Invesco Mortgage Capital (IVR) 10-Q 7 Aug 19 2019 Q2 Quarterly report Financial data

Cover

Cover - shares	6 Months Ended
	Jun. 30, 2019	Jul. 31, 2019
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2019
Document Transition Report	false
Entity File Number	001-34385
Entity Registrant Name	Invesco Mortgage Capital Inc.
Entity Incorporation, State or Country Code	MD
Entity Tax Identification Number	26-2749336
Entity Address, Address Line One	1555 Peachtree Street, N.E., Suite 1800,
Entity Address, City or Town	Atlanta,
Entity Address, State or Province	GA
Entity Address, Postal Zip Code	30309
City Area Code	404
Local Phone Number	892-0896
Entity Current Reporting Status	Yes
Entity Interactive Data Current	Yes
Entity Filer Category	Large Accelerated Filer
Entity Small Business	false
Entity Emerging Growth Company	false
Entity Shell Company	false
Entity Common Stock, Shares Outstanding		128,795,528
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2019
Document Fiscal Period Focus	Q2
Amendment Flag	false
Common Stock
Entity Information [Line Items]
Title of 12(b) Security	Common Stock, par value $0.01 per share
Trading Symbol	IVR
Security Exchange Name	NYSE
7.75% Series A Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Series A Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpA
Security Exchange Name	NYSE
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpB
Security Exchange Name	NYSE
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Entity Information [Line Items]
Title of 12(b) Security	7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock
Trading Symbol	IVRpC
Security Exchange Name	NYSE

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $20,848,269 and $17,082,825, respectively)	$ 21,536,047	$ 17,396,642
Cash and cash equivalents	99,620	135,617
Restricted cash	55,271	0
Due from counterparties	21,041	13,500
Investment related receivable	141,989	66,598
Derivative assets, at fair value	10,067	15,089
Other assets	174,043	186,059
Total assets	22,038,078	17,813,505
Liabilities:
Repurchase agreements	17,075,065	13,602,484
Secured loans	1,650,000	1,650,000
Derivative liabilities, at fair value	36,969	23,390
Dividends and distributions payable	60,671	49,578
Investment related payable	462,060	132,096
Accrued interest payable	55,002	37,620
Collateral held payable	14,939	18,083
Accounts payable and accrued expenses	3,144	1,694
Due to affiliate	10,127	11,863
Total liabilities	19,367,977	15,526,808
Commitments and contingencies
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 128,795,528 and 111,584,996 shares issued and outstanding, respectively	1,287	1,115
Additional paid in capital	2,650,329	2,383,532
Accumulated other comprehensive income	318,013	220,813
Retained earnings (distributions in excess of earnings)	(862,852)	(882,087)
Total stockholders’ equity	2,670,101	2,286,697
Total liabilities and stockholders' equity	22,038,078	17,813,505
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 BALANC_2

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
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	128,795,528	111,584,996
Common Stock - shares outstanding	128,795,528	111,584,996
MBS and GSE CRT pledged as collateral	$ 20,848,269	$ 17,082,825
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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Interest Income
Mortgage-backed and credit risk transfer securities	$ 200,737	$ 147,548	$ 386,229	$ 296,551
Commercial and other loans	1,484	4,051	3,066	8,273
Total interest income	202,221	151,599	389,295	304,824
Interest Expense
Repurchase agreements	117,978	69,389	219,853	128,974
Secured loans	11,258	8,471	22,402	15,398
Exchangeable senior notes	0		0	1,621
Total interest expense	129,236	77,860	242,255	145,993
Net interest income	72,985	73,739	147,040	158,831
Other Income (loss)
Gain (loss) on investments, net	302,182	(36,377)	570,564	(196,747)
Equity in earnings (losses) of unconsolidated ventures	702	798	1,394	1,694
Gain (loss) on derivative instruments, net	(344,733)	67,169	(546,193)	200,536
Realized and unrealized credit derivative income (loss), net	(2,438)	735	5,446	3,900
Net loss on extinguishment of debt	0	0	0	(26)
Other investment income (loss), net	1,007	(2,160)	2,036	942
Total other income (loss)	(43,280)	30,165	33,247	10,299
Expenses
Management fee – related party	9,370	10,102	18,904	20,323
General and administrative	1,999	1,525	4,257	3,281
Total expenses	11,369	11,627	23,161	23,604
Net income	18,336	92,277	157,126	145,526
Net income attributable to non-controlling interest	0	1,163	0	1,834
Net income attributable to Invesco Mortgage Capital Inc.	18,336	91,114	157,126	143,692
Dividends to preferred stockholders	11,106	11,106	22,213	22,213
Net income attributable to common stockholders	$ 7,230	$ 80,008	$ 134,913	$ 121,479
Earnings per share:
Net income attributable to common shareholders (basic) (usd per share)	$ 0.06	$ 0.72	$ 1.08	$ 1.09
Net income attributable to common shareholders (diluted) (usd per share)	$ 0.06	$ 0.72	$ 1.08	$ 1.08

CONDENSED CONSOLIDATED STATEM_2

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Statement of Comprehensive Income [Abstract]
Net income	$ 18,336	$ 92,277	$ 157,126	$ 145,526
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	47,188	(47,929)	99,537	(180,246)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(121)	9,889	10,026	19,126
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,916)	(6,898)	(11,767)	(13,437)
Currency translation adjustments on investment in unconsolidated venture	(320)	486	(596)	798
Total other comprehensive income (loss)	40,831	(44,452)	97,200	(173,759)
Comprehensive income (loss)	59,167	47,825	254,326	(28,233)
Less: Comprehensive (income) loss attributable to non-controlling interest	0	(602)	0	357
Less: Dividends to preferred stockholders	(11,106)	(11,106)	(22,213)	(22,213)
Comprehensive income (loss) attributable to common stockholders	$ 48,061	$ 36,117	$ 232,113	$ (50,089)

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENTS 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
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	53,249							52,578	52,578	671
Other comprehensive income (loss)	(129,307)						(127,677)		(127,677)	(1,630)
Stock awards (in shares)					12,564
Common stock dividends	(46,887)							(46,887)	(46,887)
Common unit dividends	(599)									(599)
Preferred stock dividends	(11,107)							(11,107)	(11,107)
Amortization of equity-based compensation	129					127			127	2
Rebalancing of ownership percentage of non-controlling interest						143			143	(143)
Ending Balance (in shares) at Mar. 31, 2018		5,600,000	6,200,000	11,500,000	111,636,723
Balance at end of period at Mar. 31, 2018	2,522,356	$ 135,356	$ 149,860	$ 278,108	$ 1,116	2,384,626	133,352	(584,750)	2,497,668	24,688
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
Other comprehensive income (loss)	(173,759)
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
Beginning Balance (in shares) at Mar. 31, 2018		5,600,000	6,200,000	11,500,000	111,636,723
Balance at beginning of period at Mar. 31, 2018	2,522,356	$ 135,356	$ 149,860	$ 278,108	$ 1,116	2,384,626	133,352	(584,750)	2,497,668	24,688
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	92,277							91,114	91,114	1,163
Other comprehensive income (loss)	(44,452)						(43,891)		(43,891)	(561)
Stock awards (in shares)					6,465
Common stock dividends	(46,890)							(46,890)	(46,890)
Common unit dividends	(598)									(598)
Preferred stock dividends	(11,106)							(11,106)	(11,106)
Amortization of equity-based compensation	136					135			135	1
Rebalancing of ownership percentage of non-controlling interest						141			141	(141)
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
Beginning Balance (in shares) at Dec. 31, 2018		5,600,000	6,200,000	11,500,000	111,584,996
Balance at beginning of period at Dec. 31, 2018		$ 135,356	$ 149,860	$ 278,108	$ 1,115	2,383,532	220,813	(882,087)	2,286,697
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income								138,790	138,790
Other comprehensive income (loss)							56,369		56,369
Proceeds from issuance of common stock, net of offering costs (in shares)					16,672,000
Proceeds from issuance of common stock, net of offering costs					$ 167	258,386			258,553
Stock awards (in shares)					10,501
Common stock dividends								(57,720)	(57,720)
Preferred stock dividends								(11,107)	(11,107)
Amortization of equity-based compensation						132			132
Ending Balance (in shares) at Mar. 31, 2019		5,600,000	6,200,000	11,500,000	128,267,497
Balance at end of period at Mar. 31, 2019		$ 135,356	$ 149,860	$ 278,108	$ 1,282	2,642,050	277,182	(812,124)	2,671,714
Beginning Balance (in shares) at Dec. 31, 2018		5,600,000	6,200,000	11,500,000	111,584,996
Balance at beginning of period at Dec. 31, 2018		$ 135,356	$ 149,860	$ 278,108	$ 1,115	2,383,532	220,813	(882,087)	2,286,697
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	157,126
Other comprehensive income (loss)	97,200
Ending Balance (in shares) at Jun. 30, 2019		5,600,000	6,200,000	11,500,000	128,795,528
Balance at end of period at Jun. 30, 2019		$ 135,356	$ 149,860	$ 278,108	$ 1,287	2,650,329	318,013	(862,852)	2,670,101
Beginning Balance (in shares) at Mar. 31, 2019		5,600,000	6,200,000	11,500,000	128,267,497
Balance at beginning of period at Mar. 31, 2019		$ 135,356	$ 149,860	$ 278,108	$ 1,282	2,642,050	277,182	(812,124)	2,671,714
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	18,336							18,336	18,336
Other comprehensive income (loss)	$ 40,831						40,831		40,831
Proceeds from issuance of common stock, net of offering costs (in shares)					521,136
Proceeds from issuance of common stock, net of offering costs					$ 5	8,149			8,154
Stock awards (in shares)					6,895
Common stock dividends								(57,958)	(57,958)
Preferred stock dividends								(11,106)	(11,106)
Amortization of equity-based compensation						130			130
Ending Balance (in shares) at Jun. 30, 2019		5,600,000	6,200,000	11,500,000	128,795,528
Balance at end of period at Jun. 30, 2019		$ 135,356	$ 149,860	$ 278,108	$ 1,287	$ 2,650,329	$ 318,013	$ (862,852)	$ 2,670,101

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018
Cash Flows from Operating Activities
Net income	$ 157,126	$ 145,526
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	13,800	25,657
Realized and unrealized (gain) loss on derivative instruments, net	558,227	(217,159)
Realized and unrealized (gain) loss on credit derivatives, net	5,204	7,371
(Gain) loss on investments, net	(570,564)	196,747
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	(1,394)	(1,150)
Other amortization	(11,505)	(13,052)
Net loss on extinguishment of debt	0	26
(Gain) loss on foreign currency transactions, net	0	1,099
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	(10,769)	2,267
Increase in operating liabilities	16,877	435
Net cash provided by operating activities	157,002	147,767
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(5,644,867)	(1,213,558)
(Contributions to) distributions from investments in unconsolidated ventures, net	(865)	(1,077)
Change in other assets	7,096	0
Principal payments from mortgage-backed and credit risk transfer securities	760,639	1,061,392
Proceeds from sale of mortgage-backed and credit risk transfer securities	1,670,394	387,726
Settlement (termination) of futures, currency forwards and interest rate swaps, net	(539,626)	149,852
Net change in due from counterparties and collateral held payable	(9,435)	25,165
Principal payments from commercial loans held-for-investment	7,261	64,814
Origination and advances of commercial loans, net of origination fees	0	(1,677)
Net cash (used in) provided by investing activities	(3,749,403)	472,637
Cash Flows from Financing Activities
Proceeds from issuance of common stock	266,878	0
Proceeds from repurchase agreements	54,344,320	72,281,324
Principal repayments of repurchase agreements	(50,872,638)	(72,659,696)
Extinguishment of exchangeable senior notes	0	(143,433)
Payments of deferred costs	(87)	(167)
Payments of dividends and distributions	(126,798)	(117,179)
Net cash provided by (used in) financing activities	3,611,675	(639,151)
Net change in cash, cash equivalents and restricted cash	19,274	(18,747)
Cash, cash equivalents and restricted cash, beginning of period	135,617	89,001
Cash, cash equivalents and restricted cash, end of period	154,891	70,254
Supplement Disclosure of Cash Flow Information
Interest paid	236,649	158,027
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	109,563	(161,120)
Dividends and distributions declared not paid	60,671	50,201
Net change in investment related payable (receivable)	(264,449)	(18,871)
Offering costs not paid	(171)	0
Net change in repurchase agreements, not settled	$ 899	$ (108)

Organization and Business Opera

Organization and Business Operations	6 Months Ended
	Jun. 30, 2019
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 other mortgage-related assets. 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") and have one operating segment. Prior to November 30, 2018, a wholly-owned subsidiary of Invesco owned 1.3% of the Operating Partnership. See Note 15 - "Non-Controlling Interest - Operating Partnership" of our Annual Report on Form 10-K for the year ended December 31, 2018 for information regarding redemption of Operating Partnership Units ("OP Units") previously held by Invesco. 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 ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“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, 2019
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, 2018 . Our 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. Reclassifications Our condensed consolidated balance sheet for the year ended December 31, 2018 presented in this Form 10-Q includes a reclassification of Commercial Loans, held-for-investment to Other assets to conform to our current period presentation. See Note 5 - "Other Assets" for further information. 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, provision 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, 2018 except for the implementation of new accounting guidance for stock-based payments to non-employees discussed below. Accounting Pronouncements Recently Adopted Effective January 1, 2019, we adopted the accounting guidance 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 is fixed at the grant date. The implementation of the guidance did not have a material impact on our financial statements. 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 requires entities to record credit 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 as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance and proposed amendments to the new guidance on our consolidated financial statements. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. The Company elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities will be limited to those securities purchased prior to election of the fair value option that the Company continues to hold on January 1, 2020. As of June 30, 2019, we hold approximately $4.8 billion of MBS and GSE CRT securities that were purchased prior to election of the fair value option that will be assessed for impairment under the new guidance. The new guidance for available-for-sale securities will be implemented prospectively. We have one commercial loan as of June 30, 2019 that is measured at amortized cost. We intend to implement the new guidance for this loan by electing the fair value option. The new guidance for this loan will be implemented on a modified retrospective basis by recording a cumulative effect adjustment to retained earnings on January 1, 2020. The loan is due in February 2021, and we do not expect the new guidance to have a material impact on our accounting for this loan.

