Non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000 . Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $366.1 million at June 30, 2018 ( December 31, 2017 : $131.3 million ). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at June 30, 2018 and December 31, 2017 , any unrealized losses on these securities are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS and non-Agency CMBS were $55.9 million ( December 31, 2017 : $33.9 million ) at June 30, 2018 . We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rates, 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 ("OTTI") 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 summarizes OTTI included in earnings for the three and six months ended June 30, 2018 and 2017 : Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 RMBS interest-only securities 2,089 3,585 6,398 3,876 Non-Agency RMBS (1) — 513 50 754 Total 2,089 4,098 6,448 4,630 (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. OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations because we account for these securities under the fair value option. As of June 30, 2018 , 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 components of our total gain (loss) on investments, net for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Gross realized gains on sale of investments 35 1,311 35 2,215 Gross realized losses on sale of investments (11,560 ) (1,962 ) (20,797 ) (3,873 ) Other-than-temporary impairment losses (2,089 ) (4,098 ) (6,448 ) (4,630 ) Net unrealized gains and losses on MBS accounted for under the fair value option (22,941 ) 7,715 (170,136 ) 4,113 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 182 8,195 616 11,474 Net unrealized gains and losses on trading securities (4 ) 14 (17 ) 23 Total gain (loss) on investments, net (36,377 ) 11,175 (196,747 ) 9,322 The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2018 and 2017 . 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, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 105,430 (22,275 ) 83,155 Non-Agency CMBS 38,101 1,195 39,296 Non-Agency RMBS 13,195 5,159 18,354 GSE CRT 7,180 (696 ) 6,484 Other 259 — 259 Total 164,165 (16,617 ) 147,548 For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 91,979 (27,775 ) 64,204 Non-Agency CMBS 31,506 (1,852 ) 29,654 Non-Agency RMBS 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 Other 95 — 95 Total 147,267 (26,240 ) 121,027 For the six months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 213,747 (45,497 ) 168,250 Non-Agency CMBS 75,394 2,621 78,015 Non-Agency RMBS 27,207 10,336 37,543 GSE CRT 13,705 (1,393 ) 12,312 Other 431 — 431 Total 330,484 (33,933 ) 296,551 For the six months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 183,210 (56,353 ) 126,857 Non-Agency CMBS 61,182 (4,486 ) 56,696 Non-Agency RMBS 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 Other 156 — 156 Total 293,336 (53,436 ) 239,900

Commercial Loans Held-for-Inves

Commercial Loans Held-for-Investment	6 Months Ended
	Jun. 30, 2018
Receivables [Abstract]
Commercial Loans Held-for-Investment	Commercial Loans Held-for-Investment The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of June 30, 2018 and December 31, 2017 . $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) June 30, 2018 5 127,638 (31 ) 127,607 8.96 % 0.7 December 31, 2017 8 191,894 (86 ) 191,808 8.52 % 1.2 (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, 2018 and December 31, 2017 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, 2017 .

Other Assets

Other Assets	6 Months Ended
	Jun. 30, 2018
Schedule of Investments [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of June 30, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 28,997 25,972 Investment in exchange-traded fund 3,962 3,979 Prepaid expenses and other assets 915 1,379 Total 108,124 105,580 IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the 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, 2018
Debt Disclosure [Abstract]
Borrowings	Borrowings We have financed the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following tables summarize certain characteristics of our borrowings at June 30, 2018 and December 31, 2017 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 10,537,934 2.13 % 22 Agency CMBS 133,417 2.10 % 30 Non-Agency CMBS 1,450,627 3.25 % 23 Non-Agency RMBS 917,106 3.28 % 23 GSE CRT 663,237 3.18 % 23 Total Repurchase Agreements 13,702,321 2.38 % 23 Secured Loans 1,650,000 2.18 % 2,136 Total Borrowings 15,352,321 2.36 % 250 $ in thousands December 31, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,111,755 1.58 % 25 Non-Agency CMBS 1,396,330 2.61 % 9 Non-Agency RMBS 915,225 2.77 % 31 GSE CRT 657,491 2.78 % 24 Total Repurchase Agreements 14,080,801 1.82 % 25 Secured Loans 1,650,000 1.52 % 2,317 Exchangeable Senior Notes (1) 143,410 5.00 % 74 Total Borrowings 15,874,211 1.82 % 263 (1) The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017 . The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017 . The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: June 30, 2018 7/1/2018 - 6/30/2019 13,702,321 7/1/2019 - 6/30/2020 300,000 7/1/2020 - 6/30/2021 100,000 7/1/2021 - 6/30/2022 — 7/1/2022 - 6/30/2023 — Thereafter 1,250,000 Total 15,352,321 The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,808,727 11.8 % 1,897,787 ING Financial Market 1,348,953 8.8 % 1,425,690 Royal Bank of Canada 1,024,743 6.7 % 1,232,629 E D & F Man Capital Markets 981,383 6.4 % 1,034,330 Industrial and Commercial Bank of China 964,543 6.3 % 1,018,444 Mirae Asset Securities 955,053 6.2 % 1,011,962 MUFG Securities 800,043 5.2 % 865,731 Citigroup 739,881 4.8 % 862,726 Amherst Pierpont Securities 534,560 3.5 % 563,108 KGS-Alpha Capital Markets 468,171 3.0 % 497,673 JP Morgan 433,950 2.8 % 505,625 South Street Securities 391,157 2.5 % 410,702 Societe Generale 373,836 2.4 % 471,416 Goldman Sachs 331,685 2.2 % 424,913 Mizuho Securities 285,212 1.9 % 302,605 BNP Paribas Securities 280,800 1.8 % 312,536 Guggenheim Liquidity Services 270,239 1.8 % 285,207 Natixis Securities 264,068 1.7 % 296,149 Bank of Nova Scotia 236,178 1.5 % 251,630 Wells Fargo Securities 218,878 1.4 % 263,463 All other counterparties (2) 990,261 6.6 % 1,120,124 Total Repurchase Agreement Counterparties 13,702,321 89.3 % 15,054,450 Secured Loans Counterparty: FHLBI 1,650,000 10.7 % 1,910,709 Total 15,352,321 100.0 % 16,965,159 (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, 2017 . (2) Represents amounts outstanding with nine counterparties. December 31, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,745,684 11.2 % 1,839,411 ING Financial Markets 1,482,603 9.4 % 1,571,061 Royal Bank of Canada 1,144,856 7.3 % 1,375,285 Industrial and Commercial Bank of China 1,038,844 6.6 % 1,102,543 E D & F Man Capital Markets 1,028,437 6.5 % 1,085,429 Mirae Asset Securities 958,756 6.1 % 1,018,664 MUFG Securities 865,201 5.5 % 936,071 Citigroup 724,094 4.6 % 841,977 Amherst Pierpont Securities 722,080 4.6 % 764,713 KGS-Alpha Capital Markets 461,098 2.9 % 491,313 JP Morgan 451,941 2.9 % 523,590 Societe Generale 386,737 2.5 % 495,093 BNP Paribas Securities 348,340 2.2 % 388,091 South Street Securities 332,623 2.1 % 354,689 Goldman Sachs 324,152 2.1 % 419,713 Mizuho Securities 310,835 2.0 % 330,555 Guggenheim Liquidity Services 306,081 1.9 % 322,452 Bank of Nova Scotia 289,705 1.8 % 301,715 Natixis Securities 275,764 1.8 % 302,291 All other counterparties (2) 882,970 5.5 % 1,058,759 Total Repurchase Agreement Counterparties 14,080,801 89.5 % 15,523,415 Secured Loans Counterparty: FHLBI 1,650,000 10.5 % 1,927,496 Total 15,730,801 100.0 % 17,450,911 (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, 2017 . (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, 2018 . Our repurchase agreement collateral ratio (MBS and GSE CRTs pledged as collateral/Amount Outstanding) was 110% as of June 30, 2018 ( December 31, 2017 : 110% ). 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, 2018 , 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, 2018 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 1.87% and a weighted average maturity of 5.9 years. The Federal Housing Finance Agency’s ("FHFA") final rule governing Federal Home Loan Bank membership (the "FHFA Rule") became effective on February 19, 2016. 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. 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 million in aggregate principal amount of Exchangeable Senior Notes (the "Notes") due March 15, 2018. We retired a portion of the Notes prior to their maturity and fully retired the Notes upon their maturity on March 15, 2018. We did not incur a loss on retirement of the Notes in the three months ended June 30, 2018. In the three months ended June 30, 2017 , we retired $31.2 million of the Notes for a repurchase price of $31.6 million . In the six months ended June 30, 2018 , we retired $143.4 million ( 2017 : $181.2 million ) of the Notes for a repurchase price of $143.4 million ( 2017 : $185.4 million ). Accrued interest payable on the Notes was approximately $2.1 million as of December 31, 2017 .