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	6 Months Ended
	Jun. 30, 2019
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, 2019 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,651,587 3,651,587 Non-Agency RMBS 1,118,073 1,118,073 Investments in unconsolidated ventures 25,675 25,675 Total 4,795,335 4,795,335 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "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, 2019
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, 2019 and December 31, 2018 . June 30, 2019 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 325,735 2,318 328,053 9,867 337,920 3.35 % 30 year fixed-rate 11,496,479 366,826 11,863,305 213,786 12,077,091 3.70 % ARM * 6,104 178 6,282 55 6,337 3.68 % Hybrid ARM* 97,925 1,694 99,619 1,169 100,788 3.21 % Total Agency RMBS pass-through 11,926,243 371,016 12,297,259 224,877 12,522,136 3.69 % Agency-CMO (2) 945,125 (543,338 ) 401,787 11,377 413,164 3.41 % Agency CMBS 2,705,117 46,874 2,751,991 174,252 2,926,243 3.39 % Non-Agency CMBS (3) 4,279,103 (768,252 ) 3,510,851 140,736 3,651,587 5.21 % Non-Agency RMBS (4)(5)(6) 2,646,663 (1,648,005 ) 998,658 119,415 1,118,073 6.70 % GSE CRT (7) 835,392 18,319 853,711 51,133 904,844 3.11 % Total 23,337,643 (2,523,386 ) 20,814,257 721,790 21,536,047 4.02 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of June 30, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 60.9% of principal/notional balance, 7.8% of amortized cost and 7.6% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 14.0% of principal/notional balance, 0.4% of amortized cost and 0.4% of fair value. (4) Non-Agency RMBS is 55.7% fixed rate, 39.2% variable rate, and 5.1% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $134.7 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 55.5% of principal/notional balance, 2.3% of amortized cost and 2.0% of fair value. (7) 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, 2018 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 417,233 5,077 422,310 1,944 424,254 3.27 % 30 year fixed-rate 9,599,301 298,693 9,897,994 (125,225 ) 9,772,769 3.55 % ARM 105,453 350 105,803 (56 ) 105,747 2.74 % Hybrid ARM 548,133 13,425 561,558 (7,357 ) 554,201 2.80 % Total Agency RMBS pass-through 10,670,120 317,545 10,987,665 (130,694 ) 10,856,971 3.49 % Agency-CMO (2) 907,862 (631,180 ) 276,682 (8,991 ) 267,691 3.61 % Agency CMBS 973,122 15,058 988,180 14,330 1,002,510 3.54 % Non-Agency CMBS (3) 4,024,715 (727,307 ) 3,297,408 (10,949 ) 3,286,459 5.05 % Non-Agency RMBS (4)(5)(6) 2,800,335 (1,748,223 ) 1,052,112 111,570 1,163,682 7.24 % GSE CRT (7) 738,529 21,259 759,788 59,541 819,329 3.10 % Total 20,114,683 (2,752,848 ) 17,361,835 34,807 17,396,642 4.00 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 73.6% o f principal (notional) balance, 13.5% of amortized cost and 12.4% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS is 43.5% variable rate, 50.7% fixed rate, and 5.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $145.6 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value. (7) 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, 2019 and December 31, 2018 . 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, 2019 and December 31, 2018 , approximately 78% and 67% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. June 30, 2019 December 31, 2018 $ 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 126,708 211,212 337,920 204,347 219,907 424,254 30 year fixed-rate 869,612 11,207,479 12,077,091 1,093,070 8,679,699 9,772,769 ARM 6,337 — 6,337 105,747 — 105,747 Hybrid ARM 69,770 31,018 100,788 521,199 33,002 554,201 Total RMBS Agency pass-through 1,072,427 11,449,709 12,522,136 1,924,363 8,932,608 10,856,971 Agency-CMO 163,025 250,139 413,164 168,385 99,306 267,691 Agency CMBS — 2,926,243 2,926,243 — 1,002,510 1,002,510 Non-Agency CMBS 2,168,868 1,482,719 3,651,587 2,153,403 1,133,056 3,286,459 Non-Agency RMBS 862,660 255,413 1,118,073 961,445 202,237 1,163,682 GSE CRT 555,134 349,710 904,844 586,231 233,098 819,329 Total 4,822,114 16,713,933 21,536,047 5,793,827 11,602,815 17,396,642 The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2019 and December 31, 2018 are presented below. June 30, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 20,839,637 2,498,006 23,337,643 Unamortized premium 471,995 — 471,995 Unamortized discount (561,979 ) (2,433,402 ) (2,995,381 ) Gross unrealized gains (1) 731,892 5,783 737,675 Gross unrealized losses (1) (11,668 ) (4,217 ) (15,885 ) Fair value 21,469,877 66,170 21,536,047 December 31, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 17,442,367 2,672,316 20,114,683 Unamortized premium 395,907 — 395,907 Unamortized discount (549,988 ) (2,598,767 ) (3,148,755 ) Gross unrealized gains (1) 238,579 7,448 246,027 Gross unrealized losses (1) (204,664 ) (6,556 ) (211,220 ) Fair value 17,322,201 74,441 17,396,642 (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, 2019 and 2018 is provided below within this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2019 and December 31, 2018 . $ in thousands June 30, 2019 December 31, 2018 Less than one year 55,567 110,020 Greater than one year and less than five years 9,122,993 3,508,100 Greater than or equal to five years 12,357,487 13,778,522 Total 21,536,047 17,396,642 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, 2019 and December 31, 2018 . June 30, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 2,853 (7 ) 14 3,833 (22 ) 14 6,686 (29 ) 28 30 year fixed-rate 958 (2 ) 2 903,747 (3,390 ) 31 904,705 (3,392 ) 33 ARM — — — 2,764 (32 ) 2 2,764 (32 ) 2 Hybrid ARM 2,757 (1 ) 1 32,705 (396 ) 10 35,462 (397 ) 11 Total Agency RMBS pass-through (1) 6,568 (10 ) 17 943,049 (3,840 ) 57 949,617 (3,850 ) 74 Agency-CMO (2) 7,302 (2,392 ) 13 46,468 (1,400 ) 13 53,770 (3,792 ) 26 Non-Agency CMBS (3) 15,899 (29 ) 3 127,707 (6,586 ) 9 143,606 (6,615 ) 12 Non-Agency RMBS (4) 11,399 (1,027 ) 10 84,033 (601 ) 11 95,432 (1,628 ) 21 Total 41,168 (3,458 ) 43 1,201,257 (12,427 ) 90 1,242,425 (15,885 ) 133 (1) Includes Agency RMBS with a fair value of $ 786.5 million for which the fair value option has been elected. These securities have unrealized losses of $ 2.6 million . (2) Includes Agency IO with fair value of $12.2 million for which the fair value option has been elected. These Agency IO have unrealized losses of $3.3 million . (3) Includes non-Agency CMBS with a fair value of $15.9 million for which the fair value option has been elected. These securities have unrealized losses of $29,000 . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.1 million and $4.4 million , respectively for which the fair value option has been elected. These securities have unrealized losses of $120,000 and $907,000 , respectively. December 31, 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 86,241 (814 ) 50 16,660 (189 ) 22 102,901 (1,003 ) 72 30 year fixed-rate 3,966,347 (49,182 ) 158 2,846,090 (94,716 ) 95 6,812,437 (143,898 ) 253 ARM 2,632 (28 ) 1 49,954 (785 ) 10 52,586 (813 ) 11 Hybrid ARM 6,758 (59 ) 2 453,463 (8,390 ) 71 460,221 (8,449 ) 73 Total Agency RMBS pass-through (1) 4,061,978 (50,083 ) 211 3,366,167 (104,080 ) 198 7,428,145 (154,163 ) 409 Agency-CMO (2) 152,962 (6,315 ) 34 101,705 (5,100 ) 19 254,667 (11,415 ) 53 Non-Agency CMBS (3) 1,214,691 (17,778 ) 94 659,298 (25,381 ) 52 1,873,989 (43,159 ) 146 Non-Agency RMBS (4) 87,850 (1,152 ) 19 89,265 (1,138 ) 16 177,115 (2,290 ) 35 GSE CRT (5) 9,639 (193 ) 1 — — — 9,639 (193 ) 1 Total 5,527,120 (75,521 ) 359 4,216,435 (135,699 ) 285 9,743,555 (211,220 ) 644 (1) Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. These securities have unrealized losses of $ 130.2 million . (2) Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. These securities have unrealized losses of $26.3 million . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million for which the fair value option has been elected. These securities have unrealized losses of $79,000 and $269,000 , respectively. (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $4.3 million at June 30, 2019 . Gross unrealized losses on our Agency RMBS, GSE CRT and CMO were $159.3 million at December 31, 2018 . Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at June 30, 2019 and December 31, 2018 , 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 $11.6 million at June 30, 2019 ( December 31, 2018 : $51.9 million ). 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 ("OTTI"). We assess our investment securities for 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, 2019 and 2018 : Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2018 2019 2018 RMBS interest-only securities 489 2,089 1,952 6,398 Non-Agency RMBS (1) 711 — 1,024 50 Total 1,200 2,089 2,976 6,448 (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, 2019 , 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, 2019 and 2018 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2018 2019 2018 Gross realized gains on sale of investments 3,957 35 5,159 35 Gross realized losses on sale of investments (1,928 ) (11,560 ) (14,245 ) (20,797 ) Other-than-temporary impairment losses (1,200 ) (2,089 ) (2,976 ) (6,448 ) Net unrealized gains and losses on MBS accounted for under the fair value option 304,692 (22,941 ) 584,731 (170,136 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option (3,339 ) 182 (2,105 ) 616 Net unrealized gains and losses on trading securities — (4 ) — (17 ) Total gain (loss) on investments, net 302,182 (36,377 ) 570,564 (196,747 ) 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, 2019 and 2018 . 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, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 131,757 (17,153 ) 114,604 Agency CMBS 17,862 (909 ) 16,953 Non-Agency CMBS 40,615 3,350 43,965 Non-Agency RMBS 13,877 2,800 16,677 GSE CRT 9,426 (1,852 ) 7,574 Other 964 — 964 Total 214,501 (13,764 ) 200,737 For the three months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 105,389 (22,274 ) 83,115 Agency CMBS 41 (1 ) 40 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 six months ended June 30, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 251,483 (29,347 ) 222,136 Agency CMBS 28,333 (1,440 ) 26,893 Non-Agency CMBS 79,445 6,381 85,826 Non-Agency RMBS 28,144 6,722 34,866 GSE CRT 18,022 (3,030 ) 14,992 Other 1,516 — 1,516 Total 406,943 (20,714 ) 386,229 For the six months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 213,706 (45,496 ) 168,210 Agency CMBS 41 (1 ) 40 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

Other Assets

Other Assets	6 Months Ended
	Jun. 30, 2019
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of June 30, 2019 and December 31, 2018 . $ in thousands June 30, 2019 December 31, 2018 FHLBI stock 74,250 74,250 Loan participation interest 47,885 54,981 Commercial loans, held-for-investment 24,321 31,582 Investments in unconsolidated ventures 25,675 24,012 Prepaid expenses and other assets 1,912 1,234 Total 174,043 186,059 IAS Services LLC, our wholly-owned captive insurance subsidiary, is required to purchase and hold Federal Home Loan Bank of Indianapolis ("FHLBI") stock as a condition of membership in the FHLBI. The stock is recorded at cost. In August 2018, we acquired a participation interest in a secured loan collateralized by mortgage servicing rights. The secured loan has a two year term subject to a one year extension at the borrower's option. The participation interest bears interest at a floating rate based on LIBOR plus a spread. The weighted average asset yield for the participation interest was 6.06% as of June 30, 2019 and 6.06% as of December 31, 2018. We elected to account for the investment using the fair value option. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our unfunded commitment on this loan participation interest. As of June 30, 2019 , our commercial loan portfolio consisted of one commercial loan with a maturity of 1.7 years (December 31, 2018: two commercial loans with a weighted average maturity of 1.7 years ). The loans had a weighted average coupon rate of 10.94% as of June 30, 2019 and 10.69% as of December 31, 2018. The loans were not impaired, and we have not recorded an allowance for loan losses as of June 30, 2019 and December 31, 2018 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, 2018 . 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 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures.

Borrowings

Borrowings	6 Months Ended
	Jun. 30, 2019
Debt Disclosure [Abstract]
Borrowings	Borrowings We finance the majority of our investment portfolio through repurchase agreements and secured loans. The following tables summarize certain characteristics of our borrowings at June 30, 2019 and December 31, 2018 . Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands June 30, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,234,043 2.62 % 45 Agency CMBS 2,299,766 2.61 % 50 Non-Agency CMBS 1,849,544 3.44 % 17 Non-Agency RMBS 904,432 3.34 % 23 GSE CRT 751,367 3.37 % 14 Loan participation interest 35,913 4.04 % 424 Total Repurchase Agreements 17,075,065 2.78 % 41 Secured Loans 1,650,000 2.66 % 1771 Total Borrowings 18,725,065 2.77 % 193 $ in thousands December 31, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,529,352 2.56 % 36 Agency CMBS 810,450 2.53 % 31 Non-Agency CMBS 1,616,473 3.56 % 19 Non-Agency RMBS 923,959 3.60 % 26 GSE CRT 681,014 3.48 % 21 Loan participation interest 41,236 4.09 % 605 Total Repurchase Agreements 13,602,484 2.80 % 34 Secured Loans 1,650,000 2.68 % 1952 Total Borrowings 15,252,484 2.79 % 242 The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: June 30, 2019 7/1/2019 - 6/30/2020 17,339,152 7/1/2020 - 6/30/2021 135,913 7/1/2021 - 6/30/2022 — 7/1/2022 - 6/30/2023 — 7/1/2023 - 6/30/2024 — Thereafter 1,250,000 Total 18,725,065 Repurchase Agreements Our repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities ranging from one month to six months . Our repurchase agreement that is collateralized by a loan participation interest bears interest at a floating rate based on LIBOR plus a spread and matures on August 27, 2020 . 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, 2019 . Our repurchase agreement collateral pledged ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/amount outstanding) was 110% as of June 30, 2019 ( December 31, 2018 : 111% ). 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, 2019 , 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, 2019 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 2.72% and a weighted average maturity of 4.9 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 5 - "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.

Collateral Positions

Collateral Positions	6 Months Ended
	Jun. 30, 2019
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, 2019 and December 31, 2018 . 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, 2018 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. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, 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 and To Be Announced Securities ("TBAs") is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps and repurchase agreements 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, 2019 and December 31, 2018 , we did not recognize any non-cash collateral held on the condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2019 December 31, 2018 Repurchase Agreements: Agency RMBS 11,868,055 10,158,404 Agency CMBS 2,474,292 870,702 Non-Agency CMBS 2,341,069 2,016,202 Non-Agency RMBS 1,097,426 1,127,911 GSE CRT 904,843 819,328 Loan participation interest 47,885 54,981 Cash 15,613 — Total repurchase agreements collateral pledged 18,749,183 15,047,528 Secured Loans: Agency RMBS 688,520 702,952 Non-Agency CMBS 1,267,117 1,227,412 Total secured loans collateral pledged 1,955,637 1,930,364 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS 206,947 159,914 Cash 5,428 13,500 Restricted cash 55,271 — Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 267,646 173,414 Total collateral pledged: Mortgage-backed and credit risk transfer securities 20,848,269 17,082,825 Loan participation interest 47,885 54,981 Cash (1) 21,041 13,500 Restricted cash 55,271 — Total collateral pledged 20,972,466 17,151,306 As of Collateral Held June 30, 2019 December 31, 2018 Repurchase Agreements: Cash 14,780 — Non-cash collateral 26,423 — Total repurchase agreements collateral held 41,203 — Interest Rate Swaps: Cash 159 18,083 Non-cash collateral — — Total interest rate swap collateral held 159 18,083 Total collateral held: Cash 14,939 18,083 Non-cash collateral 26,423 — Total collateral held 41,362 18,083 (1) Includes cash pledged as collateral on repurchase agreements, futures contracts and TBAs that is recorded as due from counterparties. Cash collateral pledged on TBAs relates to TBAs that are accounted for as regular-way security trades. 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 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 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 and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statement of operations. 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 and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statement of operations. Currency Forward Contracts

Derivatives and Hedging Activit

Derivatives and Hedging Activities	6 Months Ended
	Jun. 30, 2019
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 2019 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 12,370,000 10,475,000 (10,375,000 ) 12,470,000 Futures Contracts 1,689,900 3,131,500 (4,327,100 ) 494,300 Currency Forward Contracts 23,149 52,119 (48,684 ) 26,584 Credit Derivatives 526,912 — (22,598 ) 504,314 Total 14,609,961 13,658,619 (14,773,382 ) 13,495,198 Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. 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 $5.9 million as a decrease ( June 30, 2018 : $6.9 million as a decrease) and $11.8 million as a decrease ( June 30, 2018 : $13.4 million as a decrease) to interest expense for the three and six months ended June 30, 2019 , respectively. During the next 12 months, we estimate that $23.8 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2019 , $87.9 million ( December 31, 2018 : $99.6 million ) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023. As of June 30, 2019 and December 31, 2018 , we had interest rate swaps with the following maturities outstanding: $ in thousands As of June 30, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2021 1,700,000 2.24 % 2.43 % 1.9 2022 4,650,000 2.09 % 2.48 % 2.9 2023 1,000,000 2.09 % 2.39 % 4.3 2024 1,900,000 2.08 % 2.49 % 4.7 Thereafter 3,220,000 2.24 % 2.44 % 8.7 Total 12,470,000 2.15 % 2.46 % 4.7 $ in thousands As of December 31, 2018 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2019 1,500,000 2.70 % 2.47 % 0.9 2020 1,500,000 2.78 % 2.51 % 1.7 2021 2,300,000 2.51 % 2.58 % 2.5 2022 2,550,000 2.13 % 2.65 % 3.4 2023 1,600,000 2.39 % 2.47 % 4.7 Thereafter 2,920,000 2.47 % 2.55 % 6.8 Total 12,370,000 2.46 % 2.55 % 3.7 (1) Notional amount includes $7.2 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.3 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of June 30, 2019 . (2) Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018 . TBAs, Futures and Currency Forward Contracts We purchase or sell certain TBAs and 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 TBAs and 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, 2019 , we had $26.6 million ( December 31, 2018 : $23.1 million ) of notional amount of currency forward contracts related to an investment in an unconsolidated venture 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, 2019 and December 31, 2018 , terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2019 December 31, 2018 Fair value amount 17,567 22,771 Notional amount 504,314 526,912 Maximum potential amount of future undiscounted payments 504,314 526,912 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, 2019 and December 31, 2018 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2019 As of December 31, 2018 As of June 30, 2019 As of December 31, 2018 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 9,446 15,089 Interest Rate Swaps Liability 36,669 15,382 Currency Forward Contracts 3 — Currency Forward Contracts 300 172 Futures Contracts 618 — Futures Contracts — 7,836 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, 2019 and 2018 . $ in thousands Three months ended June 30, 2019 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 — 5,300 (7,738 ) (2,438 ) $ 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 Six months ended June 30, 2019 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 — 10,650 (5,204 ) 5,446 $ 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 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, 2019 and 2018 : $ in thousands Three Months Ended June 30, 2019 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (241,839 ) 7,525 (39,922 ) (274,236 ) Futures Contracts (65,953 ) — (4,490 ) (70,443 ) Currency Forward Contracts 553 — (607 ) (54 ) Total (307,239 ) 7,525 (45,019 ) (344,733 ) $ in thousands Three Months Ended June 30, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (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 Six Months Ended June 30, 2019 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 (407,723 ) 12,034 (26,931 ) (422,620 ) Futures Contracts (132,641 ) — 8,454 (124,187 ) Currency Forward Contracts 738 — (124 ) 614 Total (539,626 ) 12,034 (18,601 ) (546,193 ) $ 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 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, 2019 , 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 $36.6 million . We have minimum collateral posting thresholds with certain of our bilateral derivative counterparties and pledged securities with a fair value of $15.6 million and restricted cash of $23.3 million with these counterparties as of June 30, 2019 . If we had breached any of these provisions at June 30, 2019 , 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 $9.4 million as of June 30, 2019 . We were in compliance with all of the financial provisions of these counterparty agreements as of June 30, 2019 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	6 Months Ended
	Jun. 30, 2019
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, 2019 and December 31, 2018 . 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, 2019 , our derivative asset of $9.4 million ( December 31, 2018 : derivative liability of $13.2 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, 2019 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) 622 — 622 (3 ) — 619 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2019 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) 36,969 — 36,969 (15,114 ) (21,661 ) 194 Repurchase Agreements (4) 17,075,065 — 17,075,065 (17,075,065 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 18,762,034 — 18,762,034 (18,740,179 ) (21,661 ) 194 Offsetting of Derivative Assets As of December 31, 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) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2019 and December 31, 2018 , 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 $206.9 million ( December 31, 2018 : $159.9 million ) at June 30, 2019 , of which $182.4 million ( December 31, 2018 : $158.3 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 $159,000 and $18.1 million at June 30, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $60.0 million and $13.5 million at June 30, 2019 and December 31, 2018 , 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, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $18.7 billion and $15.0 billion at June 30, 2019 and December 31, 2018 , respectively. We pledged cash collateral of $15.6 million and held cash collateral of $14.8 million under repurchase agreements as of June 30, 2019 . (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2019 and December 31, 2018 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 2019
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, 2019 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) — 21,518,480 17,567 — 21,536,047 Derivative assets 618 9,449 — — 10,067 Other assets (4) — — 47,885 25,675 73,560 Total assets 618 21,527,929 65,452 25,675 21,619,674 Liabilities: Derivative liabilities — 36,969 — — 36,969 Total liabilities — 36,969 — — 36,969 December 31, 2018 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) — 17,373,871 22,771 — 17,396,642 Derivative assets — 15,089 — — 15,089 Other assets (4) — — 54,981 24,012 78,993 Total assets — 17,388,960 77,752 24,012 17,490,724 Liabilities: Derivative liabilities 7,836 15,554 — — 23,390 Total liabilities 7,836 15,554 — — 23,390 (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, 2019 , the net embedded derivative asset position of $17.6 million includes $24.2 million of embedded derivatives in an asset position and $6.6 million of embedded derivatives in a liability position. As of December 31, 2018 , the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 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, 2019 and December 31, 2018 , the weighted average remaining term of our investments in unconsolidated ventures is 2.8 and 2.6 years, respectively. (4) Includes $47.9 million and $55.0 million of a loan participation interest as of June 30, 2019 and December 31, 2018 , respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value. 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 2019 2018 2019 2018 Beginning balance 25,305 42,932 22,771 45,400 Unrealized credit derivative gains (losses), net (7,738 ) (4,903 ) (5,204 ) (7,371 ) Ending balance 17,567 38,029 17,567 38,029 The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2019 Beginning balance 53,827 54,981 Advances — 577 Repayments (5,942 ) (7,673 ) Ending balance 47,885 47,885 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, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 17,567 Market Comparables, Vendor Pricing Weighted average life 2.0 - 5.2 years 3.6 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 22,771 Market Comparables, Vendor Pricing Weighted average life 2.9 - 5.9 years 4.3 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2019 and December 31, 2018 : June 30, 2019 December 31, 2018 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 24,321 24,605 31,582 31,826 FHLBI stock 74,250 74,250 74,250 74,250 Total 98,571 98,855 105,832 106,076 Financial Liabilities Repurchase agreements 17,075,065 17,077,175 13,602,484 13,602,050 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Total 18,725,065 18,727,175 15,252,484 15,252,050 The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of commercial loans held-for-investment, included in "Other assets" on our condensed consolidated balance sheets, 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" on our condensed consolidated balance sheets, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at par. 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.

Related Party Transactions

Related Party Transactions	6 Months Ended
	Jun. 30, 2019
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, 2019 , we reimbursed our Manager $213,000 ( June 30, 2018 : $217,000 ) and $396,000 ( June 30, 2018 : $431,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $32.4 million as of June 30, 2019 ( December 31, 2018 : $131.9 million ) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased. 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. Stockholders 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, 2019 and 2018 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2018 2019 2018 Incurred costs, prepaid or expensed 1,609 1,300 3,213 2,792 Incurred costs, charged against equity as a cost of raising capital 124 2 444 167 Total incurred costs, originally paid by our Manager 1,733 1,302 3,657 2,959 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, 2019
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. 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. In March 2019, we entered into an equity distribution agreement with a placement agent under which we may sell up to 7,000,000 shares of our preferred 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, 2019 , we have not sold any shares of preferred stock under the equity distribution agreement. Common Stock On February 7, 2019, we completed a public offering of 16,100,000 shares of common stock at the price of $15.73 per share. Total net proceeds were approximately $249.5 million after deducting estimated offering costs. In March 2019, we amended our equity distribution agreement, dated December 18, 2017, 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). During the three and six months ended June 30, 2019 ended June 30, 2019 , we issued 521,136 and 1,093,136 shares, respectively, of common stock under the equity distribution agreement for proceeds of $8.2 million and $17.2 million , net of approximately $170,000 and $363,000 in commissions and fees, respectively. Share Repurchase Program During the three and six months ended June 30, 2019 and 2018 , we did no t repurchase any shares of our common stock. As of June 30, 2019 , we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. 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"). The Incentive Plan was amended and restated as of May 3, 2019 to extend the term of the plan until 2029 and to reduce the number of shares of common stock available for issuance under the Incentive Plan to 200,000 . We recognized compensation expense of approximately $112,000 ( June 30, 2018 : $106,000 ) and $225,000 ( June 30, 2018 : $199,000 ) for shares issued to our independent directors under our 2009 Equity Incentive Plan (the "Incentive Plan") for the three and six months ended June 30, 2019 , respectively. During the three months ended June 30, 2019 and 2018 , we issued 6,895 shares and 6,465 shares of common stock, respectively, to our independent directors. During the six months ended June 30, 2019 and 2018 , we issued 13,960 and 13,642 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 $18,000 ( June 30, 2018 : $30,000 ) and $37,000 ( June 30, 2018 : $44,000 ) for the three and six months ended June 30, 2019 , respectively 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, 2019 , there was approximately $167,000 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 21 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, 2019 . Three Months Ended June 30, Six Months Ended June 30, 2019 2019 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 12,520 $ 15.25 11,051 $ 14.55 Shares granted during the period — — 6,189 15.92 Shares vested during the period — — (4,720 ) 14.48 Unvested at the end of the period 12,520 $ 15.25 12,520 $ 15.25 (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, 2019 and 2018 . 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, 2019 $ 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 — 47,188 — 47,188 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (121 ) — (121 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,916 ) (5,916 ) Currency translation adjustments on investment in unconsolidated venture (320 ) — — (320 ) Total other comprehensive income (loss) (320 ) 47,067 (5,916 ) 40,831 AOCI balance at beginning of period 237 183,160 93,785 277,182 Total other comprehensive income (loss) (320 ) 47,067 (5,916 ) 40,831 AOCI balance at end of period (83 ) 230,227 87,869 318,013 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 Six Months Ended June 30, 2019 $ 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 — 99,537 — 99,537 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 10,026 — 10,026 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (11,767 ) (11,767 ) Currency translation adjustments on investment in unconsolidated venture (596 ) — — (596 ) Total other comprehensive income/(loss) (596 ) 109,563 (11,767 ) 97,200 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss) (596 ) 109,563 (11,767 ) 97,200 AOCI balance at end of period (83 ) 230,227 87,869 318,013 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 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 We declared the following dividends during the three months ended June 30, 2019 and 2018 : $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 2018 June 15, 2018 0.4844 2,712 July 25, 2018 March 15, 2018 0.4844 2,713 April 25, 2018 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 2018 May 2, 2018 0.4844 3,004 June 27, 2018 February 15, 2018 0.4844 3,003 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 2018 May 2, 2018 0.46875 5,390 June 27, 2018 February 15, 2018 0.46875 5,391 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019 2018 June 15, 2018 0.42 46,890 July 26, 2018 March 15, 2018 0.42 46,887 April 26, 2018

Earnings per Common Share

Earnings per Common Share	6 Months Ended
	Jun. 30, 2019
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three and six months ended June 30, 2019 and 2018 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands except per share amounts 2019 2018 2019 2018 Numerator (Income) Basic Earnings: Net income available to common stockholders 7,230 80,008 134,913 121,479 Effect of dilutive securities: Income allocated to exchangeable senior notes — — — 1,621 Income allocated to non-controlling interest — 1,163 — 1,834 Dilutive net income available to stockholders 7,230 81,171 134,913 124,934 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 128,659 111,641 124,900 111,635 Effect of dilutive securities: Restricted stock awards 13 19 12 19 Non-controlling interest OP units — 1,425 — 1,425 Exchangeable senior notes — — — 2,389 Dilutive Shares 128,672 113,085 124,912 115,468 Earnings per share: Net income attributable to common stockholders Basic 0.06 0.72 1.08 1.09 Diluted 0.06 0.72 1.08 1.08

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2019
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, 2019 are discussed below. As discussed in Note 5 - "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, 2019 and December 31, 2018 , our undrawn capital and purchase commitments were $6.5 million and $10.0 million , respectively. As discussed in Note 5 - "Other Assets", we have funded our portion of a commitment in a loan participation. The remainder of our commitment will be funded over the two year term of the loan based upon the financing needs of the borrower. As of June 30, 2019 , we have an unfunded commitment of $27.1 million . 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, 2019
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 Accoun_2

Summary of Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2019
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, 2018 .
Consolidation	Our 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.
Reclassifications	Reclassifications
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, provision for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements	Accounting Pronouncements Recently Adopted Effective January 1, 2019, we adopted the accounting guidance 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 is fixed at the grant date. The implementation of the guidance did not have a material impact on our financial statements. 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 requires entities to record credit 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 as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance and proposed amendments to the new guidance on our consolidated financial statements. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. The Company elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities will be limited to those securities purchased prior to election of the fair value option that the Company continues to hold on January 1, 2020. As of June 30, 2019, we hold approximately $4.8 billion of MBS and GSE CRT securities that were purchased prior to election of the fair value option that will be assessed for impairment under the new guidance. The new guidance for available-for-sale securities will be implemented prospectively. We have one commercial loan as of June 30, 2019 that is measured at amortized cost. We intend to implement the new guidance for this loan by electing the fair value option. The new guidance for this loan will be implemented on a modified retrospective basis by recording a cumulative effect adjustment to retained earnings on January 1, 2020. The loan is due in February 2021, and we do not expect the new guidance to have a material impact on our accounting for this loan.