Collateral Positions

Collateral Positions	6 Months Ended
	Jun. 30, 2018
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, futures contracts and currency forward contracts as of June 30, 2018 and December 31, 2017 . 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, 2017 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 condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed 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, 2018 and December 31, 2017 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged June 30, 2018 December 31, 2017 Repurchase Agreements: Agency RMBS 11,166,220 11,788,765 Agency CMBS 140,714 — Non-Agency CMBS 1,809,084 853,446 Non-Agency RMBS 1,130,621 1,737,831 GSE CRT 807,811 1,143,373 Total repurchase agreements collateral pledged 15,054,450 15,523,415 Secured Loans: Agency RMBS 642,808 623,181 Non-Agency CMBS 1,267,901 1,304,315 Total secured loans collateral pledged 1,910,709 1,927,496 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS (1) 82,778 109,900 Cash 7,255 620 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 90,033 110,520 Total: Mortgage-backed and credit risk transfer securities 17,047,937 17,560,811 Cash 7,255 620 Total collateral pledged 17,055,192 17,561,431 Collateral Held June 30, 2018 December 31, 2017 Interest Rate Swaps: Cash 39,748 7,327 Total collateral held 39,748 7,327 (1) During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above. 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 a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH. Clearnet Limited ("LCH") through a Futures Commission Merchant ("FCM"). 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. The FCM determines the fair value of our centrally cleared swaps, including daily variation margin. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Accordingly, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Futures Contracts We are required to pledge initial margin and daily variation margin for our futures contracts that is based on the fair value of our contracts as determined by our FCM. The daily variation margin payment for our futures contracts is characterized as settlement of the futures contract itself rather than collateral. Accordingly, cash collateral pledged on our futures contracts is settled against the fair value of these contracts. 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, 2018
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 2018 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps (1) (2) 8,620,000 1,500,000 (1,250,000 ) 8,870,000 Futures Contracts — 715,000 (430,000 ) 285,000 Currency Forward Contracts 76,859 156,754 (156,159 ) 77,454 Credit Derivatives 553,493 — (11,683 ) 541,810 Total 9,250,352 2,371,754 (1,847,842 ) 9,774,264 (1) Notional amount as of June 30, 2018 excludes $1.6 billion of interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2017 excludes $500.0 million of interest rate swaps with forward start dates. 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 making fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount. 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 $6.9 million as a decrease ( June 30, 2017 : $6.4 million as a decrease) and $13.4 million as a decrease ( June 30, 2017 : $12.7 million as a decrease) to interest expense for the three and six months ended June 30, 2018 , respectively. During the next 12 months, we estimate that $24.2 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2018 , $110.6 million ( December 31, 2017 : $123.9 million ) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified to interest expense over a period of time through December 15, 2023. As of June 30, 2018 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.50 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 1-month LIBOR 200,000 3/15/2021 3.14 % CME Central Clearing 3-month LIBOR 500,000 5/24/2021 2.25 % Citibank, N.A. 1-month LIBOR 200,000 5/25/2021 2.83 % CME Central Clearing 3-month LIBOR 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 1-month LIBOR 550,000 2/24/2022 2.45 % CME Central Clearing 3-month LIBOR 1,000,000 6/9/2022 2.21 % CME Central Clearing 3-month LIBOR 1,000,000 8/14/2022 1.87 % The Royal Bank of Scotland Plc 1-month LIBOR 500,000 8/15/2023 1.98 % CME Central Clearing 1-month LIBOR 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 1-month LIBOR 500,000 12/15/2023 2.20 % CME Central Clearing 3-month LIBOR 450,000 1/12/2024 2.10 % CME Central Clearing 3-month LIBOR 450,000 1/25/2024 2.15 % LCH Central Clearing 3-month LIBOR 1,000,000 2/6/2025 2.77 % CME Central Clearing 3-month LIBOR 100,000 4/2/2025 2.04 % LCH Central Clearing 3-month LIBOR 220,000 8/31/2027 2.12 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.78 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.39 % Total 8,870,000 2.37 % As of June 30, 2018 , we had the following additional interest rate swaps outstanding with forward start dates: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing (1) 3-month LIBOR 600,000 2/5/2026 2.64 % LCH Central Clearing (2) 1-month LIBOR 200,000 7/3/2028 2.78 % LCH Central Clearing (3) 3-month LIBOR 200,000 3/17/2031 2.74 % LCH Central Clearing (4) 1-month LIBOR 600,000 8/24/2033 3.18 % Total 1,600,000 2.87 % (1) Forward start date of 2/5/2021 (2) Forward start date of 7/2/2018 (3) Forward start date of 3/15/2021 (4) Forward start date of 8/24/2023 Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. Futures and Currency Forward Contracts We purchase or sell U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales of U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. 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. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of June 30, 2018 , we have $50.8 million ( December 31, 2017 : $49.7 million ) of notional amount of forward contracts denominated in Pound Sterling and $26.7 million ( December 31, 2017 : $27.2 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 condensed consolidated balance sheets. At June 30, 2018 and December 31, 2017 , terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2018 December 31, 2017 Fair value amount 38,029 45,400 Notional amount 541,810 553,493 Maximum potential amount of future undiscounted payments 541,810 553,493 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, 2018 and December 31, 2017 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2018 As of December 31, 2017 As of June 30, 2018 As of December 31, 2017 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 44,122 6,896 Interest Rate Swaps Liability 3,415 31,548 Currency Forward Contracts 3,387 — Currency Forward Contracts — 1,217 Futures Contracts 2,656 — 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, 2018 and 2017 . $ in thousands Three months ended June 30, 2018 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 — 5,638 (4,903 ) 735 $ 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 Six months ended June 30, 2018 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 — 11,271 (7,371 ) 3,900 $ 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 The following table summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 : $ in thousands Three Months Ended June 30, 2018 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 34,273 (4,511 ) 32,985 62,747 Futures Contracts 640 — (1,044 ) (404 ) Currency Forward Contracts 1,361 — 3,465 4,826 Total 36,274 (4,511 ) 35,406 67,169 $ 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 Six Months Ended June 30, 2018 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 156,546 (16,623 ) 65,359 205,282 Futures Contracts (4,637 ) — (2,656 ) (7,293 ) Currency Forward Contracts (2,057 ) — 4,604 2,547 Total 149,852 (16,623 ) 67,307 200,536 $ in thousands Six Months Ended June 30, 2017 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 (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 ) 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, 2018 , 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 $3.5 million . We have minimum collateral posting thresholds with certain of our derivative counterparties and have pledged collateral of $5.3 million of Agency RMBS as of June 30, 2018 related to bilateral interest rate swap agreements. If we had breached any of these provisions at June 30, 2018 , 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, which includes accrued interest and variation margin but excludes any adjustment for non-performance risk, was a net asset of $6.7 million as of June 30, 2018 . We were in compliance with all of the financial provisions of these counterparty agreements as of June 30, 2018 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	6 Months Ended
	Jun. 30, 2018
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 offset 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, 2018 and December 31, 2017 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of June 30, 2018 , our derivative asset of $6.7 million ( December 31, 2017 : derivative liability of $10.3 million ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. Offsetting of Derivative Assets As of June 30, 2018 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) (3) 40,773 — 40,773 — (39,389 ) 1,384 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2018 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 (3) 6,071 — 6,071 (3,415 ) (2,656 ) — Repurchase Agreements (4) 13,702,321 — 13,702,321 (13,702,321 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,358,392 — 15,358,392 (15,355,736 ) (2,656 ) — Offsetting of Derivative Assets As of December 31, 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) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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 (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2018 and December 31, 2017 , 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 derivatives was $82.8 million ( December 31, 2017 : $109.9 million ) at June 30, 2018 , of which $77.4 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $39.7 million and $7.3 million at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $7.3 million and $620,000 at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at June 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.1 billion and $15.5 billion at June 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2018 and December 31, 2017 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 2018
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, 2018 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) — 17,545,158 38,029 — 17,583,187 Derivative assets — 47,509 — — 47,509 Other assets (4) 3,962 — — 28,997 32,959 Total assets 3,962 17,592,667 38,029 28,997 17,663,655 Liabilities: Derivative liabilities 2,656 3,415 — — 6,071 Total liabilities 2,656 3,415 — — 6,071 December 31, 2017 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) — 18,145,354 45,400 — 18,190,754 Derivative assets — 6,896 — — 6,896 Other assets (4) 3,979 — — 25,972 29,951 Total assets 3,979 18,152,250 45,400 25,972 18,227,601 Liabilities: Derivative liabilities — 32,765 — — 32,765 Total liabilities — 32,765 — — 32,765 (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, 2018 , the net embedded derivative asset position of $38.0 million includes $39.4 million of embedded derivatives in an asset position and $1.4 million of embedded derivatives in a liability position. As of December 31, 2017 , the net embedded derivative asset position of $45.4 million includes $46.5 million of embedded derivatives in an asset position and $1.1 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, 2018 and December 31, 2017 , the weighted average remaining term of investments in unconsolidated ventures is 2.2 and 1.9 years, respectively. (4) Includes $4.0 million and $4.0 million of investment in an exchange-traded fund as of June 30, 2018 and December 31, 2017 , 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 June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Beginning balance 42,932 31,243 45,400 17,095 Unrealized credit derivative gains (losses), net (4,903 ) 15,559 (7,371 ) 29,707 Ending balance 38,029 46,802 38,029 46,802 The following tables summarize 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, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 38,029 Market Comparables, Vendor Pricing Weighted average life 2.8 - 6.4 years 4.6 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 45,400 Market Comparables, Vendor Pricing Weighted average life 2.6 - 6.8 years 4.8 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, 2018 and December 31, 2017 : June 30, 2018 December 31, 2017 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 127,607 127,770 191,808 191,930 Other assets 74,250 74,250 74,250 74,250 Total 201,857 202,020 266,058 266,180 Financial Liabilities Repurchase agreements 13,702,321 13,702,411 14,080,801 14,080,460 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes — — 143,231 143,948 Total 15,352,321 15,352,411 15,874,032 15,874,408 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, 2018
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, 2018 , we reimbursed our Manager $217,000 ( June 30, 2017 : $202,000 ) and $431,000 ( June 30, 2017 : $387,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $24.2 million as of June 30, 2018 ( December 31, 2017 : $74.4 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. 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 including proceeds from the issuance of operating partnership units to an affiliate of our Manager, 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. The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Incurred costs, prepaid or expensed 1,300 1,249 2,792 2,794 Incurred costs, charged against equity as a cost of raising capital 2 — 167 — Total incurred costs, originally paid by our Manager 1,302 1,249 2,959 2,794 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, 2018
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. 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. In August 2017, we completed a public offering of 11,500,000 shares of 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock at the price of $25.00 per share. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 27, 2017, we had the option to redeem shares of Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of Series B Preferred Stock after December 27, 2024 and shares of Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock 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. Common Stock In December 2017, we entered into an equity distribution agreement with a placement agent under which we may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our automatic shelf registration statement (as amended and/or supplemented). As of June 30, 2018 , we have not sold any shares of common stock under the equity distribution agreement. 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, 2018 and 2017 , we did not repurchase any shares of our common stock. As of June 30, 2018 , we had authority to purchase 18,239,082 shares of our common stock through 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, 2018 , 771,823 shares of common stock remain available for future issuance under the Incentive Plan. We recognized compensation expense of approximately $106,000 ( June 30, 2017 : $112,000 ) and approximately $199,000 ( June 30, 2017 : $197,000 ) for shares issued to our independent directors under the Incentive Plan for the three and six months ended June 30, 2018 . During the three months ended June 30, 2018 and 2017 , we issued 6,465 shares and 5,292 shares of common stock, respectively, to our independent directors. During the six months ended June 30, 2018 and 2017 , we issued 13,642 shares and 10,748 shares of common stock, respectively, 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 $30,000 ( June 30, 2017 : $35,000 ) and approximately $44,000 ( June 30, 2017 : $66,000 ) for the three and six months ended June 30, 2018 for restricted stock units awarded to employees of our Manager and its affiliates under the Incentive Plan. Our Manager reimburses us for the cost of these restricted stock awards under the terms of our management agreement. At June 30, 2018 there was approximately $276,000 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, 2018 . Three Months Ended June 30, Six Months Ended June 30, 2018 2018 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 19,185 $ 14.56 19,827 $ 14.35 Shares granted during the period — — 7,055 15.37 Shares vested during the period — — (7,697 ) 14.75 Unvested at the end of the period 19,185 $ 14.56 19,185 $ 14.56 (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. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three and six months ended June 30, 2018 and 2017 . The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (47,929 ) — (47,929 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,889 — 9,889 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,898 ) (6,898 ) Currency translation adjustments on investment in unconsolidated venture 486 — — 486 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) AOCI balance at beginning of period 1,255 14,660 117,437 133,352 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) Other comprehensive income/(loss) attributable to non-controlling interest (5 ) 479 87 561 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 Total other comprehensive income/(loss) 139 40,284 (6,369 ) 34,054 AOCI balance at beginning of period (512 ) 161,381 142,896 303,765 Total other comprehensive income/(loss) 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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (180,246 ) — (180,246 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 19,126 — 19,126 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — (13,437 ) (13,437 ) Currency translation adjustments on investment in unconsolidated venture 798 — — 798 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) Other comprehensive income/(loss) attributable to non-controlling interest (9 ) 2,031 169 2,191 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 ) Total other comprehensive income/(loss) (476 ) 57,423 (12,667 ) 44,280 AOCI balance at beginning of period 95 144,458 149,115 293,668 Total other comprehensive income/(loss) (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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 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. Dividends On June 15, 2018 , we declared the following dividends: • a dividend of $0.42 per share of common stock to be paid on July 26, 2018 to stockholders of record as of the close of business on June 27, 2018 ; and • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on July 25, 2018 to stockholders of record as of the close of business on July 1, 2018 . On May 2, 2018 , we declared the following dividends: • a dividend of $0.4844 per share of Series B Preferred Stock payable on June 27, 2018 to stockholders of record as of the close of business on June 5, 2018 ; and • a dividend of $0.46875 per share of Series C Preferred Stock payable on June 27, 2018 to stockholders of record as of the close of business on June 5, 2018 .

Earnings per Common Share

Earnings per Common Share	6 Months Ended
	Jun. 30, 2018
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three and six months ended June 30, 2018 and 2017 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands except per share amounts 2018 2017 2018 2017 Numerator (Income) Basic Earnings: Net income available to common stockholders 80,008 46,834 121,479 133,964 Effect of dilutive securities: Income allocated to exchangeable senior notes — 3,504 1,621 8,512 Income allocated to non-controlling interest 1,163 670 1,834 1,856 Dilutive net income available to stockholders 81,171 51,008 124,934 144,332 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,641 111,608 111,635 111,603 Effect of dilutive securities: Restricted stock awards 19 20 19 20 Non-controlling interest OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 10,507 2,389 12,782 Dilutive Shares 113,085 123,560 115,468 125,830 Earnings per share: Net income attributable to common stockholders Basic 0.72 0.42 1.09 1.20 Diluted 0.72 0.41 1.08 1.15

Non-controlling Interest - Oper

Non-controlling Interest - Operating Partnership	6 Months Ended
	Jun. 30, 2018
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, 2018 and December 31, 2017 , 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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Net income allocated 1,163 670 1,834 1,856 Distributions paid 598 570 1,197 1,140 As of June 30, 2018 and December 31, 2017 , distributions payable to the non-controlling interest were $598,500 and $598,500 , respectively.