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	6 Months Ended
	Jun. 30, 2019
Variable Interest Entity Disclosure [Abstract]
Maximum Risk of Loss	Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2019 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,651,587 3,651,587 Non-Agency RMBS 1,118,073 1,118,073 Investments in unconsolidated ventures 25,675 25,675 Total 4,795,335 4,795,335

Mortgage-Backed and Credit Ri_2

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	6 Months Ended
	Jun. 30, 2019
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, 2019 and December 31, 2018 . June 30, 2019 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 325,735 2,318 328,053 9,867 337,920 3.35 % 30 year fixed-rate 11,496,479 366,826 11,863,305 213,786 12,077,091 3.70 % ARM * 6,104 178 6,282 55 6,337 3.68 % Hybrid ARM* 97,925 1,694 99,619 1,169 100,788 3.21 % Total Agency RMBS pass-through 11,926,243 371,016 12,297,259 224,877 12,522,136 3.69 % Agency-CMO (2) 945,125 (543,338 ) 401,787 11,377 413,164 3.41 % Agency CMBS 2,705,117 46,874 2,751,991 174,252 2,926,243 3.39 % Non-Agency CMBS (3) 4,279,103 (768,252 ) 3,510,851 140,736 3,651,587 5.21 % Non-Agency RMBS (4)(5)(6) 2,646,663 (1,648,005 ) 998,658 119,415 1,118,073 6.70 % GSE CRT (7) 835,392 18,319 853,711 51,133 904,844 3.11 % Total 23,337,643 (2,523,386 ) 20,814,257 721,790 21,536,047 4.02 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of June 30, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 60.9% of principal/notional balance, 7.8% of amortized cost and 7.6% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 14.0% of principal/notional balance, 0.4% of amortized cost and 0.4% of fair value. (4) Non-Agency RMBS is 55.7% fixed rate, 39.2% variable rate, and 5.1% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $134.7 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 55.5% of principal/notional balance, 2.3% of amortized cost and 2.0% of fair value. (7) 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, 2018 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 417,233 5,077 422,310 1,944 424,254 3.27 % 30 year fixed-rate 9,599,301 298,693 9,897,994 (125,225 ) 9,772,769 3.55 % ARM 105,453 350 105,803 (56 ) 105,747 2.74 % Hybrid ARM 548,133 13,425 561,558 (7,357 ) 554,201 2.80 % Total Agency RMBS pass-through 10,670,120 317,545 10,987,665 (130,694 ) 10,856,971 3.49 % Agency-CMO (2) 907,862 (631,180 ) 276,682 (8,991 ) 267,691 3.61 % Agency CMBS 973,122 15,058 988,180 14,330 1,002,510 3.54 % Non-Agency CMBS (3) 4,024,715 (727,307 ) 3,297,408 (10,949 ) 3,286,459 5.05 % Non-Agency RMBS (4)(5)(6) 2,800,335 (1,748,223 ) 1,052,112 111,570 1,163,682 7.24 % GSE CRT (7) 738,529 21,259 759,788 59,541 819,329 3.10 % Total 20,114,683 (2,752,848 ) 17,361,835 34,807 17,396,642 4.00 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 73.6% o f principal (notional) balance, 13.5% of amortized cost and 12.4% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS is 43.5% variable rate, 50.7% fixed rate, and 5.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying ARM and Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $145.6 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value. (7) 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, 2019 and December 31, 2018 are presented below. June 30, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 20,839,637 2,498,006 23,337,643 Unamortized premium 471,995 — 471,995 Unamortized discount (561,979 ) (2,433,402 ) (2,995,381 ) Gross unrealized gains (1) 731,892 5,783 737,675 Gross unrealized losses (1) (11,668 ) (4,217 ) (15,885 ) Fair value 21,469,877 66,170 21,536,047 December 31, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 17,442,367 2,672,316 20,114,683 Unamortized premium 395,907 — 395,907 Unamortized discount (549,988 ) (2,598,767 ) (3,148,755 ) Gross unrealized gains (1) 238,579 7,448 246,027 Gross unrealized losses (1) (204,664 ) (6,556 ) (211,220 ) Fair value 17,322,201 74,441 17,396,642 (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, 2019 and 2018 is provided below within 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, 2019 and December 31, 2018 . 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, 2019 and December 31, 2018 , approximately 78% and 67% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. June 30, 2019 December 31, 2018 $ 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 126,708 211,212 337,920 204,347 219,907 424,254 30 year fixed-rate 869,612 11,207,479 12,077,091 1,093,070 8,679,699 9,772,769 ARM 6,337 — 6,337 105,747 — 105,747 Hybrid ARM 69,770 31,018 100,788 521,199 33,002 554,201 Total RMBS Agency pass-through 1,072,427 11,449,709 12,522,136 1,924,363 8,932,608 10,856,971 Agency-CMO 163,025 250,139 413,164 168,385 99,306 267,691 Agency CMBS — 2,926,243 2,926,243 — 1,002,510 1,002,510 Non-Agency CMBS 2,168,868 1,482,719 3,651,587 2,153,403 1,133,056 3,286,459 Non-Agency RMBS 862,660 255,413 1,118,073 961,445 202,237 1,163,682 GSE CRT 555,134 349,710 904,844 586,231 233,098 819,329 Total 4,822,114 16,713,933 21,536,047 5,793,827 11,602,815 17,396,642
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, 2019 and December 31, 2018 . $ in thousands June 30, 2019 December 31, 2018 Less than one year 55,567 110,020 Greater than one year and less than five years 9,122,993 3,508,100 Greater than or equal to five years 12,357,487 13,778,522 Total 21,536,047 17,396,642
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, 2019 and December 31, 2018 . June 30, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 2,853 (7 ) 14 3,833 (22 ) 14 6,686 (29 ) 28 30 year fixed-rate 958 (2 ) 2 903,747 (3,390 ) 31 904,705 (3,392 ) 33 ARM — — — 2,764 (32 ) 2 2,764 (32 ) 2 Hybrid ARM 2,757 (1 ) 1 32,705 (396 ) 10 35,462 (397 ) 11 Total Agency RMBS pass-through (1) 6,568 (10 ) 17 943,049 (3,840 ) 57 949,617 (3,850 ) 74 Agency-CMO (2) 7,302 (2,392 ) 13 46,468 (1,400 ) 13 53,770 (3,792 ) 26 Non-Agency CMBS (3) 15,899 (29 ) 3 127,707 (6,586 ) 9 143,606 (6,615 ) 12 Non-Agency RMBS (4) 11,399 (1,027 ) 10 84,033 (601 ) 11 95,432 (1,628 ) 21 Total 41,168 (3,458 ) 43 1,201,257 (12,427 ) 90 1,242,425 (15,885 ) 133 (1) Includes Agency RMBS with a fair value of $ 786.5 million for which the fair value option has been elected. These securities have unrealized losses of $ 2.6 million . (2) Includes Agency IO with fair value of $12.2 million for which the fair value option has been elected. These Agency IO have unrealized losses of $3.3 million . (3) Includes non-Agency CMBS with a fair value of $15.9 million for which the fair value option has been elected. These securities have unrealized losses of $29,000 . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.1 million and $4.4 million , respectively for which the fair value option has been elected. These securities have unrealized losses of $120,000 and $907,000 , respectively. December 31, 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 86,241 (814 ) 50 16,660 (189 ) 22 102,901 (1,003 ) 72 30 year fixed-rate 3,966,347 (49,182 ) 158 2,846,090 (94,716 ) 95 6,812,437 (143,898 ) 253 ARM 2,632 (28 ) 1 49,954 (785 ) 10 52,586 (813 ) 11 Hybrid ARM 6,758 (59 ) 2 453,463 (8,390 ) 71 460,221 (8,449 ) 73 Total Agency RMBS pass-through (1) 4,061,978 (50,083 ) 211 3,366,167 (104,080 ) 198 7,428,145 (154,163 ) 409 Agency-CMO (2) 152,962 (6,315 ) 34 101,705 (5,100 ) 19 254,667 (11,415 ) 53 Non-Agency CMBS (3) 1,214,691 (17,778 ) 94 659,298 (25,381 ) 52 1,873,989 (43,159 ) 146 Non-Agency RMBS (4) 87,850 (1,152 ) 19 89,265 (1,138 ) 16 177,115 (2,290 ) 35 GSE CRT (5) 9,639 (193 ) 1 — — — 9,639 (193 ) 1 Total 5,527,120 (75,521 ) 359 4,216,435 (135,699 ) 285 9,743,555 (211,220 ) 644 (1) Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. These securities have unrealized losses of $ 130.2 million . (2) Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. These securities have unrealized losses of $26.3 million . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million for which the fair value option has been elected. These securities have unrealized losses of $79,000 and $269,000 , respectively. (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position.
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, 2019 and 2018 : Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2018 2019 2018 RMBS interest-only securities 489 2,089 1,952 6,398 Non-Agency RMBS (1) 711 — 1,024 50 Total 1,200 2,089 2,976 6,448 (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, 2019 and 2018 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2018 2019 2018 Gross realized gains on sale of investments 3,957 35 5,159 35 Gross realized losses on sale of investments (1,928 ) (11,560 ) (14,245 ) (20,797 ) Other-than-temporary impairment losses (1,200 ) (2,089 ) (2,976 ) (6,448 ) Net unrealized gains and losses on MBS accounted for under the fair value option 304,692 (22,941 ) 584,731 (170,136 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option (3,339 ) 182 (2,105 ) 616 Net unrealized gains and losses on trading securities — (4 ) — (17 ) Total gain (loss) on investments, net 302,182 (36,377 ) 570,564 (196,747 )
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, 2019 and 2018 . 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, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 131,757 (17,153 ) 114,604 Agency CMBS 17,862 (909 ) 16,953 Non-Agency CMBS 40,615 3,350 43,965 Non-Agency RMBS 13,877 2,800 16,677 GSE CRT 9,426 (1,852 ) 7,574 Other 964 — 964 Total 214,501 (13,764 ) 200,737 For the three months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 105,389 (22,274 ) 83,115 Agency CMBS 41 (1 ) 40 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 six months ended June 30, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 251,483 (29,347 ) 222,136 Agency CMBS 28,333 (1,440 ) 26,893 Non-Agency CMBS 79,445 6,381 85,826 Non-Agency RMBS 28,144 6,722 34,866 GSE CRT 18,022 (3,030 ) 14,992 Other 1,516 — 1,516 Total 406,943 (20,714 ) 386,229 For the six months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 213,706 (45,496 ) 168,210 Agency CMBS 41 (1 ) 40 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

Other Assets (Tables)

Other Assets (Tables)	6 Months Ended
	Jun. 30, 2019
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Summary of Company's Other Assets	The following table summarizes our other assets as of June 30, 2019 and December 31, 2018 . $ in thousands June 30, 2019 December 31, 2018 FHLBI stock 74,250 74,250 Loan participation interest 47,885 54,981 Commercial loans, held-for-investment 24,321 31,582 Investments in unconsolidated ventures 25,675 24,012 Prepaid expenses and other assets 1,912 1,234 Total 174,043 186,059

Borrowings (Tables)

Borrowings (Tables)	6 Months Ended
	Jun. 30, 2019
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at June 30, 2019 and December 31, 2018 . Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands June 30, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,234,043 2.62 % 45 Agency CMBS 2,299,766 2.61 % 50 Non-Agency CMBS 1,849,544 3.44 % 17 Non-Agency RMBS 904,432 3.34 % 23 GSE CRT 751,367 3.37 % 14 Loan participation interest 35,913 4.04 % 424 Total Repurchase Agreements 17,075,065 2.78 % 41 Secured Loans 1,650,000 2.66 % 1771 Total Borrowings 18,725,065 2.77 % 193 $ in thousands December 31, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,529,352 2.56 % 36 Agency CMBS 810,450 2.53 % 31 Non-Agency CMBS 1,616,473 3.56 % 19 Non-Agency RMBS 923,959 3.60 % 26 GSE CRT 681,014 3.48 % 21 Loan participation interest 41,236 4.09 % 605 Total Repurchase Agreements 13,602,484 2.80 % 34 Secured Loans 1,650,000 2.68 % 1952 Total Borrowings 15,252,484 2.79 % 242
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, 2019 7/1/2019 - 6/30/2020 17,339,152 7/1/2020 - 6/30/2021 135,913 7/1/2021 - 6/30/2022 — 7/1/2022 - 6/30/2023 — 7/1/2023 - 6/30/2024 — Thereafter 1,250,000 Total 18,725,065

Collateral Positions (Tables)

Collateral Positions (Tables)	6 Months Ended
	Jun. 30, 2019
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, 2019 and December 31, 2018 . 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, 2018 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. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, 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 and To Be Announced Securities ("TBAs") is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps and repurchase agreements 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, 2019 and December 31, 2018 , we did not recognize any non-cash collateral held on the condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2019 December 31, 2018 Repurchase Agreements: Agency RMBS 11,868,055 10,158,404 Agency CMBS 2,474,292 870,702 Non-Agency CMBS 2,341,069 2,016,202 Non-Agency RMBS 1,097,426 1,127,911 GSE CRT 904,843 819,328 Loan participation interest 47,885 54,981 Cash 15,613 — Total repurchase agreements collateral pledged 18,749,183 15,047,528 Secured Loans: Agency RMBS 688,520 702,952 Non-Agency CMBS 1,267,117 1,227,412 Total secured loans collateral pledged 1,955,637 1,930,364 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS 206,947 159,914 Cash 5,428 13,500 Restricted cash 55,271 — Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 267,646 173,414 Total collateral pledged: Mortgage-backed and credit risk transfer securities 20,848,269 17,082,825 Loan participation interest 47,885 54,981 Cash (1) 21,041 13,500 Restricted cash 55,271 — Total collateral pledged 20,972,466 17,151,306 As of Collateral Held June 30, 2019 December 31, 2018 Repurchase Agreements: Cash 14,780 — Non-cash collateral 26,423 — Total repurchase agreements collateral held 41,203 — Interest Rate Swaps: Cash 159 18,083 Non-cash collateral — — Total interest rate swap collateral held 159 18,083 Total collateral held: Cash 14,939 18,083 Non-cash collateral 26,423 — Total collateral held 41,362 18,083 (1) Includes cash pledged as collateral on repurchase agreements, futures contracts and TBAs that is recorded as due from counterparties. Cash collateral pledged on TBAs relates to TBAs that are accounted for as regular-way security trades.

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	6 Months Ended
	Jun. 30, 2019
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 2019 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 12,370,000 10,475,000 (10,375,000 ) 12,470,000 Futures Contracts 1,689,900 3,131,500 (4,327,100 ) 494,300 Currency Forward Contracts 23,149 52,119 (48,684 ) 26,584 Credit Derivatives 526,912 — (22,598 ) 504,314 Total 14,609,961 13,658,619 (14,773,382 ) 13,495,198
Schedule of Interest Rate Swaps Outstanding	As of June 30, 2019 and December 31, 2018 , we had interest rate swaps with the following maturities outstanding: $ in thousands As of June 30, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2021 1,700,000 2.24 % 2.43 % 1.9 2022 4,650,000 2.09 % 2.48 % 2.9 2023 1,000,000 2.09 % 2.39 % 4.3 2024 1,900,000 2.08 % 2.49 % 4.7 Thereafter 3,220,000 2.24 % 2.44 % 8.7 Total 12,470,000 2.15 % 2.46 % 4.7 $ in thousands As of December 31, 2018 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2019 1,500,000 2.70 % 2.47 % 0.9 2020 1,500,000 2.78 % 2.51 % 1.7 2021 2,300,000 2.51 % 2.58 % 2.5 2022 2,550,000 2.13 % 2.65 % 3.4 2023 1,600,000 2.39 % 2.47 % 4.7 Thereafter 2,920,000 2.47 % 2.55 % 6.8 Total 12,370,000 2.46 % 2.55 % 3.7 (1) Notional amount includes $7.2 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.3 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of June 30, 2019 . (2) Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018 .
Disclosure of Credit Derivatives	At June 30, 2019 and December 31, 2018 , terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2019 December 31, 2018 Fair value amount 17,567 22,771 Notional amount 504,314 526,912 Maximum potential amount of future undiscounted payments 504,314 526,912
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, 2019 and December 31, 2018 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2019 As of December 31, 2018 As of June 30, 2019 As of December 31, 2018 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 9,446 15,089 Interest Rate Swaps Liability 36,669 15,382 Currency Forward Contracts 3 — Currency Forward Contracts 300 172 Futures Contracts 618 — Futures Contracts — 7,836
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, 2019 and 2018 . $ in thousands Three months ended June 30, 2019 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 — 5,300 (7,738 ) (2,438 ) $ 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 Six months ended June 30, 2019 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 — 10,650 (5,204 ) 5,446 $ 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 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, 2019 and 2018 : $ in thousands Three Months Ended June 30, 2019 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (241,839 ) 7,525 (39,922 ) (274,236 ) Futures Contracts (65,953 ) — (4,490 ) (70,443 ) Currency Forward Contracts 553 — (607 ) (54 ) Total (307,239 ) 7,525 (45,019 ) (344,733 ) $ in thousands Three Months Ended June 30, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (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 Six Months Ended June 30, 2019 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 (407,723 ) 12,034 (26,931 ) (422,620 ) Futures Contracts (132,641 ) — 8,454 (124,187 ) Currency Forward Contracts 738 — (124 ) 614 Total (539,626 ) 12,034 (18,601 ) (546,193 ) $ 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

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	6 Months Ended
	Jun. 30, 2019
Offsetting [Abstract]
Offsetting Derivative Assets	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, 2019 and December 31, 2018 . 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, 2019 , our derivative asset of $9.4 million ( December 31, 2018 : derivative liability of $13.2 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, 2019 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) 622 — 622 (3 ) — 619 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2019 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) 36,969 — 36,969 (15,114 ) (21,661 ) 194 Repurchase Agreements (4) 17,075,065 — 17,075,065 (17,075,065 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 18,762,034 — 18,762,034 (18,740,179 ) (21,661 ) 194 Offsetting of Derivative Assets As of December 31, 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) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2019 and December 31, 2018 , 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 $206.9 million ( December 31, 2018 : $159.9 million ) at June 30, 2019 , of which $182.4 million ( December 31, 2018 : $158.3 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 $159,000 and $18.1 million at June 30, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $60.0 million and $13.5 million at June 30, 2019 and December 31, 2018 , 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, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $18.7 billion and $15.0 billion at June 30, 2019 and December 31, 2018 , respectively. We pledged cash collateral of $15.6 million and held cash collateral of $14.8 million under repurchase agreements as of June 30, 2019 . (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2019 and December 31, 2018 , respectively.
Offsetting Derivative Liabilities	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, 2019 and December 31, 2018 . 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, 2019 , our derivative asset of $9.4 million ( December 31, 2018 : derivative liability of $13.2 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, 2019 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) 622 — 622 (3 ) — 619 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2019 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) 36,969 — 36,969 (15,114 ) (21,661 ) 194 Repurchase Agreements (4) 17,075,065 — 17,075,065 (17,075,065 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 18,762,034 — 18,762,034 (18,740,179 ) (21,661 ) 194 Offsetting of Derivative Assets As of December 31, 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) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2019 and December 31, 2018 , 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 $206.9 million ( December 31, 2018 : $159.9 million ) at June 30, 2019 , of which $182.4 million ( December 31, 2018 : $158.3 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 $159,000 and $18.1 million at June 30, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $60.0 million and $13.5 million at June 30, 2019 and December 31, 2018 , 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, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $18.7 billion and $15.0 billion at June 30, 2019 and December 31, 2018 , respectively. We pledged cash collateral of $15.6 million and held cash collateral of $14.8 million under repurchase agreements as of June 30, 2019 . (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2019 and December 31, 2018 , respectively.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	6 Months Ended
	Jun. 30, 2019
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, 2019 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) — 21,518,480 17,567 — 21,536,047 Derivative assets 618 9,449 — — 10,067 Other assets (4) — — 47,885 25,675 73,560 Total assets 618 21,527,929 65,452 25,675 21,619,674 Liabilities: Derivative liabilities — 36,969 — — 36,969 Total liabilities — 36,969 — — 36,969 December 31, 2018 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) — 17,373,871 22,771 — 17,396,642 Derivative assets — 15,089 — — 15,089 Other assets (4) — — 54,981 24,012 78,993 Total assets — 17,388,960 77,752 24,012 17,490,724 Liabilities: Derivative liabilities 7,836 15,554 — — 23,390 Total liabilities 7,836 15,554 — — 23,390 (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, 2019 , the net embedded derivative asset position of $17.6 million includes $24.2 million of embedded derivatives in an asset position and $6.6 million of embedded derivatives in a liability position. As of December 31, 2018 , the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 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, 2019 and December 31, 2018 , the weighted average remaining term of our investments in unconsolidated ventures is 2.8 and 2.6 years, respectively. (4) Includes $47.9 million and $55.0 million of a loan participation interest as of June 30, 2019 and December 31, 2018 , respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value.
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 2019 2018 2019 2018 Beginning balance 25,305 42,932 22,771 45,400 Unrealized credit derivative gains (losses), net (7,738 ) (4,903 ) (5,204 ) (7,371 ) Ending balance 17,567 38,029 17,567 38,029
Loan participation interest Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2019 Beginning balance 53,827 54,981 Advances — 577 Repayments (5,942 ) (7,673 ) Ending balance 47,885 47,885
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, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 17,567 Market Comparables, Vendor Pricing Weighted average life 2.0 - 5.2 years 3.6 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 22,771 Market Comparables, Vendor Pricing Weighted average life 2.9 - 5.9 years 4.3 years
Carrying Value and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2019 and December 31, 2018 : June 30, 2019 December 31, 2018 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 24,321 24,605 31,582 31,826 FHLBI stock 74,250 74,250 74,250 74,250 Total 98,571 98,855 105,832 106,076 Financial Liabilities Repurchase agreements 17,075,065 17,077,175 13,602,484 13,602,050 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Total 18,725,065 18,727,175 15,252,484 15,252,050

Related Party Transactions (Tab

Related Party Transactions (Tables)	6 Months Ended
	Jun. 30, 2019
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, 2019 and 2018 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2019 2018 2019 2018 Incurred costs, prepaid or expensed 1,609 1,300 3,213 2,792 Incurred costs, charged against equity as a cost of raising capital 124 2 444 167 Total incurred costs, originally paid by our Manager 1,733 1,302 3,657 2,959

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	6 Months Ended
	Jun. 30, 2019
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, 2019 . Three Months Ended June 30, Six Months Ended June 30, 2019 2019 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 12,520 $ 15.25 11,051 $ 14.55 Shares granted during the period — — 6,189 15.92 Shares vested during the period — — (4,720 ) 14.48 Unvested at the end of the period 12,520 $ 15.25 12,520 $ 15.25 (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, 2019 $ 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 — 47,188 — 47,188 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (121 ) — (121 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,916 ) (5,916 ) Currency translation adjustments on investment in unconsolidated venture (320 ) — — (320 ) Total other comprehensive income (loss) (320 ) 47,067 (5,916 ) 40,831 AOCI balance at beginning of period 237 183,160 93,785 277,182 Total other comprehensive income (loss) (320 ) 47,067 (5,916 ) 40,831 AOCI balance at end of period (83 ) 230,227 87,869 318,013 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 Six Months Ended June 30, 2019 $ 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 — 99,537 — 99,537 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 10,026 — 10,026 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (11,767 ) (11,767 ) Currency translation adjustments on investment in unconsolidated venture (596 ) — — (596 ) Total other comprehensive income/(loss) (596 ) 109,563 (11,767 ) 97,200 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss) (596 ) 109,563 (11,767 ) 97,200 AOCI balance at end of period (83 ) 230,227 87,869 318,013 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
Dividends Declared	We declared the following dividends during the three months ended June 30, 2019 and 2018 : $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 2018 June 15, 2018 0.4844 2,712 July 25, 2018 March 15, 2018 0.4844 2,713 April 25, 2018 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 2018 May 2, 2018 0.4844 3,004 June 27, 2018 February 15, 2018 0.4844 3,003 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 2018 May 2, 2018 0.46875 5,390 June 27, 2018 February 15, 2018 0.46875 5,391 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019 2018 June 15, 2018 0.42 46,890 July 26, 2018 March 15, 2018 0.42 46,887 April 26, 2018

Earnings per Common Share (Tabl

Earnings per Common Share (Tables)	6 Months Ended
	Jun. 30, 2019
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three and six months ended June 30, 2019 and 2018 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands except per share amounts 2019 2018 2019 2018 Numerator (Income) Basic Earnings: Net income available to common stockholders 7,230 80,008 134,913 121,479 Effect of dilutive securities: Income allocated to exchangeable senior notes — — — 1,621 Income allocated to non-controlling interest — 1,163 — 1,834 Dilutive net income available to stockholders 7,230 81,171 134,913 124,934 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 128,659 111,641 124,900 111,635 Effect of dilutive securities: Restricted stock awards 13 19 12 19 Non-controlling interest OP units — 1,425 — 1,425 Exchangeable senior notes — — — 2,389 Dilutive Shares 128,672 113,085 124,912 115,468 Earnings per share: Net income attributable to common stockholders Basic 0.06 0.72 1.08 1.09 Diluted 0.06 0.72 1.08 1.08

Organization and Business Ope_2

Organization and Business Operations (Detail)	6 Months Ended
	Jun. 30, 2019segment
Organization And Business Operations
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 Accoun_3

Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 4,822,114	$ 5,793,827
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 4,800,000

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Variable Interest Entity
Carrying Amount	$ 21,536,047	$ 17,396,642
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	4,795,335
Company's Maximum Risk of Loss	4,795,335
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	3,651,587
Company's Maximum Risk of Loss	3,651,587
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	1,118,073
Company's Maximum Risk of Loss	1,118,073
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	25,675
Company's Maximum Risk of Loss	$ 25,675