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2018
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, 2018 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, 2018 and December 31, 2017 , our undrawn capital and purchase commitments were $7.5 million and $10.2 million , respectively. As discussed in Note 5 - "Commercial Loans Held-for-Investment", we purchase and originate commercial loans. As of June 30, 2018 and December 31, 2017 , we have unfunded commitments on commercial loans held-for-investment of $2.7 million and $4.8 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, 2018
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, 2018
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, 2017 .
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.
Restricted Cash	Restricted Cash Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments. Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements	Accounting Pronouncements Recently Adopted Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type. Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the six months ended June 30, 2017 . The adoption resulted in a $15.5 million decrease in net cash provided by operating activities, $17.3 million decrease in net cash used in investing activities and $1.8 million decrease in net cash provided by financing activities. We included restricted cash of $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. We did not have any restricted cash as of June 30, 2018. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. 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, 2018
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, 2018 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,151,237 3,151,237 Non-Agency RMBS 1,220,076 1,220,076 Investments in unconsolidated ventures 28,997 28,997 Total 4,400,310 4,400,310

Mortgage-Backed and Credit Ri27

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	6 Months Ended
	Jun. 30, 2018
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,532,605 85,680 2,618,285 (95,101 ) 2,523,184 2.32 % 1.99 % 30 year fixed-rate 7,602,464 284,277 7,886,741 (221,602 ) 7,665,139 3.14 % 2.95 % ARM * 215,178 1,300 216,478 (1,677 ) 214,801 2.58 % 2.43 % Hybrid ARM 1,566,739 23,143 1,589,882 (22,831 ) 1,567,051 2.56 % 2.28 % Total Agency RMBS pass-through 11,916,986 394,400 12,311,386 (341,211 ) 11,970,175 2.88 % 2.65 % Agency-CMO (3) 995,408 (745,565 ) 249,843 (11,027 ) 238,816 3.26 % 3.04 % Agency CMBS 150,268 1,940 152,208 19 152,227 3.46 % 3.63 % Non-Agency CMBS (4) 3,871,603 (700,887 ) 3,170,716 (19,479 ) 3,151,237 5.02 % 4.95 % Non-Agency RMBS (5)(6)(7) 2,945,105 (1,851,911 ) 1,093,194 126,882 1,220,076 7.09 % 7.12 % GSE CRT (8) 744,545 22,913 767,458 83,198 850,656 2.81 % 3.37 % Total 20,623,915 (2,879,110 ) 17,744,805 (161,618 ) 17,583,187 3.53 % 3.36 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of June 30, 2018 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 79.3% of principal/notional balance, 17.0% of amortized cost and 16.1% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.7% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 47.6% variable rate, 46.0% fixed rate and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $190.7 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("Non-Agency IO") which represent 55.7% of principal/notional balance, 2.4% of amortized cost and 2.3% of fair value. (8) GSE CRT 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. December 31, 2017 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,917,307 119,120 3,036,427 (61,645 ) 2,974,782 2.17 % 1.98 % 30 year fixed-rate 7,354,211 295,977 7,650,188 (9,648 ) 7,640,540 3.09 % 2.90 % ARM 238,486 1,609 240,095 1,105 241,200 2.60 % 2.36 % Hybrid ARM 1,696,148 26,066 1,722,214 (2,829 ) 1,719,385 2.54 % 2.25 % Total Agency RMBS pass-through 12,206,152 442,772 12,648,924 (73,017 ) 12,575,907 2.79 % 2.58 % Agency-CMO (3) 1,226,539 (942,290 ) 284,249 (10,306 ) 273,943 2.91 % 2.74 % Non-Agency CMBS (4) 3,879,775 (704,097 ) 3,175,678 40,739 3,216,417 4.92 % 4.77 % Non-Agency RMBS (5)(6)(7) 2,785,704 (1,661,683 ) 1,124,021 133,587 1,257,608 7.19 % 7.18 % GSE CRT (8) 757,183 24,306 781,489 85,390 866,879 2.45 % 2.79 % Total 20,855,353 (2,840,992 ) 18,014,361 176,393 18,190,754 3.42 % 3.27 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% o f principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value. (8) GSE CRT 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. The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2018 and December 31, 2017 are presented below. June 30, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,743,581 2,880,334 20,623,915 Unamortized premium 471,489 — 471,489 Unamortized discount (552,058 ) (2,798,541 ) (3,350,599 ) Gross unrealized gains (1) 253,314 7,010 260,324 Gross unrealized losses (1) (415,201 ) (6,741 ) (421,942 ) Fair value 17,501,125 82,062 17,583,187 December 31, 2017 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,974,390 2,880,963 20,855,353 Unamortized premium 521,626 — 521,626 Unamortized discount (577,344 ) (2,785,274 ) (3,362,618 ) Gross unrealized gains (1) 336,543 5,113 341,656 Gross unrealized losses (1) (155,146 ) (10,117 ) (165,263 ) Fair value 18,100,069 90,685 18,190,754 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2018 and 2017 is provided later in this Note 4.
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type	The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2018 and December 31, 2017 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2018 and December 31, 2017, approximately 41% and 36% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. June 30, 2018 December 31, 2017 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 2,170,906 352,278 2,523,184 2,842,440 132,342 2,974,782 30 year fixed-rate 2,216,755 5,448,384 7,665,139 2,467,871 5,172,669 7,640,540 ARM * 214,801 — 214,801 241,200 — 241,200 Hybrid ARM 1,535,502 31,549 1,567,051 1,719,385 — 1,719,385 Total RMBS Agency pass-through 6,137,964 5,832,211 11,970,175 7,270,896 5,305,011 12,575,907 Agency-CMO 182,293 56,523 238,816 203,351 70,592 273,943 Agency CMBS — 152,227 152,227 — — — Non-Agency CMBS 2,294,341 856,896 3,151,237 2,376,413 840,004 3,216,417 Non-Agency RMBS 1,075,371 144,705 1,220,076 1,236,178 21,430 1,257,608 GSE CRT 619,553 231,103 850,656 635,537 231,342 866,879 Total 10,309,522 7,273,665 17,583,187 11,722,375 6,468,379 18,190,754
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, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 Less than one year 135,350 135,559 Greater than one year and less than five years 6,166,267 7,934,836 Greater than or equal to five years 11,281,570 10,120,359 Total 17,583,187 18,190,754
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, 2018 and December 31, 2017 . June 30, 2018 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 385,423 (5,524 ) 87 1,780,406 (92,961 ) 127 2,165,829 (98,485 ) 214 30 year fixed-rate 5,930,551 (182,696 ) 212 890,051 (50,074 ) 58 6,820,602 (232,770 ) 270 ARM 157,531 (2,230 ) 17 530 (26 ) 1 158,061 (2,256 ) 18 Hybrid ARM 852,306 (12,652 ) 94 436,416 (12,707 ) 46 1,288,722 (25,359 ) 140 Total Agency RMBS pass-through (1) 7,325,811 (203,102 ) 410 3,107,403 (155,768 ) 232 10,433,214 (358,870 ) 642 Agency-CMO (2) 149,189 (9,756 ) 43 71,796 (3,873 ) 5 220,985 (13,629 ) 48 Agency CMBS (3) 69,365 (78 ) 1 — — — 69,365 (78 ) 1 Non-Agency CMBS (4) 1,842,373 (35,757 ) 136 207,220 (11,547 ) 17 2,049,593 (47,304 ) 153 Non-Agency RMBS (5) 250,751 (1,687 ) 30 50,145 (374 ) 7 300,896 (2,061 ) 37 Total 9,637,489 (250,380 ) 620 3,436,564 (171,562 ) 261 13,074,053 (421,942 ) 881 (1) Amounts disclosed includes Agency RMBS with a fair value of $ 5.3 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 177.0 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.4 million and $18.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.5 million and $856,000 , respectively. (3) Fair value option has been elected for all Agency CMBS. (4) Amounts disclosed includes Non-Agency CMBS with a fair value of $693.4 million for which the fair value option has been elected. Such securities have unrealized losses of $21.8 million . (5) Amounts disclosed includes Non-Agency RMBS and Non-Agency IO with a fair value of $111.2 million and $10.7 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $4,000 and $247,000 , respectively. December 31, 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 111,020 (321 ) 26 2,406,021 (67,285 ) 133 2,517,041 (67,606 ) 159 30 year fixed-rate 3,677,576 (20,730 ) 107 963,547 (27,158 ) 56 4,641,123 (47,888 ) 163 ARM 101,173 (902 ) 12 — — — 101,173 (902 ) 12 Hybrid ARM 614,321 (4,189 ) 73 517,642 (8,091 ) 47 1,131,963 (12,280 ) 120 Total Agency RMBS pass-through (1) 4,504,090 (26,142 ) 218 3,887,210 (102,534 ) 236 8,391,300 (128,676 ) 454 Agency-CMO (2) 75,299 (10,433 ) 44 81,988 (2,309 ) 5 157,287 (12,742 ) 49 Non-Agency CMBS (3) 892,553 (17,612 ) 81 135,139 (3,792 ) 12 1,027,692 (21,404 ) 93 Non-Agency RMBS (4) 84,439 (709 ) 15 96,263 (1,732 ) 11 180,702 (2,441 ) 26 Total 5,556,381 (54,896 ) 358 4,200,600 (110,367 ) 264 9,756,981 (165,263 ) 622 (1) Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 22.8 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000 , respectively. (3) Amounts disclosed includes Non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million . (4) Amounts disclosed includes Non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000 .
Changes in other than temporary impairment included in earnings	The following table summarizes OTTI included in earnings for the three and six months ended June 30, 2018 and 2017 : Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 RMBS interest-only securities 2,089 3,585 6,398 3,876 Non-Agency RMBS (1) — 513 50 754 Total 2,089 4,098 6,448 4,630 (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.
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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Gross realized gains on sale of investments 35 1,311 35 2,215 Gross realized losses on sale of investments (11,560 ) (1,962 ) (20,797 ) (3,873 ) Other-than-temporary impairment losses (2,089 ) (4,098 ) (6,448 ) (4,630 ) Net unrealized gains and losses on MBS accounted for under the fair value option (22,941 ) 7,715 (170,136 ) 4,113 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 182 8,195 616 11,474 Net unrealized gains and losses on trading securities (4 ) 14 (17 ) 23 Total gain (loss) on investments, net (36,377 ) 11,175 (196,747 ) 9,322
Components of MBS and GSE CRT Interest Income	The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2018 and 2017 . 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, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 105,430 (22,275 ) 83,155 Non-Agency CMBS 38,101 1,195 39,296 Non-Agency RMBS 13,195 5,159 18,354 GSE CRT 7,180 (696 ) 6,484 Other 259 — 259 Total 164,165 (16,617 ) 147,548 For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 91,979 (27,775 ) 64,204 Non-Agency CMBS 31,506 (1,852 ) 29,654 Non-Agency RMBS 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 Other 95 — 95 Total 147,267 (26,240 ) 121,027 For the six months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 213,747 (45,497 ) 168,250 Non-Agency CMBS 75,394 2,621 78,015 Non-Agency RMBS 27,207 10,336 37,543 GSE CRT 13,705 (1,393 ) 12,312 Other 431 — 431 Total 330,484 (33,933 ) 296,551 For the six months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 183,210 (56,353 ) 126,857 Non-Agency CMBS 61,182 (4,486 ) 56,696 Non-Agency RMBS 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 Other 156 — 156 Total 293,336 (53,436 ) 239,900

Commercial Loans Held-for-Inv28

Commercial Loans Held-for-Investment (Tables)	6 Months Ended
	Jun. 30, 2018
Receivables [Abstract]
Schedule of Commercial Loans Held-for-Investment	The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of June 30, 2018 and December 31, 2017 . $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) June 30, 2018 5 127,638 (31 ) 127,607 8.96 % 0.7 December 31, 2017 8 191,894 (86 ) 191,808 8.52 % 1.2 (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, 2018
Schedule of Investments [Abstract]
Summary of Company's Other Investments	The following table summarizes our other assets as of June 30, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 28,997 25,972 Investment in exchange-traded fund 3,962 3,979 Prepaid expenses and other assets 915 1,379 Total 108,124 105,580

Borrowings (Tables)

Borrowings (Tables)	6 Months Ended
	Jun. 30, 2018
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at June 30, 2018 and December 31, 2017 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 10,537,934 2.13 % 22 Agency CMBS 133,417 2.10 % 30 Non-Agency CMBS 1,450,627 3.25 % 23 Non-Agency RMBS 917,106 3.28 % 23 GSE CRT 663,237 3.18 % 23 Total Repurchase Agreements 13,702,321 2.38 % 23 Secured Loans 1,650,000 2.18 % 2,136 Total Borrowings 15,352,321 2.36 % 250 $ in thousands December 31, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,111,755 1.58 % 25 Non-Agency CMBS 1,396,330 2.61 % 9 Non-Agency RMBS 915,225 2.77 % 31 GSE CRT 657,491 2.78 % 24 Total Repurchase Agreements 14,080,801 1.82 % 25 Secured Loans 1,650,000 1.52 % 2,317 Exchangeable Senior Notes (1) 143,410 5.00 % 74 Total Borrowings 15,874,211 1.82 % 263 (1) The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017 . The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017 .
Schedule of Maturities of Outstanding Borrowings	The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: June 30, 2018 7/1/2018 - 6/30/2019 13,702,321 7/1/2019 - 6/30/2020 300,000 7/1/2020 - 6/30/2021 100,000 7/1/2021 - 6/30/2022 — 7/1/2022 - 6/30/2023 — Thereafter 1,250,000 Total 15,352,321
Schedule of Repurchase Agreements by Counterparties	The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,808,727 11.8 % 1,897,787 ING Financial Market 1,348,953 8.8 % 1,425,690 Royal Bank of Canada 1,024,743 6.7 % 1,232,629 E D & F Man Capital Markets 981,383 6.4 % 1,034,330 Industrial and Commercial Bank of China 964,543 6.3 % 1,018,444 Mirae Asset Securities 955,053 6.2 % 1,011,962 MUFG Securities 800,043 5.2 % 865,731 Citigroup 739,881 4.8 % 862,726 Amherst Pierpont Securities 534,560 3.5 % 563,108 KGS-Alpha Capital Markets 468,171 3.0 % 497,673 JP Morgan 433,950 2.8 % 505,625 South Street Securities 391,157 2.5 % 410,702 Societe Generale 373,836 2.4 % 471,416 Goldman Sachs 331,685 2.2 % 424,913 Mizuho Securities 285,212 1.9 % 302,605 BNP Paribas Securities 280,800 1.8 % 312,536 Guggenheim Liquidity Services 270,239 1.8 % 285,207 Natixis Securities 264,068 1.7 % 296,149 Bank of Nova Scotia 236,178 1.5 % 251,630 Wells Fargo Securities 218,878 1.4 % 263,463 All other counterparties (2) 990,261 6.6 % 1,120,124 Total Repurchase Agreement Counterparties 13,702,321 89.3 % 15,054,450 Secured Loans Counterparty: FHLBI 1,650,000 10.7 % 1,910,709 Total 15,352,321 100.0 % 16,965,159 (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, 2017 . (2) Represents amounts outstanding with nine counterparties. December 31, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,745,684 11.2 % 1,839,411 ING Financial Markets 1,482,603 9.4 % 1,571,061 Royal Bank of Canada 1,144,856 7.3 % 1,375,285 Industrial and Commercial Bank of China 1,038,844 6.6 % 1,102,543 E D & F Man Capital Markets 1,028,437 6.5 % 1,085,429 Mirae Asset Securities 958,756 6.1 % 1,018,664 MUFG Securities 865,201 5.5 % 936,071 Citigroup 724,094 4.6 % 841,977 Amherst Pierpont Securities 722,080 4.6 % 764,713 KGS-Alpha Capital Markets 461,098 2.9 % 491,313 JP Morgan 451,941 2.9 % 523,590 Societe Generale 386,737 2.5 % 495,093 BNP Paribas Securities 348,340 2.2 % 388,091 South Street Securities 332,623 2.1 % 354,689 Goldman Sachs 324,152 2.1 % 419,713 Mizuho Securities 310,835 2.0 % 330,555 Guggenheim Liquidity Services 306,081 1.9 % 322,452 Bank of Nova Scotia 289,705 1.8 % 301,715 Natixis Securities 275,764 1.8 % 302,291 All other counterparties (2) 882,970 5.5 % 1,058,759 Total Repurchase Agreement Counterparties 14,080,801 89.5 % 15,523,415 Secured Loans Counterparty: FHLBI 1,650,000 10.5 % 1,927,496 Total 15,730,801 100.0 % 17,450,911 (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, 2017 . (2) Represents amounts outstanding with seven counterparties.

Collateral Positions (Tables)

Collateral Positions (Tables)	6 Months Ended
	Jun. 30, 2018
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, futures contracts and currency forward contracts as of June 30, 2018 and December 31, 2017 . 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, 2017 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 condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed 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, 2018 and December 31, 2017 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged June 30, 2018 December 31, 2017 Repurchase Agreements: Agency RMBS 11,166,220 11,788,765 Agency CMBS 140,714 — Non-Agency CMBS 1,809,084 853,446 Non-Agency RMBS 1,130,621 1,737,831 GSE CRT 807,811 1,143,373 Total repurchase agreements collateral pledged 15,054,450 15,523,415 Secured Loans: Agency RMBS 642,808 623,181 Non-Agency CMBS 1,267,901 1,304,315 Total secured loans collateral pledged 1,910,709 1,927,496 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS (1) 82,778 109,900 Cash 7,255 620 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 90,033 110,520 Total: Mortgage-backed and credit risk transfer securities 17,047,937 17,560,811 Cash 7,255 620 Total collateral pledged 17,055,192 17,561,431 Collateral Held June 30, 2018 December 31, 2017 Interest Rate Swaps: Cash 39,748 7,327 Total collateral held 39,748 7,327 (1) During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above.

Derivatives and Hedging Activ32

Derivatives and Hedging Activities (Tables)	6 Months Ended
	Jun. 30, 2018
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 2018 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps (1) (2) 8,620,000 1,500,000 (1,250,000 ) 8,870,000 Futures Contracts — 715,000 (430,000 ) 285,000 Currency Forward Contracts 76,859 156,754 (156,159 ) 77,454 Credit Derivatives 553,493 — (11,683 ) 541,810 Total 9,250,352 2,371,754 (1,847,842 ) 9,774,264 (1) Notional amount as of June 30, 2018 excludes $1.6 billion of interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2017 excludes $500.0 million of interest rate swaps with forward start dates.
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges	As of June 30, 2018 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.50 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 1-month LIBOR 200,000 3/15/2021 3.14 % CME Central Clearing 3-month LIBOR 500,000 5/24/2021 2.25 % Citibank, N.A. 1-month LIBOR 200,000 5/25/2021 2.83 % CME Central Clearing 3-month LIBOR 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 1-month LIBOR 550,000 2/24/2022 2.45 % CME Central Clearing 3-month LIBOR 1,000,000 6/9/2022 2.21 % CME Central Clearing 3-month LIBOR 1,000,000 8/14/2022 1.87 % The Royal Bank of Scotland Plc 1-month LIBOR 500,000 8/15/2023 1.98 % CME Central Clearing 1-month LIBOR 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 1-month LIBOR 500,000 12/15/2023 2.20 % CME Central Clearing 3-month LIBOR 450,000 1/12/2024 2.10 % CME Central Clearing 3-month LIBOR 450,000 1/25/2024 2.15 % LCH Central Clearing 3-month LIBOR 1,000,000 2/6/2025 2.77 % CME Central Clearing 3-month LIBOR 100,000 4/2/2025 2.04 % LCH Central Clearing 3-month LIBOR 220,000 8/31/2027 2.12 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.78 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.39 % Total 8,870,000 2.37 % As of June 30, 2018 , we had the following additional interest rate swaps outstanding with forward start dates: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing (1) 3-month LIBOR 600,000 2/5/2026 2.64 % LCH Central Clearing (2) 1-month LIBOR 200,000 7/3/2028 2.78 % LCH Central Clearing (3) 3-month LIBOR 200,000 3/17/2031 2.74 % LCH Central Clearing (4) 1-month LIBOR 600,000 8/24/2033 3.18 % Total 1,600,000 2.87 % (1) Forward start date of 2/5/2021 (2) Forward start date of 7/2/2018 (3) Forward start date of 3/15/2021 (4) Forward start date of 8/24/2023
Disclosure of Credit Derivatives	At June 30, 2018 and December 31, 2017 , terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2018 December 31, 2017 Fair value amount 38,029 45,400 Notional amount 541,810 553,493 Maximum potential amount of future undiscounted payments 541,810 553,493
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, 2018 and December 31, 2017 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2018 As of December 31, 2017 As of June 30, 2018 As of December 31, 2017 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 44,122 6,896 Interest Rate Swaps Liability 3,415 31,548 Currency Forward Contracts 3,387 — Currency Forward Contracts — 1,217 Futures Contracts 2,656 —
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, 2018 and 2017 . $ in thousands Three months ended June 30, 2018 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 — 5,638 (4,903 ) 735 $ 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 Six months ended June 30, 2018 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 — 11,271 (7,371 ) 3,900 $ 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 The following table summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 : $ in thousands Three Months Ended June 30, 2018 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 34,273 (4,511 ) 32,985 62,747 Futures Contracts 640 — (1,044 ) (404 ) Currency Forward Contracts 1,361 — 3,465 4,826 Total 36,274 (4,511 ) 35,406 67,169 $ 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 Six Months Ended June 30, 2018 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 156,546 (16,623 ) 65,359 205,282 Futures Contracts (4,637 ) — (2,656 ) (7,293 ) Currency Forward Contracts (2,057 ) — 4,604 2,547 Total 149,852 (16,623 ) 67,307 200,536 $ in thousands Six Months Ended June 30, 2017 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 (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 )

Offsetting Assets and Liabili33

Offsetting Assets and Liabilities (Tables)	6 Months Ended
	Jun. 30, 2018
Offsetting [Abstract]
Offsetting Derivative Assets	Offsetting of Derivative Assets As of June 30, 2018 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) (3) 40,773 — 40,773 — (39,389 ) 1,384 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2018 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 (3) 6,071 — 6,071 (3,415 ) (2,656 ) — Repurchase Agreements (4) 13,702,321 — 13,702,321 (13,702,321 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,358,392 — 15,358,392 (15,355,736 ) (2,656 ) — Offsetting of Derivative Assets As of December 31, 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) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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 (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2018 and December 31, 2017 , 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 derivatives was $82.8 million ( December 31, 2017 : $109.9 million ) at June 30, 2018 , of which $77.4 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $39.7 million and $7.3 million at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $7.3 million and $620,000 at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at June 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.1 billion and $15.5 billion at June 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2018 and December 31, 2017 , respectively.
Offsetting Derivative Liabilities	Offsetting of Derivative Assets As of June 30, 2018 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) (3) 40,773 — 40,773 — (39,389 ) 1,384 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2018 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 (3) 6,071 — 6,071 (3,415 ) (2,656 ) — Repurchase Agreements (4) 13,702,321 — 13,702,321 (13,702,321 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,358,392 — 15,358,392 (15,355,736 ) (2,656 ) — Offsetting of Derivative Assets As of December 31, 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) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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 (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2018 and December 31, 2017 , 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 derivatives was $82.8 million ( December 31, 2017 : $109.9 million ) at June 30, 2018 , of which $77.4 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $39.7 million and $7.3 million at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $7.3 million and $620,000 at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at June 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.1 billion and $15.5 billion at June 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2018 and December 31, 2017 , respectively.