Mortgage-Backed and Credit Ri_3

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 23,337,643	$ 20,114,683
Unamortized Premium (Discount)	(2,523,386)	(2,752,848)
Amortized Cost	20,814,257	17,361,835
Unrealized Gain/ (Loss), net	721,790	34,807
Fair value	$ 21,536,047	$ 17,396,642
Marketable Securities, Weighted Average Yield Rate	4.02%	4.00%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	60.90%	73.60%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	7.80%	13.50%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	7.60%	12.40%
Percentage of CMBS interest only, principal balance	14.00%	15.00%
Percentage of CMBS interest only, amortized cost	0.40%	0.40%
Percentage of CMBS interest only, fair value	0.40%	0.50%
Unamortized premium (discount) non-accretable portion	$ 134,700	$ 145,600
Percentage of Non-Agency RMBS interest-only, principal balance	55.50%	55.40%
Percentage of Non-Agency RMBS interest-only, amortized cost	2.30%	2.30%
Percentage of Non-Agency RMBS interest only, fair value	2.00%	2.40%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 11,926,243	$ 10,670,120
Unamortized Premium (Discount)	371,016	317,545
Amortized Cost	12,297,259	10,987,665
Unrealized Gain/ (Loss), net	224,877	(130,694)
Fair value	$ 12,522,136	$ 10,856,971
Marketable Securities, Weighted Average Yield Rate	3.69%	3.49%
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 325,735	$ 417,233
Unamortized Premium (Discount)	2,318	5,077
Amortized Cost	328,053	422,310
Unrealized Gain/ (Loss), net	9,867	1,944
Fair value	$ 337,920	$ 424,254
Marketable Securities, Weighted Average Yield Rate	3.35%	3.27%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 11,496,479	$ 9,599,301
Unamortized Premium (Discount)	366,826	298,693
Amortized Cost	11,863,305	9,897,994
Unrealized Gain/ (Loss), net	213,786	(125,225)
Fair value	$ 12,077,091	$ 9,772,769
Marketable Securities, Weighted Average Yield Rate	3.70%	3.55%
ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 6,104	$ 105,453
Unamortized Premium (Discount)	178	350
Amortized Cost	6,282	105,803
Unrealized Gain/ (Loss), net	55	(56)
Fair value	$ 6,337	$ 105,747
Marketable Securities, Weighted Average Yield Rate	3.68%	2.74%
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 97,925	$ 548,133
Unamortized Premium (Discount)	1,694	13,425
Amortized Cost	99,619	561,558
Unrealized Gain/ (Loss), net	1,169	(7,357)
Fair value	$ 100,788	$ 554,201
Marketable Securities, Weighted Average Yield Rate	3.21%	2.80%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 945,125	$ 907,862
Unamortized Premium (Discount)	(543,338)	(631,180)
Amortized Cost	401,787	276,682
Unrealized Gain/ (Loss), net	11,377	(8,991)
Fair value	$ 413,164	$ 267,691
Marketable Securities, Weighted Average Yield Rate	3.41%	3.61%
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,705,117	$ 973,122
Unamortized Premium (Discount)	46,874	15,058
Amortized Cost	2,751,991	988,180
Unrealized Gain/ (Loss), net	174,252	14,330
Fair value	$ 2,926,243	$ 1,002,510
Marketable Securities, Weighted Average Yield Rate	3.39%	3.54%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 4,279,103	$ 4,024,715
Unamortized Premium (Discount)	(768,252)	(727,307)
Amortized Cost	3,510,851	3,297,408
Unrealized Gain/ (Loss), net	140,736	(10,949)
Fair value	$ 3,651,587	$ 3,286,459
Marketable Securities, Weighted Average Yield Rate	5.21%	5.05%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,646,663	$ 2,800,335
Unamortized Premium (Discount)	(1,648,005)	(1,748,223)
Amortized Cost	998,658	1,052,112
Unrealized Gain/ (Loss), net	119,415	111,570
Fair value	$ 1,118,073	$ 1,163,682
Marketable Securities, Weighted Average Yield Rate	6.70%	7.24%
Percentage of non-agency securities classified as fixed rate	55.70%	50.70%
Percentage of non-agency securities classified as variable rate	39.20%	43.50%
Percentage of non-agency securities classified as floating rate	5.10%	5.80%
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 835,392	$ 738,529
Unamortized Premium (Discount)	18,319	21,259
Amortized Cost	853,711	759,788
Unrealized Gain/ (Loss), net	51,133	59,541
Fair value	$ 904,844	$ 819,329
Marketable Securities, Weighted Average Yield Rate	3.11%	3.10%

Mortgage-Backed and Credit Ri_4

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Percentage of MBS and GSE CRT are accounted for under the fair value option	78.00%	67.00%
Gross unrealized losses	$ 15,885	$ 211,220
Agency RMBS, Agency CMBS and CMO
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	4,300	159,300
Agency IO, non-Agency RMBS and non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	$ 11,600	$ 51,900

Mortgage-Backed and Credit Ri_5

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, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 4,822,114	$ 5,793,827
Securities under Fair Value Option	16,713,933	11,602,815
Total Fair Value	21,536,047	17,396,642
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,072,427	1,924,363
Securities under Fair Value Option	11,449,709	8,932,608
Total Fair Value	12,522,136	10,856,971
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	126,708	204,347
Securities under Fair Value Option	211,212	219,907
Total Fair Value	337,920	424,254
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	869,612	1,093,070
Securities under Fair Value Option	11,207,479	8,679,699
Total Fair Value	12,077,091	9,772,769
ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	6,337	105,747
Securities under Fair Value Option	0	0
Total Fair Value	6,337	105,747
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	69,770	521,199
Securities under Fair Value Option	31,018	33,002
Total Fair Value	100,788	554,201
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	163,025	168,385
Securities under Fair Value Option	250,139	99,306
Total Fair Value	413,164	267,691
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	2,926,243	1,002,510
Total Fair Value	2,926,243	1,002,510
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	2,168,868	2,153,403
Securities under Fair Value Option	1,482,719	1,133,056
Total Fair Value	3,651,587	3,286,459
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	862,660	961,445
Securities under Fair Value Option	255,413	202,237
Total Fair Value	1,118,073	1,163,682
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	555,134	586,231
Securities under Fair Value Option	349,710	233,098
Total Fair Value	$ 904,844	$ 819,329

Mortgage-Backed and Credit Ri_6

Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	$ 23,337,643	$ 20,114,683
Unamortized premium	471,995	395,907
Unamortized discount	(2,995,381)	(3,148,755)
Gross unrealized gains	737,675	246,027
Gross unrealized losses	(15,885)	(211,220)
Fair value	21,536,047	17,396,642
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	20,839,637	17,442,367
Unamortized premium	471,995	395,907
Unamortized discount	(561,979)	(549,988)
Gross unrealized gains	731,892	238,579
Gross unrealized losses	(11,668)	(204,664)
Fair value	21,469,877	17,322,201
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	2,498,006	2,672,316
Unamortized premium	0	0
Unamortized discount	(2,433,402)	(2,598,767)
Gross unrealized gains	5,783	7,448
Gross unrealized losses	(4,217)	(6,556)
Fair value	$ 66,170	$ 74,441

Mortgage-Backed and Credit Ri_7

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, 2019	Dec. 31, 2018
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 55,567	$ 110,020
Greater than one year and less than five years	9,122,993	3,508,100
Greater than or equal to five years	12,357,487	13,778,522
Fair value	$ 21,536,047	$ 17,396,642

Mortgage-Backed and Credit Ri_8

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, 2019USD ($)security	Dec. 31, 2018USD ($)security
Fair Value
Less than 12 Months	$ 41,168	$ 5,527,120
12 Months or More	1,201,257	4,216,435
Total	1,242,425	9,743,555
Unrealized Losses
Less than 12 Months	(3,458)	(75,521)
12 Months or More	(12,427)	(135,699)
Total	$ (15,885)	$ (211,220)
Number of Securities
Less than 12 Months (in securities) | security	43	359
12 Months or More (in securities) | security	90	285
Total (in securities) | security	133	644
Principal/notional balance	$ 23,337,643	$ 20,114,683
Unamortized Premium (Discount)	(2,523,386)	(2,752,848)
Marketable Securities, Amortized Cost Basis	20,814,257	17,361,835
Unrealized Gain/ (Loss), net	721,790	34,807
Fair value	$ 21,536,047	$ 17,396,642
Marketable Securities, Weighted Average Yield Rate	4.02%	4.00%
Agency RMBS
Fair Value
Less than 12 Months	$ 6,568	$ 4,061,978
12 Months or More	943,049	3,366,167
Total	949,617	7,428,145
Unrealized Losses
Less than 12 Months	(10)	(50,083)
12 Months or More	(3,840)	(104,080)
Total	$ (3,850)	$ (154,163)
Number of Securities
Less than 12 Months (in securities) | security	17	211
12 Months or More (in securities) | security	57	198
Total (in securities) | security	74	409
Fair value option, fair value	$ 786,500	$ 6,100,000
Fair value option, unrealized losses	2,600	130,200
Principal/notional balance	11,926,243	10,670,120
Unamortized Premium (Discount)	371,016	317,545
Marketable Securities, Amortized Cost Basis	12,297,259	10,987,665
Unrealized Gain/ (Loss), net	224,877	(130,694)
Fair value	$ 12,522,136	$ 10,856,971
Marketable Securities, Weighted Average Yield Rate	3.69%	3.49%
15 year fixed-rate
Fair Value
Less than 12 Months	$ 2,853	$ 86,241
12 Months or More	3,833	16,660
Total	6,686	102,901
Unrealized Losses
Less than 12 Months	(7)	(814)
12 Months or More	(22)	(189)
Total	$ (29)	$ (1,003)
Number of Securities
Less than 12 Months (in securities) | security	14	50
12 Months or More (in securities) | security	14	22
Total (in securities) | security	28	72
Principal/notional balance	$ 325,735	$ 417,233
Unamortized Premium (Discount)	2,318	5,077
Marketable Securities, Amortized Cost Basis	328,053	422,310
Unrealized Gain/ (Loss), net	9,867	1,944
Fair value	$ 337,920	$ 424,254
Marketable Securities, Weighted Average Yield Rate	3.35%	3.27%
30 year fixed-rate
Fair Value
Less than 12 Months	$ 958	$ 3,966,347
12 Months or More	903,747	2,846,090
Total	904,705	6,812,437
Unrealized Losses
Less than 12 Months	(2)	(49,182)
12 Months or More	(3,390)	(94,716)
Total	$ (3,392)	$ (143,898)
Number of Securities
Less than 12 Months (in securities) | security	2	158
12 Months or More (in securities) | security	31	95
Total (in securities) | security	33	253
Principal/notional balance	$ 11,496,479	$ 9,599,301
Unamortized Premium (Discount)	366,826	298,693
Marketable Securities, Amortized Cost Basis	11,863,305	9,897,994
Unrealized Gain/ (Loss), net	213,786	(125,225)
Fair value	$ 12,077,091	$ 9,772,769
Marketable Securities, Weighted Average Yield Rate	3.70%	3.55%
ARM
Fair Value
Less than 12 Months	$ 0	$ 2,632
12 Months or More	2,764	49,954
Total	2,764	52,586
Unrealized Losses
Less than 12 Months	0	(28)
12 Months or More	(32)	(785)
Total	$ (32)	$ (813)
Number of Securities
Less than 12 Months (in securities) | security	0	1
12 Months or More (in securities) | security	2	10
Total (in securities) | security	2	11
Principal/notional balance	$ 6,104	$ 105,453
Unamortized Premium (Discount)	178	350
Marketable Securities, Amortized Cost Basis	6,282	105,803
Unrealized Gain/ (Loss), net	55	(56)
Fair value	$ 6,337	$ 105,747
Marketable Securities, Weighted Average Yield Rate	3.68%	2.74%
Hybrid ARM
Fair Value
Less than 12 Months	$ 2,757	$ 6,758
12 Months or More	32,705	453,463
Total	35,462	460,221
Unrealized Losses
Less than 12 Months	(1)	(59)
12 Months or More	(396)	(8,390)
Total	$ (397)	$ (8,449)
Number of Securities
Less than 12 Months (in securities) | security	1	2
12 Months or More (in securities) | security	10	71
Total (in securities) | security	11	73
Principal/notional balance	$ 97,925	$ 548,133
Unamortized Premium (Discount)	1,694	13,425
Marketable Securities, Amortized Cost Basis	99,619	561,558
Unrealized Gain/ (Loss), net	1,169	(7,357)
Fair value	$ 100,788	$ 554,201
Marketable Securities, Weighted Average Yield Rate	3.21%	2.80%
Agency-CMO
Fair Value
Less than 12 Months	$ 7,302	$ 152,962
12 Months or More	46,468	101,705
Total	53,770	254,667
Unrealized Losses
Less than 12 Months	(2,392)	(6,315)
12 Months or More	(1,400)	(5,100)
Total	$ (3,792)	$ (11,415)
Number of Securities
Less than 12 Months (in securities) | security	13	34
12 Months or More (in securities) | security	13	19
Total (in securities) | security	26	53
Non-Agency CMBS
Fair Value
Less than 12 Months	$ 15,899	$ 1,214,691
12 Months or More	127,707	659,298
Total	143,606	1,873,989
Unrealized Losses
Less than 12 Months	(29)	(17,778)
12 Months or More	(6,586)	(25,381)
Total	$ (6,615)	$ (43,159)
Number of Securities
Less than 12 Months (in securities) | security	3	94
12 Months or More (in securities) | security	9	52
Total (in securities) | security	12	146
Fair value option, fair value	$ 15,900	$ 831,300
Fair value option, unrealized losses	29	26,300
Principal/notional balance	4,279,103	4,024,715
Unamortized Premium (Discount)	(768,252)	(727,307)
Marketable Securities, Amortized Cost Basis	3,510,851	3,297,408
Unrealized Gain/ (Loss), net	140,736	(10,949)
Fair value	$ 3,651,587	$ 3,286,459
Marketable Securities, Weighted Average Yield Rate	5.21%	5.05%
GSE CRT
Fair Value
Less than 12 Months		$ 9,639
12 Months or More		0
Total		9,639
Unrealized Losses
Less than 12 Months		(193)
12 Months or More		0
Total		$ (193)
Number of Securities
Less than 12 Months (in securities) | security		1
12 Months or More (in securities) | security		0
Total (in securities) | security		1
Principal/notional balance	$ 835,392	$ 738,529
Unamortized Premium (Discount)	18,319	21,259
Marketable Securities, Amortized Cost Basis	853,711	759,788
Unrealized Gain/ (Loss), net	51,133	59,541
Fair value	$ 904,844	$ 819,329
Marketable Securities, Weighted Average Yield Rate	3.11%	3.10%
Non-Agency RMBS
Fair Value
Less than 12 Months	$ 11,399	$ 87,850
12 Months or More	84,033	89,265
Total	95,432	177,115
Unrealized Losses
Less than 12 Months	(1,027)	(1,152)
12 Months or More	(601)	(1,138)
Total	$ (1,628)	$ (2,290)
Number of Securities
Less than 12 Months (in securities) | security	10	19
12 Months or More (in securities) | security	11	16
Total (in securities) | security	21	35
Fair value option, fair value	$ 6,100	$ 6,200
Fair value option, unrealized losses	120	79
Principal/notional balance	2,646,663	2,800,335
Unamortized Premium (Discount)	(1,648,005)	(1,748,223)
Marketable Securities, Amortized Cost Basis	998,658	1,052,112
Unrealized Gain/ (Loss), net	119,415	111,570
Fair value	$ 1,118,073	$ 1,163,682
Marketable Securities, Weighted Average Yield Rate	6.70%	7.24%
Agency IO
Number of Securities
Fair value option, fair value	$ 12,200	$ 21,800
Fair value option, unrealized losses	3,300	6,300
Agency-CMO
Number of Securities
Fair value option, fair value		66,000
Fair value option, unrealized losses		845
Principal/notional balance	945,125	907,862
Unamortized Premium (Discount)	(543,338)	(631,180)
Marketable Securities, Amortized Cost Basis	401,787	276,682
Unrealized Gain/ (Loss), net	11,377	(8,991)
Fair value	$ 413,164	$ 267,691
Marketable Securities, Weighted Average Yield Rate	3.41%	3.61%
Non-Agency IO
Number of Securities
Fair value option, fair value	$ 4,400	$ 3,700
Fair value option, unrealized losses	$ 907	$ 269