Fair Value of Financial Instr34

Fair Value of Financial Instruments (Tables)	6 Months Ended
	Jun. 30, 2018
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, 2018 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) — 17,545,158 38,029 — 17,583,187 Derivative assets — 47,509 — — 47,509 Other assets (4) 3,962 — — 28,997 32,959 Total assets 3,962 17,592,667 38,029 28,997 17,663,655 Liabilities: Derivative liabilities 2,656 3,415 — — 6,071 Total liabilities 2,656 3,415 — — 6,071 December 31, 2017 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) — 18,145,354 45,400 — 18,190,754 Derivative assets — 6,896 — — 6,896 Other assets (4) 3,979 — — 25,972 29,951 Total assets 3,979 18,152,250 45,400 25,972 18,227,601 Liabilities: Derivative liabilities — 32,765 — — 32,765 Total liabilities — 32,765 — — 32,765 (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, 2018 , the net embedded derivative asset position of $38.0 million includes $39.4 million of embedded derivatives in an asset position and $1.4 million of embedded derivatives in a liability position. As of December 31, 2017 , the net embedded derivative asset position of $45.4 million includes $46.5 million of embedded derivatives in an asset position and $1.1 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, 2018 and December 31, 2017 , the weighted average remaining term of investments in unconsolidated ventures is 2.2 and 1.9 years, respectively. (4) Includes $4.0 million and $4.0 million of investment in an exchange-traded fund as of June 30, 2018 and December 31, 2017 , 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 June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Beginning balance 42,932 31,243 45,400 17,095 Unrealized credit derivative gains (losses), net (4,903 ) 15,559 (7,371 ) 29,707 Ending balance 38,029 46,802 38,029 46,802
Embedded Derivatives Fair Value Inputs	The following tables summarize 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, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 38,029 Market Comparables, Vendor Pricing Weighted average life 2.8 - 6.4 years 4.6 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 45,400 Market Comparables, Vendor Pricing Weighted average life 2.6 - 6.8 years 4.8 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, 2018 and December 31, 2017 : June 30, 2018 December 31, 2017 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 127,607 127,770 191,808 191,930 Other assets 74,250 74,250 74,250 74,250 Total 201,857 202,020 266,058 266,180 Financial Liabilities Repurchase agreements 13,702,321 13,702,411 14,080,801 14,080,460 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes — — 143,231 143,948 Total 15,352,321 15,352,411 15,874,032 15,874,408

Related Party Transactions (Tab

Related Party Transactions (Tables)	6 Months Ended
	Jun. 30, 2018
Related Party Transactions [Abstract]
Schedule of Related Party Transactions	The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Incurred costs, prepaid or expensed 1,300 1,249 2,792 2,794 Incurred costs, charged against equity as a cost of raising capital 2 — 167 — Total incurred costs, originally paid by our Manager 1,302 1,249 2,959 2,794

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	6 Months Ended
	Jun. 30, 2018
Equity [Abstract]
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, 2018 . Three Months Ended June 30, Six Months Ended June 30, 2018 2018 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 19,185 $ 14.56 19,827 $ 14.35 Shares granted during the period — — 7,055 15.37 Shares vested during the period — — (7,697 ) 14.75 Unvested at the end of the period 19,185 $ 14.56 19,185 $ 14.56 (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.
Schedule of accumulated other comprehensive income	The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (47,929 ) — (47,929 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,889 — 9,889 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,898 ) (6,898 ) Currency translation adjustments on investment in unconsolidated venture 486 — — 486 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) AOCI balance at beginning of period 1,255 14,660 117,437 133,352 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) Other comprehensive income/(loss) attributable to non-controlling interest (5 ) 479 87 561 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 Total other comprehensive income/(loss) 139 40,284 (6,369 ) 34,054 AOCI balance at beginning of period (512 ) 161,381 142,896 303,765 Total other comprehensive income/(loss) 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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (180,246 ) — (180,246 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 19,126 — 19,126 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — (13,437 ) (13,437 ) Currency translation adjustments on investment in unconsolidated venture 798 — — 798 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) Other comprehensive income/(loss) attributable to non-controlling interest (9 ) 2,031 169 2,191 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 ) Total other comprehensive income/(loss) (476 ) 57,423 (12,667 ) 44,280 AOCI balance at beginning of period 95 144,458 149,115 293,668 Total other comprehensive income/(loss) (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 AOCI balance at end of period (375 ) 201,158 136,608 337,391

Earnings per Common Share (Tabl

Earnings per Common Share (Tables)	6 Months Ended
	Jun. 30, 2018
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three and six months ended June 30, 2018 and 2017 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands except per share amounts 2018 2017 2018 2017 Numerator (Income) Basic Earnings: Net income available to common stockholders 80,008 46,834 121,479 133,964 Effect of dilutive securities: Income allocated to exchangeable senior notes — 3,504 1,621 8,512 Income allocated to non-controlling interest 1,163 670 1,834 1,856 Dilutive net income available to stockholders 81,171 51,008 124,934 144,332 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,641 111,608 111,635 111,603 Effect of dilutive securities: Restricted stock awards 19 20 19 20 Non-controlling interest OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 10,507 2,389 12,782 Dilutive Shares 113,085 123,560 115,468 125,830 Earnings per share: Net income attributable to common stockholders Basic 0.72 0.42 1.09 1.20 Diluted 0.72 0.41 1.08 1.15

Non-controlling Interest - Op38

Non-controlling Interest - Operating Partnership (Tables)	6 Months Ended
	Jun. 30, 2018
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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Net income allocated 1,163 670 1,834 1,856 Distributions paid 598 570 1,197 1,140

Organization and Business Ope39

Organization and Business Operations (Detail) - segment	6 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
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%

Summary of Significant Accoun40

Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Decrease in net cash provided by operating activities	$ (147,767)	$ (138,893)
Decrease in net cash used in investing activities	472,637	(902,327)
Decrease in net cash provided by financing activities	639,151	(665,715)
Restricted cash	$ 0		$ 620
Accounting Standards Update 2016-15
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Decrease in net cash provided by operating activities		15,500
Decrease in net cash used in investing activities		17,300
Decrease in net cash provided by financing activities		$ 1,800

Variable Interest Entities ("41

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Variable Interest Entity
Carrying Amount	$ 17,583,187	$ 18,190,754
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	4,400,310
Company's Maximum Risk of Loss	4,400,310
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	3,151,237
Company's Maximum Risk of Loss	3,151,237
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	1,220,076
Company's Maximum Risk of Loss	1,220,076
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	28,997
Company's Maximum Risk of Loss	$ 28,997

Mortgage-Backed and Credit Ri42

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 20,623,915	$ 20,855,353
Unamortized Premium (Discount)	(2,879,110)	(2,840,992)
Amortized Cost	17,744,805	18,014,361
Unrealized Gain/ (Loss), net	(161,618)	176,393
Fair value	$ 17,583,187	$ 18,190,754
Period- end Weighted Average Yield	3.53%	3.42%
Quarterly Weighted Average Yield	3.36%	3.27%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	79.30%	81.80%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	17.00%	20.90%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	16.10%	18.70%
Percentage of CMBS interest only, principal balance	15.70%	15.80%
Percentage of CMBS interest only, amortized cost	0.50%	0.50%
Percentage of CMBS interest only, fair value	0.60%	0.60%
Unamortized premium (discount) non-accretable portion	$ 190,700	$ 195,300
Percentage of Non-Agency RMBS interest-only, principal balance	55.70%	51.50%
Percentage of Non-Agency RMBS interest-only, amortized cost	2.40%	2.00%
Percentage of Non-Agency RMBS interest only, fair value	2.30%	1.80%
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,532,605	$ 2,917,307
Unamortized Premium (Discount)	85,680	119,120
Amortized Cost	2,618,285	3,036,427
Unrealized Gain/ (Loss), net	(95,101)	(61,645)
Fair value	$ 2,523,184	$ 2,974,782
Period- end Weighted Average Yield	2.32%	2.17%
Quarterly Weighted Average Yield	1.99%	1.98%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 7,602,464	$ 7,354,211
Unamortized Premium (Discount)	284,277	295,977
Amortized Cost	7,886,741	7,650,188
Unrealized Gain/ (Loss), net	(221,602)	(9,648)
Fair value	$ 7,665,139	$ 7,640,540
Period- end Weighted Average Yield	3.14%	3.09%
Quarterly Weighted Average Yield	2.95%	2.90%
ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 215,178	$ 238,486
Unamortized Premium (Discount)	1,300	1,609
Amortized Cost	216,478	240,095
Unrealized Gain/ (Loss), net	(1,677)	1,105
Fair value	$ 214,801	$ 241,200
Period- end Weighted Average Yield	2.58%	2.60%
Quarterly Weighted Average Yield	2.43%	2.36%
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 1,566,739	$ 1,696,148
Unamortized Premium (Discount)	23,143	26,066
Amortized Cost	1,589,882	1,722,214
Unrealized Gain/ (Loss), net	(22,831)	(2,829)
Fair value	$ 1,567,051	$ 1,719,385
Period- end Weighted Average Yield	2.56%	2.54%
Quarterly Weighted Average Yield	2.28%	2.25%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 11,916,986	$ 12,206,152
Unamortized Premium (Discount)	394,400	442,772
Amortized Cost	12,311,386	12,648,924
Unrealized Gain/ (Loss), net	(341,211)	(73,017)
Fair value	$ 11,970,175	$ 12,575,907
Period- end Weighted Average Yield	2.88%	2.79%
Quarterly Weighted Average Yield	2.65%	2.58%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 995,408	$ 1,226,539
Unamortized Premium (Discount)	(745,565)	(942,290)
Amortized Cost	249,843	284,249
Unrealized Gain/ (Loss), net	(11,027)	(10,306)
Fair value	$ 238,816	$ 273,943
Period- end Weighted Average Yield	3.26%	2.91%
Quarterly Weighted Average Yield	3.04%	2.74%
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 150,268
Unamortized Premium (Discount)	1,940
Amortized Cost	152,208
Unrealized Gain/ (Loss), net	19
Fair value	$ 152,227
Period- end Weighted Average Yield	3.46%
Quarterly Weighted Average Yield	3.63%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 3,871,603	$ 3,879,775
Unamortized Premium (Discount)	(700,887)	(704,097)
Amortized Cost	3,170,716	3,175,678
Unrealized Gain/ (Loss), net	(19,479)	40,739
Fair value	$ 3,151,237	$ 3,216,417
Period- end Weighted Average Yield	5.02%	4.92%
Quarterly Weighted Average Yield	4.95%	4.77%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,945,105	$ 2,785,704
Unamortized Premium (Discount)	(1,851,911)	(1,661,683)
Amortized Cost	1,093,194	1,124,021
Unrealized Gain/ (Loss), net	126,882	133,587
Fair value	$ 1,220,076	$ 1,257,608
Period- end Weighted Average Yield	7.09%	7.19%
Quarterly Weighted Average Yield	7.12%	7.18%
Percentage of non-agency securities classified as variable rate	47.60%	52.20%
Percentage of non-agency securities classified as fixed rate	46.00%	37.80%
Percentage of non-agency securities classified as floating rate	6.40%	10.00%
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 744,545	$ 757,183
Unamortized Premium (Discount)	22,913	24,306
Amortized Cost	767,458	781,489
Unrealized Gain/ (Loss), net	83,198	85,390
Fair value	$ 850,656	$ 866,879
Period- end Weighted Average Yield	2.81%	2.45%
Quarterly Weighted Average Yield	3.37%	2.79%

Mortgage-Backed and Credit Ri43

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Percentage of MBS and GSE CRT are accounted for under the fair value option	41.00%	36.00%
Gross unrealized losses	$ 421,942	$ 165,263
Agency RMBS, Agency CMBS and CMO
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	366,100	131,300
Agency IO, non-Agency RMBS and non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	$ 55,900	$ 33,900

Mortgage-Backed and Credit Ri44

Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 10,309,522	$ 11,722,375
Securities under Fair Value Option	7,273,665	6,468,379
Marketable Securities	17,583,187	18,190,754
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	2,170,906	2,842,440
Securities under Fair Value Option	352,278	132,342
Marketable Securities	2,523,184	2,974,782
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	2,216,755	2,467,871
Securities under Fair Value Option	5,448,384	5,172,669
Marketable Securities	7,665,139	7,640,540
ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	214,801	241,200
Securities under Fair Value Option	0	0
Marketable Securities	214,801	241,200
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,535,502	1,719,385
Securities under Fair Value Option	31,549	0
Marketable Securities	1,567,051	1,719,385
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	6,137,964	7,270,896
Securities under Fair Value Option	5,832,211	5,305,011
Marketable Securities	11,970,175	12,575,907
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	182,293	203,351
Securities under Fair Value Option	56,523	70,592
Marketable Securities	238,816	273,943
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	152,227	0
Marketable Securities	152,227
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	2,294,341	2,376,413
Securities under Fair Value Option	856,896	840,004
Marketable Securities	3,151,237	3,216,417
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,075,371	1,236,178
Securities under Fair Value Option	144,705	21,430
Marketable Securities	1,220,076	1,257,608
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	619,553	635,537
Securities under Fair Value Option	231,103	231,342
Marketable Securities	$ 850,656	$ 866,879

Mortgage-Backed and Credit Ri45

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	$ 20,623,915	$ 20,855,353
Unamortized premium	471,489	521,626
Unamortized discount	(3,350,599)	(3,362,618)
Gross unrealized gains	260,324	341,656
Gross unrealized losses	(421,942)	(165,263)
Fair value	17,583,187	18,190,754
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	17,743,581	17,974,390
Unamortized premium	471,489	521,626
Unamortized discount	(552,058)	(577,344)
Gross unrealized gains	253,314	336,543
Gross unrealized losses	(415,201)	(155,146)
Fair value	17,501,125	18,100,069
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	2,880,334	2,880,963
Unamortized premium	0	0
Unamortized discount	(2,798,541)	(2,785,274)
Gross unrealized gains	7,010	5,113
Gross unrealized losses	(6,741)	(10,117)
Fair value	$ 82,062	$ 90,685

Mortgage-Backed and Credit Ri46

Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 135,350	$ 135,559
Greater than one year and less than five years	6,166,267	7,934,836
Greater than or equal to five years	11,281,570	10,120,359
Fair value	$ 17,583,187	$ 18,190,754

Mortgage-Backed and Credit Ri47

Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands	Jun. 30, 2018USD ($)security	Dec. 31, 2017USD ($)security
Fair Value
Less than 12 Months	$ 9,637,489	$ 5,556,381
12 Months or More	3,436,564	4,200,600
Total	13,074,053	9,756,981
Unrealized Losses
Less than 12 Months	(250,380)	(54,896)
12 Months or More	(171,562)	(110,367)
Total	$ (421,942)	$ (165,263)
Number of Securities
Less than 12 Months (in securities) | security	620	358
12 Months or More (in securities) | security	261	264
Total (in securities) | security	881	622
15 year fixed-rate
Fair Value
Less than 12 Months	$ 385,423	$ 111,020
12 Months or More	1,780,406	2,406,021
Total	2,165,829	2,517,041
Unrealized Losses
Less than 12 Months	(5,524)	(321)
12 Months or More	(92,961)	(67,285)
Total	$ (98,485)	$ (67,606)
Number of Securities
Less than 12 Months (in securities) | security	87	26
12 Months or More (in securities) | security	127	133
Total (in securities) | security	214	159
30 year fixed-rate
Fair Value
Less than 12 Months	$ 5,930,551	$ 3,677,576
12 Months or More	890,051	963,547
Total	6,820,602	4,641,123
Unrealized Losses
Less than 12 Months	(182,696)	(20,730)
12 Months or More	(50,074)	(27,158)
Total	$ (232,770)	$ (47,888)
Number of Securities
Less than 12 Months (in securities) | security	212	107
12 Months or More (in securities) | security	58	56
Total (in securities) | security	270	163
ARM
Fair Value
Less than 12 Months	$ 157,531	$ 101,173
12 Months or More	530	0
Total	158,061	101,173
Unrealized Losses
Less than 12 Months	(2,230)	(902)
12 Months or More	(26)	0
Total	$ (2,256)	$ (902)
Number of Securities
Less than 12 Months (in securities) | security	17	12
12 Months or More (in securities) | security	1	0
Total (in securities) | security	18	12
Hybrid ARM
Fair Value
Less than 12 Months	$ 852,306	$ 614,321
12 Months or More	436,416	517,642
Total	1,288,722	1,131,963
Unrealized Losses
Less than 12 Months	(12,652)	(4,189)
12 Months or More	(12,707)	(8,091)
Total	$ (25,359)	$ (12,280)
Number of Securities
Less than 12 Months (in securities) | security	94	73
12 Months or More (in securities) | security	46	47
Total (in securities) | security	140	120
Agency RMBS
Fair Value
Less than 12 Months	$ 7,325,811	$ 4,504,090
12 Months or More	3,107,403	3,887,210
Total	10,433,214	8,391,300
Unrealized Losses
Less than 12 Months	(203,102)	(26,142)
12 Months or More	(155,768)	(102,534)
Total	$ (358,870)	$ (128,676)
Number of Securities
Less than 12 Months (in securities) | security	410	218
12 Months or More (in securities) | security	232	236
Total (in securities) | security	642	454
Fair value option, fair value	$ 5,300,000	$ 3,400,000
Fair value option, unrealized losses	177,000	22,800
Agency-CMO
Fair Value
Less than 12 Months	149,189	75,299
12 Months or More	71,796	81,988
Total	220,985	157,287
Unrealized Losses
Less than 12 Months	(9,756)	(10,433)
12 Months or More	(3,873)	(2,309)
Total	$ (13,629)	$ (12,742)
Number of Securities
Less than 12 Months (in securities) | security	43	44
12 Months or More (in securities) | security	5	5
Total (in securities) | security	48	49
Agency IO
Number of Securities
Fair value option, fair value	$ 22,400	$ 36,500
Fair value option, unrealized losses	6,500	10,100
Agency-CMO
Number of Securities
Fair value option, fair value	18,000	9,500
Fair value option, unrealized losses	856	88
Agency CMBS
Fair Value
Less than 12 Months	69,365
12 Months or More	0
Total	69,365
Unrealized Losses
Less than 12 Months	(78)
12 Months or More	0
Total	$ (78)
Number of Securities
Less than 12 Months (in securities) | security	1
12 Months or More (in securities) | security	0
Total (in securities) | security	1
Non-Agency CMBS
Fair Value
Less than 12 Months	$ 1,842,373	892,553
12 Months or More	207,220	135,139
Total	2,049,593	1,027,692
Unrealized Losses
Less than 12 Months	(35,757)	(17,612)
12 Months or More	(11,547)	(3,792)
Total	$ (47,304)	$ (21,404)
Number of Securities
Less than 12 Months (in securities) | security	136	81
12 Months or More (in securities) | security	17	12
Total (in securities) | security	153	93
Fair value option, fair value	$ 693,400	$ 596,000
Fair value option, unrealized losses	21,800	8,900
Non-Agency RMBS
Fair Value
Less than 12 Months	250,751	84,439
12 Months or More	50,145	96,263
Total	300,896	180,702
Unrealized Losses
Less than 12 Months	(1,687)	(709)
12 Months or More	(374)	(1,732)
Total	$ (2,061)	$ (2,441)
Number of Securities
Less than 12 Months (in securities) | security	30	15
12 Months or More (in securities) | security	7	11
Total (in securities) | security	37	26
Fair value option, fair value	$ 111,200
Fair value option, unrealized losses	4
Non-Agency IO
Number of Securities
Fair value option, fair value	10,700	$ 530
Fair value option, unrealized losses	$ 247	$ 39

Mortgage-Backed and Credit Ri48

Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 2,089	$ 4,098	$ 6,448	$ 4,630
RMBS interest-only securities
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	2,089	3,585	6,398	3,876
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 0	$ 513	$ 50	$ 754

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, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Debt Securities, Available-for-sale [Line Items]
Gross realized gains on sale of investments	$ 35	$ 1,311	$ 35	$ 2,215
Gross realized losses on sale of investments	(11,560)	(1,962)	(20,797)	(3,873)
Other-than-temporary impairment losses	(2,089)	(4,098)	(6,448)	(4,630)
Net unrealized gains and losses on trading securities	(4)	14	(17)	23
Total gain (loss) on investments, net	(36,377)	11,175	(196,747)	9,322
MBS
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	(22,941)	7,715	(170,136)	4,113
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	$ 182	$ 8,195	$ 616	$ 11,474

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, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 164,165	$ 147,267	$ 330,484	$ 293,336
Net (Premium Amortization)/Discount Accretion	(16,617)	(26,240)	(33,933)	(53,436)
Interest Income	147,548	121,027	296,551	239,900
Agency RMBS and CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	105,430	91,979	213,747	183,210
Net (Premium Amortization)/Discount Accretion	(22,275)	(27,775)	(45,497)	(56,353)
Interest Income	83,155	64,204	168,250	126,857
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	38,101	31,506	75,394	61,182
Net (Premium Amortization)/Discount Accretion	1,195	(1,852)	2,621	(4,486)
Interest Income	39,296	29,654	78,015	56,696
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	13,195	18,131	27,207	38,745
Net (Premium Amortization)/Discount Accretion	5,159	3,734	10,336	8,121
Interest Income	18,354	21,865	37,543	46,866
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	7,180	5,556	13,705	10,043
Net (Premium Amortization)/Discount Accretion	(696)	(347)	(1,393)	(718)
Interest Income	6,484	5,209	12,312	9,325
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	259	95	431	156
Net (Premium Amortization)/Discount Accretion	0	0	0	0
Interest Income	$ 259	$ 95	$ 431	$ 156

Commercial Loans Held-for-Inv51

Commercial Loans Held-for-Investment (Details)	6 Months Ended	12 Months Ended
	Jun. 30, 2018USD ($)loan	Dec. 31, 2017USD ($)loan
Accounts, Notes, Loans and Financing Receivable
Carrying value	$ 127,607,000	$ 191,808,000
Commercial Portfolio Segment
Accounts, Notes, Loans and Financing Receivable
Allowance for loan losses	$ 0	$ 0
Commercial Portfolio Segment | Mezzanine Loans
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan	5	8
Principal Balance	$ 127,638,000	$ 191,894,000
Unamortized (fees)/ costs, net	(31,000)	(86,000)
Carrying value	$ 127,607,000	$ 191,808,000
Weighted Average Coupon	8.96%	8.52%
Weighted Average Years to Maturity	8 months	1 year 2 months

Other Assets (Details)

Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Schedule of Investments [Abstract]
FHLBI stock	$ 74,250	$ 74,250
Investments in unconsolidated ventures	28,997	25,972
Investment in exchange-traded fund	3,962	3,979
Prepaid expenses and other assets	915	1,379
Total	$ 108,124	$ 105,580

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Repurchase Agreements:
Amount outstanding	$ 13,702,321	$ 14,080,801
Weighted average interest rate	2.38%	1.82%
Weighted average remaining maturity	23 days	25 days
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Total Borrowings
Carrying value of exchangeable senior notes	0	143,231
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 15,352,321	$ 15,874,211
Weighted average interest rate	2.36%	1.82%
Weighted average remaining maturity	250 days	263 days
Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 10,537,934	$ 11,111,755
Weighted average interest rate	2.13%	1.58%
Weighted average remaining maturity	22 days	25 days
Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 133,417
Weighted average interest rate	2.10%
Weighted average remaining maturity	30 days
Non-Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 1,450,627	$ 1,396,330
Weighted average interest rate	3.25%	2.61%
Weighted average remaining maturity	23 days	9 days
Non-Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 917,106	$ 915,225
Weighted average interest rate	3.28%	2.77%
Weighted average remaining maturity	23 days	31 days
GSE CRT
Repurchase Agreements:
Amount outstanding	$ 663,237	$ 657,491
Weighted average interest rate	3.18%	2.78%
Weighted average remaining maturity	23 days	24 days
Secured Loans
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Weighted average interest rate	2.18%	1.52%
Weighted average remaining maturity	2136 days	2317 days
Exchangeable Senior Notes
Exchangeable Senior Notes
Amount outstanding		$ 143,410
Weighted average interest rate		5.00%
Weighted average remaining maturity		74 days
Total Borrowings
Debt issuance costs		$ 179

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Jun. 30, 2018USD ($)
Debt Disclosure [Abstract]
7/1/2018 - 6/30/2019	$ 13,702,321
7/1/2019 - 6/30/2020	300,000
7/1/2020 - 6/30/2021	100,000
7/1/2021 - 6/30/2022	0
7/1/2022 - 6/30/2023	0
Thereafter	1,250,000
Total	$ 15,352,321