Mortgage-Backed and Credit Ri_9

Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 1,200	$ 2,089	$ 2,976	$ 6,448
RMBS interest-only securities
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	489	2,089	1,952	6,398
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 711	$ 0	$ 1,024	$ 50

Mortgage-Backed and Credit R_10

Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Debt Securities, Available-for-sale [Line Items]
Gross realized gains on sale of investments	$ 3,957	$ 35	$ 5,159	$ 35
Gross realized losses on sale of investments	(1,928)	(11,560)	(14,245)	(20,797)
Other-than-temporary impairment losses	(1,200)	(2,089)	(2,976)	(6,448)
Net unrealized gains and losses on trading securities	0	(4)	0	(17)
Total gain (loss) on investments, net	302,182	(36,377)	570,564	(196,747)
MBS
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	304,692	(22,941)	584,731	(170,136)
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	$ (3,339)	$ 182	$ (2,105)	$ 616

Mortgage-Backed and Credit R_11

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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 214,501	$ 164,165	$ 406,943	$ 330,484
Net (Premium Amortization)/Discount Accretion	(13,764)	(16,617)	(20,714)	(33,933)
Interest Income	200,737	147,548	386,229	296,551
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	131,757	105,389	251,483	213,706
Net (Premium Amortization)/Discount Accretion	(17,153)	(22,274)	(29,347)	(45,496)
Interest Income	114,604	83,115	222,136	168,210
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	17,862	41	28,333	41
Net (Premium Amortization)/Discount Accretion	(909)	(1)	(1,440)	(1)
Interest Income	16,953	40	26,893	40
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	40,615	38,101	79,445	75,394
Net (Premium Amortization)/Discount Accretion	3,350	1,195	6,381	2,621
Interest Income	43,965	39,296	85,826	78,015
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	13,877	13,195	28,144	27,207
Net (Premium Amortization)/Discount Accretion	2,800	5,159	6,722	10,336
Interest Income	16,677	18,354	34,866	37,543
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	9,426	7,180	18,022	13,705
Net (Premium Amortization)/Discount Accretion	(1,852)	(696)	(3,030)	(1,393)
Interest Income	7,574	6,484	14,992	12,312
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	964	259	1,516	431
Net (Premium Amortization)/Discount Accretion	0	0	0	0
Interest Income	$ 964	$ 259	$ 1,516	$ 431

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
FHLBI stock	$ 74,250	$ 74,250
Loan participation interest	47,885	54,981
Commercial loans, held-for-investment	24,321	31,582
Investments in unconsolidated ventures	25,675	24,012
Prepaid expenses and other assets	1,912	1,234
Total	$ 174,043	$ 186,059

Other Assets - Additional Infor

Other Assets - Additional Information (Details) - loan	1 Months Ended	6 Months Ended	12 Months Ended
	Aug. 31, 2018	Jun. 30, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Loans Receivable, Term		2 years
Secured loan collateralized by mortgage servicing rights
Loans and Leases Receivable Disclosure [Line Items]
Loans Receivable, Term	2 years
Loans receivable, renewal option, term	1 year
Participation interest in a secured loan collateralized by mortgage servicing rights | LIBOR
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, basis spread on variable rate		6.06%	6.06%
Commercial
Loans and Leases Receivable Disclosure [Line Items]
Number of loans		1	2
Weighted average years to maturity		1 year 8 months 12 days	1 year 8 months 12 days
Weighted average coupon rate		10.94%	10.69%

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Repurchase Agreements:
Amount outstanding	$ 17,075,065	$ 13,602,484
Weighted Average Interest Rate	2.78%	2.80%
Weighted average remaining maturity	41 days	34 days
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 18,725,065	$ 15,252,484
Weighted average interest rate	2.77%	2.79%
Weighted average remaining maturity	193 days	242 days
Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 11,234,043	$ 9,529,352
Weighted Average Interest Rate	2.62%	2.56%
Weighted average remaining maturity	45 days	36 days
Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 2,299,766	$ 810,450
Weighted Average Interest Rate	2.61%	2.53%
Weighted average remaining maturity	50 days	31 days
Non-Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 1,849,544	$ 1,616,473
Weighted Average Interest Rate	3.44%	3.56%
Weighted average remaining maturity	17 days	19 days
Non-Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 904,432	$ 923,959
Weighted Average Interest Rate	3.34%	3.60%
Weighted average remaining maturity	23 days	26 days
GSE CRT
Repurchase Agreements:
Amount outstanding	$ 751,367	$ 681,014
Weighted Average Interest Rate	3.37%	3.48%
Weighted average remaining maturity	14 days	21 days
Loan participation interest
Repurchase Agreements:
Amount outstanding	$ 35,913	$ 41,236
Weighted Average Interest Rate	4.04%	4.09%
Weighted average remaining maturity	424 days	605 days
Secured Loans
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Weighted average interest rate	2.66%	2.68%
Weighted average remaining maturity	1771 days	1952 days

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Jun. 30, 2019USD ($)
Debt Disclosure [Abstract]
Borrowings maturing within 7/1/2019 - 6/30/2020	$ 17,339,152
Borrowings maturing within 7/1/2020 - 6/30/2021	135,913
Borrowings maturing within 7/1/2021 - 6/30/2022	0
Borrowings maturing within 7/1/2022 - 6/30/2023	0
Borrowings maturing within 7/1/2023 - 6/30/2024	0
Thereafter	1,250,000
Total	$ 18,725,065

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Repurchase Agreement Counterparty
Collateral ratio	110.00%	111.00%
Advances from Federal Home Loan Banks	$ 1,650,000	$ 1,650,000
Minimum
Repurchase Agreement Counterparty
Repurchase obligation maturity	1 month
Maximum
Repurchase Agreement Counterparty
Repurchase obligation maturity	6 months
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks	$ 1,650,000
Average outstanding borrowings from FHLBI	$ 1,650,000
FHLBI weighted average interest rate on advances	2.72%
Weighted average maturity (in years)	4 years 10 months 24 days

Collateral Positions (Details)

Collateral Positions (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivative [Line Items]
Repurchase Agreements	$ 18,749,183	$ 15,047,528
Secured Loans	1,955,637	1,930,364
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	206,900	159,900
Total collateral pledged	20,972,466	17,151,306
Cash collateral held	14,939	18,083
Non-cash collateral collateral held	26,423	0
Total collateral held	41,362	18,083
Cash
Derivative [Line Items]
Repurchase Agreements	15,613	0
Total collateral pledged	21,041	13,500
Restricted cash
Derivative [Line Items]
Total collateral pledged	55,271	0
Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	267,646	173,414
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Cash
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	5,428	13,500
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Restricted cash
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	55,271	0
Repurchase agreement
Derivative [Line Items]
Cash collateral held	14,780	0
Non-cash collateral collateral held	26,423	0
Total collateral held	41,203	0
Interest Rate Swaps
Derivative [Line Items]
Cash collateral held	159	18,083
Non-cash collateral collateral held	0	0
Total collateral held	159	18,083
Agency RMBS
Derivative [Line Items]
Repurchase Agreements	11,868,055	10,158,404
Secured Loans	688,520	702,952
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	206,947	159,914
Agency CMBS
Derivative [Line Items]
Repurchase Agreements	2,474,292	870,702
Non-Agency CMBS
Derivative [Line Items]
Repurchase Agreements	2,341,069	2,016,202
Secured Loans	1,267,117	1,227,412
Non-Agency RMBS
Derivative [Line Items]
Repurchase Agreements	1,097,426	1,127,911
GSE CRT
Derivative [Line Items]
Repurchase Agreements	904,843	819,328
Loan participation interest
Derivative [Line Items]
Repurchase Agreements	47,885	54,981
Total collateral pledged	47,885	54,981
Mortgage-backed and credit risk transfer securities
Derivative [Line Items]
Total collateral pledged	$ 20,848,269	$ 17,082,825

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands	6 Months Ended
	Jun. 30, 2019USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	$ 14,609,961
Additions	13,658,619
Settlement, Termination, Expiration or Exercise	(14,773,382)
Notional Amount as of June 30, 2019	13,495,198
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	12,370,000
Additions	10,475,000
Settlement, Termination, Expiration or Exercise	(10,375,000)
Notional Amount as of June 30, 2019	12,470,000
Futures Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	1,689,900
Additions	3,131,500
Settlement, Termination, Expiration or Exercise	(4,327,100)
Notional Amount as of June 30, 2019	494,300
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	23,149
Additions	52,119
Settlement, Termination, Expiration or Exercise	(48,684)
Notional Amount as of June 30, 2019	26,584
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2018	526,912
Additions	0
Settlement, Termination, Expiration or Exercise	(22,598)
Notional Amount as of June 30, 2019	$ 504,314

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Decrease (increase) to interest expense	$ 5,900	$ 6,900	$ 11,800	$ 13,400
Amount reclassified to interest expenses within Next 12 months	23,800		23,800
Unrealized gain on discontinued cash flow hedges included in AOCI	2,670,101		2,670,101		$ 2,286,697
Notional amount	13,495,198		13,495,198		14,609,961
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	87,900		87,900		99,600
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	26,584		26,584		23,149
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 26,600		$ 26,600		$ 23,100

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivative [Line Items]
Notional amount	$ 13,495,198	$ 14,609,961
Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 12,470,000	$ 12,370,000
Weighted Average Fixed Pay Rate	2.15%	2.46%
Weighted Average Receive Rate	2.46%	2.55%
Weighted Average Years to Maturity	4 years 8 months 12 days	3 years 8 months 12 days
2019 | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 1,500,000
Weighted Average Fixed Pay Rate		2.70%
Weighted Average Receive Rate		2.47%
Weighted Average Years to Maturity		10 months 24 days
2020 | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 1,500,000
Weighted Average Fixed Pay Rate		2.78%
Weighted Average Receive Rate		2.51%
Weighted Average Years to Maturity		1 year 8 months 12 days
2021 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,700,000	$ 2,300,000
Weighted Average Fixed Pay Rate	2.24%	2.51%
Weighted Average Receive Rate	2.43%	2.58%
Weighted Average Years to Maturity	1 year 10 months 24 days	2 years 6 months
2022 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 4,650,000	$ 2,550,000
Weighted Average Fixed Pay Rate	2.09%	2.13%
Weighted Average Receive Rate	2.48%	2.65%
Weighted Average Years to Maturity	2 years 10 months 24 days	3 years 4 months 24 days
2023 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,000,000	$ 1,600,000
Weighted Average Fixed Pay Rate	2.09%	2.39%
Weighted Average Receive Rate	2.39%	2.47%
Weighted Average Years to Maturity	4 years 3 months 18 days	4 years 8 months 12 days
2024 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,900,000
Weighted Average Fixed Pay Rate	2.08%
Weighted Average Receive Rate	2.49%
Weighted Average Years to Maturity	4 years 8 months 12 days
Thereafter | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 3,220,000	$ 2,920,000
Weighted Average Fixed Pay Rate	2.24%	2.47%
Weighted Average Receive Rate	2.44%	2.55%
Weighted Average Years to Maturity	8 years 8 months 12 days	6 years 9 months 18 days
1-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 7,200,000	$ 6,700,000
3-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 5,300,000	$ 5,700,000

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivative [Line Items]
Notional amount	$ 13,495,198	$ 14,609,961
GSE CRT | GSE CRT Embedded Derivatives
Derivative [Line Items]
Fair value amount	17,567	22,771
Notional amount	504,314	526,912
Maximum potential amount of future undiscounted payments	$ 504,314	$ 526,912

Derivatives and Hedging Activ_7

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivatives, Fair Value
Derivative Assets	$ 622	$ 15,089
Derivative Liabilities	36,969	10,239
Interest Rate Swaps Asset
Derivatives, Fair Value
Derivative Assets	9,446	15,089
Interest Rate Swaps Liability
Derivatives, Fair Value
Derivative Liabilities	36,669	15,382
Currency Forward Contracts
Derivatives, Fair Value
Derivative Assets	3	0
Derivative Liabilities	300	172
Futures Contracts
Derivatives, Fair Value
Derivative Assets	618	0
Derivative Liabilities	$ 0	$ 7,836