Borrowings - Repurchase Agreeme

Borrowings - Repurchase Agreements (Detail) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018USD ($)Counterparty	Dec. 31, 2017USD ($)Counterparty
Repurchase Agreement Counterparty
Amount Outstanding	$ 13,702,321	$ 14,080,801
MBS and GSE CRTs Pledged as Collateral	15,054,450	15,523,415
Advances from Federal Home Loan Banks	1,650,000	1,650,000
Secured Loans Counterparty, Pledged as Collateral	1,910,709	1,927,496
Total, Amount Outstanding	$ 15,352,321	$ 15,730,801
Total, Percentage of Total Amount Outstanding	100.00%	100.00%
MBS and GSE CRTs Pledged as Collateral	$ 16,965,159	$ 17,450,911
Number of counterparties | Counterparty	9	7
Repurchase Agreement Counterparties [Member]
Repurchase Agreement Counterparty
Amount Outstanding	$ 13,702,321	$ 14,080,801
Percent of Total Amount Outstanding	89.30%	89.50%
MBS and GSE CRTs Pledged as Collateral	$ 15,054,450	$ 15,523,415
HSBC
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,808,727	$ 1,745,684
Percent of Total Amount Outstanding	11.80%	11.20%
MBS and GSE CRTs Pledged as Collateral	$ 1,897,787	$ 1,839,411
ING Financial Market
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,348,953	$ 1,482,603
Percent of Total Amount Outstanding	8.80%	9.40%
MBS and GSE CRTs Pledged as Collateral	$ 1,425,690	$ 1,571,061
Royal Bank of Canada
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,024,743	$ 1,144,856
Percent of Total Amount Outstanding	6.70%	7.30%
MBS and GSE CRTs Pledged as Collateral	$ 1,232,629	$ 1,375,285
E D & F Man Capital Markets
Repurchase Agreement Counterparty
Amount Outstanding	$ 981,383	$ 1,028,437
Percent of Total Amount Outstanding	6.40%	6.50%
MBS and GSE CRTs Pledged as Collateral	$ 1,034,330	$ 1,085,429
Industrial and Commercial Bank of China
Repurchase Agreement Counterparty
Amount Outstanding	$ 964,543	$ 1,038,844
Percent of Total Amount Outstanding	6.30%	6.60%
MBS and GSE CRTs Pledged as Collateral	$ 1,018,444	$ 1,102,543
Mirae Asset Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 955,053	$ 958,756
Percent of Total Amount Outstanding	6.20%	6.10%
MBS and GSE CRTs Pledged as Collateral	$ 1,011,962	$ 1,018,664
MUFG Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 800,043	$ 865,201
Percent of Total Amount Outstanding	5.20%	5.50%
MBS and GSE CRTs Pledged as Collateral	$ 865,731	$ 936,071
Citigroup
Repurchase Agreement Counterparty
Amount Outstanding	$ 739,881	$ 724,094
Percent of Total Amount Outstanding	4.80%	4.60%
MBS and GSE CRTs Pledged as Collateral	$ 862,726	$ 841,977
Amherst Pierpont Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 534,560	$ 722,080
Percent of Total Amount Outstanding	3.50%	4.60%
MBS and GSE CRTs Pledged as Collateral	$ 563,108	$ 764,713
KGS-Alpha Capital Markets
Repurchase Agreement Counterparty
Amount Outstanding	$ 468,171	$ 461,098
Percent of Total Amount Outstanding	3.00%	2.90%
MBS and GSE CRTs Pledged as Collateral	$ 497,673	$ 491,313
JP Morgan
Repurchase Agreement Counterparty
Amount Outstanding	$ 433,950	$ 451,941
Percent of Total Amount Outstanding	2.80%	2.90%
MBS and GSE CRTs Pledged as Collateral	$ 505,625	$ 523,590
South Street Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 391,157	$ 332,623
Percent of Total Amount Outstanding	2.50%	2.10%
MBS and GSE CRTs Pledged as Collateral	$ 410,702	$ 354,689
Societe Generale
Repurchase Agreement Counterparty
Amount Outstanding	$ 373,836	$ 386,737
Percent of Total Amount Outstanding	2.40%	2.50%
MBS and GSE CRTs Pledged as Collateral	$ 471,416	$ 495,093
Goldman Sachs
Repurchase Agreement Counterparty
Amount Outstanding	$ 331,685	$ 324,152
Percent of Total Amount Outstanding	2.20%	2.10%
MBS and GSE CRTs Pledged as Collateral	$ 424,913	$ 419,713
Mizuho Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 285,212	$ 310,835
Percent of Total Amount Outstanding	1.90%	2.00%
MBS and GSE CRTs Pledged as Collateral	$ 302,605	$ 330,555
BNP Paribas Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 280,800	$ 348,340
Percent of Total Amount Outstanding	1.80%	2.20%
MBS and GSE CRTs Pledged as Collateral	$ 312,536	$ 388,091
Guggenheim Liquidity Services
Repurchase Agreement Counterparty
Amount Outstanding	$ 270,239	$ 306,081
Percent of Total Amount Outstanding	1.80%	1.90%
MBS and GSE CRTs Pledged as Collateral	$ 285,207	$ 322,452
Natixis Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 264,068	$ 275,764
Percent of Total Amount Outstanding	1.70%	1.80%
MBS and GSE CRTs Pledged as Collateral	$ 296,149	$ 302,291
Bank of Nova Scotia
Repurchase Agreement Counterparty
Amount Outstanding	$ 236,178	$ 289,705
Percent of Total Amount Outstanding	1.50%	1.80%
MBS and GSE CRTs Pledged as Collateral	$ 251,630	$ 301,715
Wells Fargo Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 218,878
Percent of Total Amount Outstanding	1.40%
MBS and GSE CRTs Pledged as Collateral	$ 263,463
All other counterparties
Repurchase Agreement Counterparty
Amount Outstanding	$ 990,261	$ 882,970
Percent of Total Amount Outstanding	6.60%	5.50%
MBS and GSE CRTs Pledged as Collateral	$ 1,120,124	$ 1,058,759
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks	$ 1,650,000	$ 1,650,000
Secured Loans Counterparty, Percentage of Total Amount Outstanding	10.70%	10.50%
Secured Loans Counterparty, Pledged as Collateral	$ 1,910,709	$ 1,927,496

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($)	3 Months Ended	6 Months Ended		12 Months Ended
	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017	Dec. 31, 2013
Repurchase Agreement Counterparty
Collateral ratio		110.00%		110.00%
Advances from Federal Home Loan Banks		$ 1,650,000,000		$ 1,650,000,000
Payment for debt retirement		$ 143,433,000	$ 185,386,000
Minimum
Repurchase Agreement Counterparty
Repurchase obligation maturity		1 month
Maximum
Repurchase Agreement Counterparty
Repurchase obligation maturity		12 months
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks		$ 1,650,000,000
Average outstanding borrowings from FHLBI		$ 1,650,000,000
FHLBI weighted average interest rate on advances		1.87%
Weighted average maturity (in years)		5 years 11 months
Exchangeable Senior Notes
Repurchase Agreement Counterparty
Debt principal amount					$ 400,000,000
Debt retired amount	$ (31,200,000)	$ (143,400,000)	(181,200,000)
Payment for debt retirement	$ 31,600,000	$ 143,400,000	$ 185,400,000
Accrued interest payable				$ 2,100,000

Collateral Positions (Details)

Collateral Positions (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Repurchase agreements collateral pledged	$ 15,054,450	$ 15,523,415
Securities loaned collateral pledged	1,910,709	1,927,496
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	82,800	109,900
Total collateral pledged	17,055,192	17,561,431
Cash	39,748	7,327
Total collateral held	39,748	7,327
Cash
Derivative [Line Items]
Total collateral pledged	7,255	620
Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	90,033	110,520
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Cash
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	7,255	620
Agency RMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	11,166,220	11,788,765
Securities loaned collateral pledged	642,808	623,181
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	82,778	109,900
Agency CMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	140,714	0
Non-Agency CMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	1,809,084	853,446
Securities loaned collateral pledged	1,267,901	1,304,315
Non-Agency RMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	1,130,621	1,737,831
GSE CRT
Derivative [Line Items]
Repurchase agreements collateral pledged	807,811	1,143,373
Mortgage-backed and credit risk transfer securities
Derivative [Line Items]
Total collateral pledged	$ 17,047,937	$ 17,560,811

Derivatives and Hedging Activ58

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail)	6 Months Ended
	Jun. 30, 2018USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	$ 9,250,352,000
Additions	2,371,754,000
Settlement, Termination, Expiration or Exercise	(1,847,842,000)
Notional Amount as of June 30, 2018	9,774,264,000
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	8,620,000,000
Additions	1,500,000,000
Settlement, Termination, Expiration or Exercise	(1,250,000,000)
Notional Amount as of June 30, 2018	8,870,000,000
Interest Rate Swaps with Forward Start Dates
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	500,000,000
Notional Amount as of June 30, 2018	1,600,000,000
Futures Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	0
Additions	715,000,000
Settlement, Termination, Expiration or Exercise	(430,000,000)
Notional Amount as of June 30, 2018	285,000,000
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	76,859,000
Additions	156,754,000
Settlement, Termination, Expiration or Exercise	(156,159,000)
Notional Amount as of June 30, 2018	77,454,000
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	553,493,000
Additions	0
Settlement, Termination, Expiration or Exercise	(11,683,000)
Notional Amount as of June 30, 2018	$ 541,810,000

Derivatives and Hedging Activ59

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Decrease (increase) to interest expense	$ 6,900	$ 6,400	$ 13,400	$ 12,700
Amount reclassified to interest expenses within Next 12 months	24,200		24,200
Unrealized gain on discontinued cash flow hedges included in AOCI	2,487,171		2,487,171		$ 2,630,491
Notional amount	9,774,264		9,774,264		9,250,352
Derivative Liabilities	6,071		6,071		22,445
Cash margin deposits	7,300		7,300		620
Agency RMBS
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Cash margin deposits	5,300		5,300
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	110,600		110,600		123,900
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	77,454		77,454		76,859
Derivative Liabilities	0		0		1,217
Pound Sterling | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	50,800		50,800		49,700
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 26,700		$ 26,700		$ 27,200

Derivatives and Hedging Activ60

Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($)	Jun. 30, 2018	Dec. 31, 2017
Interest Rate Derivatives Outstanding
Notional amount	$ 9,774,264,000	$ 9,250,352,000
Interest Rate Swaps
Interest Rate Derivatives Outstanding
Notional amount	$ 8,870,000,000	8,620,000,000
Fixed Interest Rate in Contract	2.36636%
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 | CME Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 1,000,000,000
Fixed Interest Rate in Contract	1.8665%
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 | LCH Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 1,000,000,000
Fixed Interest Rate in Contract	2.7735%
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 | LCH Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 220,000,000
Fixed Interest Rate in Contract	2.1225%
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	2.39%
Interest Rate Swaps with Forward Start Dates
Interest Rate Derivatives Outstanding
Notional amount	$ 1,600,000,000	$ 500,000,000
Fixed Interest Rate in Contract	2.87194%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 600,000,000
Fixed Interest Rate in Contract	2.6405%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.7835%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.741%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing
Interest Rate Derivatives Outstanding
Notional amount	$ 600,000,000
Fixed Interest Rate in Contract	3.1765%

Derivatives and Hedging Activ61

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Notional amount	$ 9,774,264	$ 9,250,352
GSE CRT | GSE CRT Embedded Derivatives
Derivative [Line Items]
Fair value amount	38,029	45,400
Notional amount	541,810	553,493
Maximum potential amount of future undiscounted payments	$ 541,810	$ 553,493

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, 2018	Dec. 31, 2017
Derivatives, Fair Value
Derivative Assets	$ 40,773	$ 6,896
Derivative Liabilities	6,071	22,445
Interest Rate Swaps Asset
Derivatives, Fair Value
Derivative Assets	44,122	6,896
Currency Forward Contracts
Derivatives, Fair Value
Derivative Assets	3,387	0
Derivative Liabilities	0	1,217
Interest Rate Swaps Liability
Derivatives, Fair Value
Derivative Liabilities	3,415	31,548
Futures Contracts
Derivatives, Fair Value
Derivative Assets	$ 2,656	$ 0

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, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	$ 67,169	$ (53,513)	$ 200,536	$ (48,051)
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	36,274	(40,229)	149,852	(25,311)
Contractual net interest expense	(4,511)	(19,966)	(16,623)	(42,860)
Unrealized gain (loss), net	35,406	6,682	67,307	20,120
Gain (loss) on derivative instruments, net	67,169	(53,513)	200,536	(48,051)
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	0	0	0	0
Contractual net interest expense	5,638	5,844	11,271	11,651
Unrealized gain (loss), net	(4,903)	15,559	(7,371)	29,707
Gain (loss) on derivative instruments, net	735	21,403	3,900	41,358
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	34,273	(38,512)	156,546	(22,518)
Contractual net interest expense	(4,511)	(19,966)	(16,623)	(42,860)
Unrealized gain (loss), net	32,985	7,975	65,359	20,925
Gain (loss) on derivative instruments, net	62,747	(50,503)	205,282	(44,453)
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	640		(4,637)
Contractual net interest expense	0		0
Unrealized gain (loss), net	(1,044)		(2,656)
Gain (loss) on derivative instruments, net	(404)		(7,293)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	1,361	(1,717)	(2,057)	(2,793)
Contractual net interest expense	0	0	0	0
Unrealized gain (loss), net	3,465	(1,293)	4,604	(805)
Gain (loss) on derivative instruments, net	$ 4,826	$ (3,010)	$ 2,547	$ (3,598)

Derivatives and Hedging Activ64

Derivatives and Hedging Activities - Credit Risk Related Contingent Features (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative liability, net	$ 6,071	$ 32,765
Cash margin deposits	7,300	620
Derivative asset, net	47,509	6,896
Agency RMBS
Derivative [Line Items]
Cash margin deposits	5,300
Bilateral Counterparty
Derivative [Line Items]
Derivative liability, net	3,500
Central Clearing Counterparty
Derivative [Line Items]
Derivative liability, net		$ 10,300
Derivative asset, net	$ 6,700