Derivatives and Hedging Activ_8

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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	$ (344,733)	$ 67,169	$ (546,193)	$ 200,536
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(307,239)	36,274	(539,626)	149,852
Contractual net interest income (expense)	7,525	(4,511)	12,034	(16,623)
Unrealized gain (loss), net	(45,019)	35,406	(18,601)	67,307
Gain (loss) on derivative instruments, net	(344,733)	67,169	(546,193)	200,536
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 income (expense)	5,300	5,638	10,650	11,271
Unrealized gain (loss), net	(7,738)	(4,903)	(5,204)	(7,371)
Gain (loss) on derivative instruments, net	(2,438)	735	5,446	3,900
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(241,839)	34,273	(407,723)	156,546
Contractual net interest income (expense)	7,525	(4,511)	12,034	(16,623)
Unrealized gain (loss), net	(39,922)	32,985	(26,931)	65,359
Gain (loss) on derivative instruments, net	(274,236)	62,747	(422,620)	205,282
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(65,953)	640	(132,641)	(4,637)
Contractual net interest income (expense)	0	0	0	0
Unrealized gain (loss), net	(4,490)	(1,044)	8,454	(2,656)
Gain (loss) on derivative instruments, net	(70,443)	(404)	(124,187)	(7,293)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	553	1,361	738	(2,057)
Contractual net interest income (expense)	0	0	0	0
Unrealized gain (loss), net	(607)	3,465	(124)	4,604
Gain (loss) on derivative instruments, net	$ (54)	$ 4,826	$ 614	$ 2,547

Derivatives and Hedging Activ_9

Derivatives and Hedging Activities - Credit Risk Related Contingent Features (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivative [Line Items]
Restricted cash	$ 55,271	$ 0
Derivative assets, at fair value	10,067	$ 15,089
Central Clearing Counterparty
Derivative [Line Items]
Derivative assets, at fair value	9,400
Bilateral Interest Rate Swap
Derivative [Line Items]
Collateral required to pledge	15,600
Bilateral Interest Rate Swap | Accrued Interest
Derivative [Line Items]
Derivative asset (liability), net	(36,600)
Collateral Pledged | Bilateral Interest Rate Swap
Derivative [Line Items]
Restricted cash	$ 23,300

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivative [Line Items]
Derivative assets, at fair value	$ 10,067	$ 15,089
Derivative liabilities, at fair value	(36,969)	(23,390)
Central Clearing Counterparty
Derivative [Line Items]
Derivative assets, at fair value	$ 9,400
Derivative liabilities, at fair value		$ (13,200)

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivatives Asset
Gross Amounts of Recognized Assets	$ 622	$ 15,089
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	622	15,089
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(3)	(433)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	0	(14,656)
Net Amount	$ 619	$ 0

Offsetting Assets and Liabili_5

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Derivatives Liability
Gross Amounts of Recognized Liabilities	$ 36,969	$ 10,239
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	36,969	10,239
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(15,114)	(2,058)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(21,661)	(7,836)
Net Amount	194	345
Repurchase Agreements
Gross Amounts of Recognized Liabilities	17,075,065	13,602,484
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	17,075,065	13,602,484
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(17,075,065)	(13,602,484)
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	18,762,034	15,262,723
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	18,762,034	15,262,723
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(18,740,179)	(15,254,542)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(21,661)	(7,836)
Net Amount	194	345
Interest rate swaps collateral pledged	206,900	159,900
Cash collateral posted by Company's derivative counterparties	14,939	18,083
Due from counterparties	60,000	13,500
Fair value of securities pledged under repurchase agreements, excluding cash collateral	18,700,000	15,000,000
Fair value of securities pledged under repurchase agreement	18,749,183	15,047,528
Collateral pledged against secured loans	1,955,637	1,930,364
IAS Services LLC
Total Borrowings
Collateral pledged against secured loans	1,900,000
Repurchase agreement
Total Borrowings
Cash collateral posted by Company's derivative counterparties	14,780	0
Centrally Cleared Interest Rate Swaps
Total Borrowings
Interest rate swaps collateral pledged	182,400	158,300
Cash
Total Borrowings
Fair value of securities pledged under repurchase agreement	$ 15,613	$ 0

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	$ 21,536,047		$ 17,396,642
Derivative assets	622		15,089
Derivative liabilities	$ 36,969		10,239
Weighted average remaining term of investments in unconsolidated ventures	2 years 9 months 18 days	2 years 7 months 6 days
Loan participation interest	$ 47,885		54,981
GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	904,844		819,329
Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives in an asset position	17,567		22,771
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	21,536,047		17,396,642
Derivative assets	10,067		15,089
Other assets	73,560		78,993
Total assets	21,619,674		17,490,724
Derivative liabilities	36,969		23,390
Total liabilities	36,969		23,390
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	0		0
Derivative assets	618		0
Other assets	0		0
Total assets	618		0
Derivative liabilities	0		7,836
Total liabilities	0		7,836
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	21,518,480		17,373,871
Derivative assets	9,449		15,089
Other assets	0		0
Total assets	21,527,929		17,388,960
Derivative liabilities	36,969		15,554
Total liabilities	36,969		15,554
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	17,567		22,771
Derivative assets	0		0
Other assets	47,885		54,981
Total assets	65,452		77,752
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	17,600		22,800
Embedded derivatives in an asset position	24,200		28,800
Embedded derivatives in a liability position	6,600		6,000
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 25,675		$ 24,012

Fair Value of Financial Instr_4

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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ 25,305	$ 42,932	$ 22,771	$ 45,400
Unrealized credit derivative gains (losses), net	(7,738)	(4,903)	(5,204)	(7,371)
Ending balance	$ 17,567	$ 38,029	$ 17,567	$ 38,029

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Loan participation interest Level 3 Roll Forward (Details) - Loan participation interest - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2019	Jun. 30, 2019
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 53,827	$ 54,981
Advances	0	577
Repayments	(5,942)	(7,673)
Ending balance	$ 47,885	$ 47,885

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Level 3 $ in Thousands	Jun. 30, 2019USD ($)year	Dec. 31, 2018USD ($)year
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives | $	$ 17,567	$ 22,771
Measurement Input, Expected Term | Minimum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	2	2.9
Measurement Input, Expected Term | Maximum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	5.2	5.9
Measurement Input, Expected Term | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	3.6	4.3

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Jun. 30, 2019	Dec. 31, 2018
Carrying Value
Financial Assets
Commercial loans, held-for-investment	$ 24,321	$ 31,582
FHLBI stock	74,250	74,250
Total assets	98,571	105,832
Financial Liabilities
Repurchase agreements	17,075,065	13,602,484
Secured loans	1,650,000	1,650,000
Total	18,725,065	15,252,484
Estimated Fair Value
Financial Assets
Commercial loans, held-for-investment	24,605	31,826
FHLBI stock	74,250	74,250
Total assets	98,855	106,076
Financial Liabilities
Repurchase agreements	17,077,175	13,602,050
Secured loans	1,650,000	1,650,000
Total	$ 18,727,175	$ 15,252,050

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	Dec. 31, 2018
Related Party Transaction [Line Items]
Management fee – related party	$ 9,370	$ 10,102	$ 18,904	$ 20,323
Investment in money market or mutual funds managed by affiliates of a related party	99,620		$ 99,620		$ 135,617
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	213	$ 217	$ 396	$ 431
Investment in money market or mutual funds managed by affiliates of a related party	$ 32,400		$ 32,400		$ 131,900

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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 1,733	$ 1,302	$ 3,657	$ 2,959
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	1,609	1,300	3,213	2,792
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 124	$ 2	$ 444	$ 167

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Feb. 07, 2019	Mar. 31, 2019	Aug. 31, 2017	Sep. 27, 2017	Jun. 30, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018	May 03, 2019	Sep. 28, 2017
Class of Stock [Line Items]
Number of shares repurchased during period (in shares)					0	0	0	0
Incentive Plan
Class of Stock [Line Items]
Number of shares of common stock available for issuance									200,000
Total unrecognized compensation cost					$ 167		$ 167
Share-based compensation cost not yet recognized, period for recognition							45 months
Weighted average remaining vesting period							21 months
Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price per share (dollars per share)					$ 25		$ 25
Equity distribution agreement, authorized (in shares)		7,000,000
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate							7.75%
Preferred stock, liquidation preference (dollars per share)					25		$ 25
Preferred stock, dividends per annum (dollars per share)							$ 1.9375
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate							7.75%
Preferred stock, liquidation preference (dollars per share)					$ 25		$ 25
Preferred stock, dividends per annum (dollars per share)							$ 1.9375
Series B Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread					5.18%		5.18%
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate			7.50%
Preferred stock, liquidation preference (dollars per share)			$ 25
Preferred stock, dividends per annum (dollars per share)				$ 1.875
Series C Preferred Stock | LIBOR
Class of Stock [Line Items]
Preferred stock dividend variable rate spread										5.289%
Common Stock
Class of Stock [Line Items]
Equity distribution agreement, authorized (in shares)		17,000,000
Number of shares issued during period	16,100,000
Sale of stock, price (in USD per share)	$ 15.73
Proceeds from issuance of common stock	$ 249,500
Remaining number of shares authorized to be repurchased (in shares)					18,163,982		18,163,982
Common Stock | Incentive Plan
Class of Stock [Line Items]
Compensation expense recognized					$ 18		$ 37
Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Number of shares issued during period					521,136		1,093,136
Proceeds from issuance of common stock					$ 8,200		$ 17,200
Payments of stock issuance commission and fees					170		363
Directors | Common Stock | Incentive Plan
Class of Stock [Line Items]
Compensation expense recognized					$ 112	$ 106	$ 225	$ 199
Restricted stock issued (in shares)					6,895	6,465	13,960	13,642
Employees of the Manager snd its affiliates | Common Stock | Incentive Plan
Class of Stock [Line Items]
Compensation expense recognized						$ 30		$ 44

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares	3 Months Ended	6 Months Ended
	Jun. 30, 2019	Jun. 30, 2019
Restricted Stock Units
Unvested at the beginning of the period (in shares)	12,520	11,051
Shares granted during the period (in shares)	0	6,189
Shares vested during the period (in shares)	0	(4,720)
Unvested at the end of the period (in shares)	12,520	12,520
Weighted Average Grant Date Fair Value
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share)	$ 15.25	$ 14.55
Granted, Weighted Average Grant Date Fair Value (usd per share)	0	15.92
Vested, Weighted Average Grant Date Fair Value (usd per share)	0	14.48
Weighted Average Grant Date Fair Value, at the end of the period (usd per share)	$ 15.25	$ 15.25

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended				6 Months Ended
	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2018	Mar. 31, 2018	Jun. 30, 2019	Jun. 30, 2018
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ 47,188		$ (47,929)		$ 99,537	$ (180,246)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(121)		9,889		10,026	19,126
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(5,916)		(6,898)		(11,767)	(13,437)
Currency translation adjustments on investment in unconsolidated venture	(320)		486		(596)	798
Total other comprehensive income (loss)	40,831		(44,452)	$ (129,307)	97,200	(173,759)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period			2,522,356	2,656,878		2,656,878
Total other comprehensive income (loss)	40,831		(44,452)	(129,307)	97,200	(173,759)
Other comprehensive income/(loss) attributable to non-controlling interest			561			2,191
Balance at end of period			2,511,723	2,522,356		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	(320)		486		(596)	798
Total other comprehensive income (loss)	(320)		486		(596)	798
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	(320)		486		(596)	798
Other comprehensive income/(loss) attributable to non-controlling interest			(5)			(9)
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	47,188		(47,929)		99,537	(180,246)
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(121)		9,889		10,026	19,126
Total other comprehensive income (loss)	47,067		(38,040)		109,563	(161,120)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	47,067		(38,040)		109,563	(161,120)
Other comprehensive income/(loss) attributable to non-controlling interest			479			2,031
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	(5,916)		(6,898)		(11,767)	(13,437)
Total other comprehensive income (loss)	(5,916)		(6,898)		(11,767)	(13,437)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income (loss)	(5,916)		(6,898)		(11,767)	(13,437)
Other comprehensive income/(loss) attributable to non-controlling interest			87			169
Equity method investments attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	237	$ 513	1,255	947	513	947
Balance at end of period	(83)	237	1,736	1,255	(83)	1,736
Available-for-sale securities attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	183,160	120,664	14,660	136,188	120,664	136,188
Balance at end of period	230,227	183,160	(22,901)	14,660	230,227	(22,901)
Derivative and hedging attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	93,785	99,636	117,437	123,894	99,636	123,894
Balance at end of period	87,869	93,785	110,626	117,437	87,869	110,626
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)	40,831	56,369	(43,891)	(127,677)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	277,182	220,813	133,352	261,029	220,813	261,029
Total other comprehensive income (loss)	40,831	56,369	(43,891)	(127,677)
Balance at end of period	$ 318,013	$ 277,182	$ 89,461	$ 133,352	$ 318,013	$ 89,461

Stockholders' Equity - Schedule

Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2018	Mar. 31, 2018
Class of Stock [Line Items]
Common stock dividend declared (dollars per share)	$ 0.45	$ 0.45	$ 0.42	$ 0.42
Dividends, common stock	$ 57,958	$ 57,720	$ 46,890	$ 46,887
Series A Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844
Dividends, preferred stock	$ 2,712	$ 2,713	$ 2,712	$ 2,713
Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844
Dividends, preferred stock	$ 3,004	$ 3,003	$ 3,004	$ 3,003
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.46875	$ 0.46875	$ 0.46875	$ 0.46875
Dividends, preferred stock	$ 5,390	$ 5,391	$ 5,390	$ 5,391

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, 2019	Jun. 30, 2018	Jun. 30, 2019	Jun. 30, 2018
Basic Earnings:
Net income available to common stockholders	$ 7,230	$ 80,008	$ 134,913	$ 121,479
Effect of dilutive securities:
Income allocated to exchangeable senior notes	0	0	0	1,621
Income allocated to non-controlling interest	0	1,163	0	1,834
Dilutive net income available to stockholders	$ 7,230	$ 81,171	$ 134,913	$ 124,934
Basic Earnings:
Shares available to common stockholders (in shares)	128,659	111,641	124,900	111,635
Effect of dilutive securities:
Restricted stock awards (in shares)	13	19	12	19
Non-controlling interest OP units (in shares)	0	1,425	0	1,425
Exchangeable senior notes (in shares)	0	0	0	2,389
Dilutive Shares (in shares)	128,672	113,085	124,912	115,468
Net income attributable to common stockholders
Basic (usd per share)	$ 0.06	$ 0.72	$ 1.08	$ 1.09
Diluted (usd per share)	$ 0.06	$ 0.72	$ 1.08	$ 1.08

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Millions	6 Months Ended
	Jun. 30, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 6.5	$ 10
Loans receivable, term	2 years
Loan participation interest
Loans and Leases Receivable Disclosure [Line Items]
Unfunded commitment	$ 27.1