Offsetting Assets and Liabili65

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative Assets	$ 40,773	$ 6,896
Derivative liabilities, at fair value	$ 6,071	32,765
Central Clearing Counterparty
Derivative [Line Items]
Derivative liabilities, at fair value		$ 10,300

Offsetting Assets and Liabili66

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivatives Asset
Gross Amounts of Recognized Assets	$ 40,773	$ 6,896
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	40,773	6,896
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	0	0
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	(39,389)	(6,896)
Net Amount	$ 1,384	$ 0

Offsetting Assets and Liabili67

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Derivatives Liability
Gross Amounts of Recognized Liabilities	$ 6,071	$ 22,445
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	6,071	22,445
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(3,415)	(21,169)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(2,656)	(620)
Net Amount	0	656
Repurchase Agreements
Gross Amounts of Recognized Liabilities	13,702,321	14,080,801
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	13,702,321	14,080,801
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(13,702,321)	(14,080,801)
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	1,650,000
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	1,650,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(1,650,000)	(1,650,000)
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	15,358,392	15,753,246
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	15,358,392	15,753,246
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(15,355,736)	(15,751,970)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(2,656)	(620)
Net Amount	0	656
Interest rate swaps collateral pledged	82,800	109,900
Cash collateral posted by Company's derivative counterparties	39,748	7,327
Due from counterparties	7,300	620
Fair value of securities pledged under repurchase agreement	15,054,450	15,523,415
Collateral pledged against secured loans	1,910,709	1,927,496
IAS Services LLC
Total Borrowings
Collateral pledged against secured loans	1,900,000
Centrally Cleared Interest Rate Swaps
Total Borrowings
Interest rate swaps collateral pledged	$ 77,400	$ 86,200

Fair Value of Financial Instr68

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively)	$ 17,583,187	$ 18,190,754
Derivative Assets	40,773	6,896
Derivative Liabilities	$ 6,071	$ 22,445
Weighted average remaining term of investments in unconsolidated ventures	2 years 2 months	1 year 11 months
Securities under Fair Value Option	$ 7,273,665	$ 6,468,379
GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively)	850,656	866,879
Securities under Fair Value Option	231,103	231,342
Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives in an asset position	38,029	45,400
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively)	17,583,187	18,190,754
Derivative Assets	47,509	6,896
Other assets, at fair value	32,959	29,951
Total assets	17,663,655	18,227,601
Derivative Liabilities	6,071	32,765
Total liabilities	6,071	32,765
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 $17,047,937 and $17,560,811, respectively)	0	0
Derivative Assets	0	0
Other assets, at fair value	3,962	3,979
Total assets	3,962	3,979
Derivative Liabilities	2,656	0
Total liabilities	2,656	0
Recurring | Level 1 | Exchange-traded funds
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Securities under Fair Value Option	4,000	4,000
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 $17,047,937 and $17,560,811, respectively)	17,545,158	18,145,354
Derivative Assets	47,509	6,896
Other assets, at fair value	0	0
Total assets	17,592,667	18,152,250
Derivative Liabilities	3,415	32,765
Total liabilities	3,415	32,765
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 $17,047,937 and $17,560,811, respectively)	38,029	45,400
Derivative Assets	0	0
Other assets, at fair value	0	0
Total assets	38,029	45,400
Derivative Liabilities	0	0
Total liabilities	0	0
Recurring | Level 3 | GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives at fair value	38,000	45,400
Embedded derivatives in an asset position	39,400	46,500
Embedded derivatives in a liability position	1,400	1,100
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 28,997	$ 25,972

Fair Value of Financial Instr69

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ 42,932	$ 31,243	$ 45,400	$ 17,095
Unrealized credit derivative gains (losses), net	(4,903)	15,559	(7,371)	29,707
Ending balance	$ 38,029	$ 46,802	$ 38,029	$ 46,802

Fair Value of Financial Instr70

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Level 3 $ in Thousands	Jun. 30, 2018USD ($)year	Dec. 31, 2017USD ($)year
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives | $	$ 38,029	$ 45,400
Measurement Input, Expected Term | Minimum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	2.8	2.6
Measurement Input, Expected Term | Maximum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	6.4	6.8
Measurement Input, Expected Term | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	4.6	4.8

Fair Value of Financial Instr71

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Jun. 30, 2018	Dec. 31, 2017
Carrying Value
Financial Assets
Other assets	$ 74,250	$ 74,250
Total	201,857	266,058
Financial Liabilities
Repurchase agreements	13,702,321	14,080,801
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	0	143,231
Total	15,352,321	15,874,032
Carrying Value | Commercial loans, held-for-investment
Financial Assets
Commercial loans, held-for-investment	127,607	191,808
Estimated Fair Value
Financial Assets
Other assets	74,250	74,250
Total	202,020	266,180
Financial Liabilities
Repurchase agreements	13,702,411	14,080,460
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	0	143,948
Total	15,352,411	15,874,408
Estimated Fair Value | Commercial loans, held-for-investment
Financial Assets
Commercial loans, held-for-investment	$ 127,770	$ 191,930

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Dec. 31, 2017
Related Party Transaction [Line Items]
Management fee – related party	$ 10,102,000	$ 9,027,000	$ 20,323,000	$ 17,828,000
Investment in money market or mutual funds managed by affiliates of a related party	70,254,000		$ 70,254,000		$ 88,381,000
Manager
Related Party Transaction [Line Items]
Management fee as percentage of stockholders' equity per annum			1.50%
Termination fee multiplier			3
Termination fees assessment period			24 months
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction [Line Items]
Management fee – related party	217,000	$ 202,000	$ 431,000	$ 387,000
Investment in money market or mutual funds managed by affiliates of a related party	$ 24,200,000		$ 24,200,000		$ 74,400,000

Related Party Transactions - Sc

Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 1,302	$ 1,249	$ 2,959	$ 2,794
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	1,300	1,249	2,792	2,794
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 2	$ 0	$ 167	$ 0

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Jun. 15, 2018	May 02, 2018	Dec. 31, 2017	Aug. 31, 2017	Sep. 27, 2017	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017	Sep. 28, 2017
Class of Stock
Equity distribution agreement, authorized (in shares)			17,000,000
Common stock dividend declared (dollars per share)						$ 0.42	$ 0.4	$ 0.84	$ 0.8
Common Stock
Class of Stock
Remaining number of shares authorized to be repurchased (in shares)						18,239,082		18,239,082
Common stock dividend declared (dollars per share)	$ 0.42
Preferred Stock
Class of Stock
Preferred stock, redemption price per share (dollars per share)						$ 25		$ 25
Series A 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
Preferred stock dividend (dollars per share)	$ 0.4844
Series B 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
Preferred stock dividend (dollars per share)		$ 0.4844
Series C Preferred Stock
Class of Stock
Preferred stock dividend rate				7.50%
Preferred stock, liquidation preference (dollars per share)				$ 25
Preferred stock, dividends per annum (dollars per share)					$ 1.875
Proceeds from issuance of preferred stock, net of offering costs				11,500,000
Preferred stock dividend (dollars per share)		$ 0.46875
LIBOR | Series B Preferred Stock
Class of Stock
Preferred stock dividend variable rate spread						5.18%		5.18%
LIBOR | Series C Preferred Stock
Class of Stock
Preferred stock dividend variable rate spread										5.289%
Incentive Plan
Class of Stock
Number of shares of common stock remain available for future issuance (in shares)						771,823		771,823
Total unrecognized compensation cost						$ 276		$ 276
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						$ 106	$ 112	$ 199	$ 197
Restricted stock issued (in shares)						6,465	5,292	13,642	10,748
Incentive Plan | Common Stock | Employee
Class of Stock
Compensation expense recognized						$ 30	$ 35	$ 44	$ 66

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares	3 Months Ended	6 Months Ended
	Jun. 30, 2018	Jun. 30, 2018
Restricted Stock Units
Unvested at the beginning of the period (in shares)	19,185	19,827
Shares granted during the period (in shares)	0	7,055
Shares vested during the period (in shares)	0	(7,697)
Unvested at the end of the period (in shares)	19,185	19,185
Weighted Average Grant Date Fair Value
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share)	$ 14.56	$ 14.35
Granted, Weighted Average Grant Date Fair Value (usd per share)	0	15.37
Vested, Weighted Average Grant Date Fair Value (usd per share)	0	14.75
Weighted Average Grant Date Fair Value, at the end of the period (usd per share)	$ 14.56	$ 14.56

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ (47,929)	$ 39,633	$ (180,246)	$ 55,922
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	9,889	651	19,126	1,501
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,898)	(6,369)	(13,437)	(12,667)
Currency translation adjustments on investment in unconsolidated venture	486	139	798	(476)
Total other comprehensive income (loss)	(44,452)	34,054	(173,759)	44,280
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period			2,656,878
Total other comprehensive income/(loss)	(44,452)	34,054	(173,759)	44,280
Other comprehensive income/(loss) attributable to non-controlling interest	561	(429)	2,191	(558)
Rebalancing of ownership percentage of non-controlling interest		1		1
Balance at end of period	2,511,723		2,511,723
Equity method investments including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	486	139	798	(476)
Total other comprehensive income (loss)	486	139	798	(476)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income/(loss)	486	139	798	(476)
Other comprehensive income/(loss) attributable to non-controlling interest	(5)	(2)	(9)	6
Rebalancing of ownership percentage of non-controlling interest		0		0
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	(47,929)	39,633	(180,246)	55,922
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	9,889	651	19,126	1,501
Total other comprehensive income (loss)	(38,040)	40,284	(161,120)	57,423
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income/(loss)	(38,040)	40,284	(161,120)	57,423
Other comprehensive income/(loss) attributable to non-controlling interest	479	(508)	2,031	(724)
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	(6,898)	(6,369)	(13,437)	(12,667)
Total other comprehensive income (loss)	(6,898)	(6,369)	(13,437)	(12,667)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income/(loss)	(6,898)	(6,369)	(13,437)	(12,667)
Other comprehensive income/(loss) attributable to non-controlling interest	87	81	169	160
Rebalancing of ownership percentage of non-controlling interest		0		0
Equity method investments attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	1,255	(512)	947	95
Balance at end of period	1,736	(375)	1,736	(375)
Available-for-sale securities attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	14,660	161,381	136,188	144,458
Balance at end of period	(22,901)	201,158	(22,901)	201,158
Derivative and hedging attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	117,437	142,896	123,894	149,115
Balance at end of period	110,626	136,608	110,626	136,608
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)			(171,568)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	133,352	303,765	261,029	293,668
Total other comprehensive income/(loss)			(171,568)
Balance at end of period	$ 89,461	$ 337,391	$ 89,461	$ 337,391

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, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Basic Earnings:
Net income available to common stockholders	$ 80,008	$ 46,834	$ 121,479	$ 133,964
Effect of dilutive securities:
Income allocated to exchangeable senior notes	0	3,504	1,621	8,512
Income allocated to non-controlling interest	1,163	670	1,834	1,856
Dilutive net income available to stockholders	$ 81,171	$ 51,008	$ 124,934	$ 144,332
Basic Earnings:
Shares available to common stockholders (in shares)	111,641	111,608	111,635	111,603
Effect of dilutive securities:
Restricted stock awards (in shares)	19	20	19	20
Non-controlling interest OP units (in shares)	1,425	1,425	1,425	1,425
Exchangeable senior notes (in shares)	0	10,507	2,389	12,782
Dilutive Shares (in shares)	113,085	123,560	115,468	125,830
Net income attributable to common stockholders
Basic (usd per share)	$ 0.72	$ 0.42	$ 1.09	$ 1.20
Diluted (usd per share)	$ 0.72	$ 0.41	$ 1.08	$ 1.15

Non-controlling Interest - Op78

Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($)	Jun. 30, 2018	Dec. 31, 2017
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	$ 598,500	$ 598,500

Non-controlling Interest - Op79

Non-controlling Interest - Operating Partnership - Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests (Details) - Non-controlling Interest - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2018	Jun. 30, 2017	Jun. 30, 2018	Jun. 30, 2017
Noncontrolling Interest
Net income allocated	$ 1,163	$ 670	$ 1,834	$ 1,856
Distributions paid	$ 598	$ 570	$ 1,197	$ 1,140

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	6 Months Ended	12 Months Ended
	Jun. 30, 2018	Dec. 31, 2017
Commitments and Contingencies Disclosure [Abstract]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 7.5	$ 10.2
Unfunded commitment	$ 2.7	$ 4.8