Invesco Mortgage Capital (IVR) 10-Q 6 Aug 20 2020 Q2 Quarterly report Financial data

Cover

Cover - shares	6 Months Ended
	Jun. 30, 2020	Jul. 31, 2020
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Jun. 30, 2020
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		181,327,368
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2020
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, 2020	Dec. 31, 2019
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $1,070,928 and $21,132,742, respectively)	$ 1,584,158	$ 21,771,786
Cash and cash equivalents	270,161	172,507
Restricted cash	1,409	116,995
Due from counterparties	0	32,568
Investment related receivable	14,232	67,976
Derivative assets, at fair value	0	18,533
Other assets (including pledged security of $44,654 as of December 31, 2019)	79,512	166,180
Total assets	1,949,472	22,346,545
Liabilities:
Repurchase agreements	0	17,532,303
Secured loans	740,000	1,650,000
Derivative liabilities, at fair value	507	352
Dividends payable	6,339	74,841
Investment related payable	31,500	99,561
Accrued interest payable	167	43,998
Collateral held payable	0	170
Accounts payable and accrued expenses	2,606	1,560
Due to affiliate	10,561	11,861
Total liabilities	791,680	19,414,646
Commitments and contingencies
Stockholders' Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 181,327,368 and 144,256,357 shares issued and outstanding, respectively	1,813	1,443
Additional paid in capital	3,313,801	2,892,652
Accumulated other comprehensive income	106,348	288,963
Retained earnings (distributions in excess of earnings)	(2,827,494)	(814,483)
Total stockholders’ equity	1,157,792	2,931,899
Total liabilities and stockholders' equity	1,949,472	22,346,545
Series A Preferred Stock
Stockholders' Equity:
Preferred Stock	135,356	135,356
Series B Preferred Stock
Stockholders' Equity:
Preferred Stock	149,860	149,860
Series C Preferred Stock
Stockholders' Equity:
Preferred Stock	$ 278,108	$ 278,108

CONDENSED CONSOLIDATED BALANC_2

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Mortgage-backed and credit risk transfer securities, pledged	$ 1,070,928	$ 21,132,742
Other assets, pledged securities		$ 44,654
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 outstanding	181,327,368	144,256,357
Common Stock - shares issued	181,327,368	144,256,357
Series A Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares outstanding	5,600,000	5,600,000
Preferred Stock - shares issued	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 outstanding	6,200,000	6,200,000
Preferred Stock - shares issued	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 outstanding	11,500,000	11,500,000
Preferred Stock - shares issued	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, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Interest Income
Mortgage-backed and credit risk transfer securities		$ 29,628	$ 200,737	$ 215,164	$ 386,229
Commercial and other loans		545	1,484	1,708	3,066
Total interest income		30,173	202,221	216,872	389,295
Interest Expense
Repurchase agreements	[1]	(1,270)	117,978	77,772	219,853
Secured loans		1,712	11,258	8,358	22,402
Total interest expense		442	129,236	86,130	242,255
Net interest income		29,731	72,985	130,742	147,040
Other Income (loss)
Gain (loss) on investments, net		(306,366)	302,182	(1,061,849)	570,564
Equity in earnings (losses) of unconsolidated ventures		318	702	488	1,394
Gain (loss) on derivative instruments, net		(343)	(344,733)	(911,122)	(546,193)
Realized and unrealized credit derivative income (loss), net		(2,738)	(2,438)	(35,790)	5,446
Net gain (loss) on extinguishment of debt		3,701	0	(1,107)	0
Other investment income (loss), net		731	1,007	1,534	2,036
Total other income (loss)		(304,697)	(43,280)	(2,007,846)	33,247
Expenses
Management fee – related party		9,793	9,370	20,746	18,904
General and administrative		4,080	1,999	7,181	4,257
Total expenses		13,873	11,369	27,927	23,161
Net income (loss)		(288,839)	18,336	(1,905,031)	157,126
Dividends to preferred stockholders		11,106	11,106	22,213	22,213
Net income (loss) available to common stockholders		$ (299,945)	$ 7,230	$ (1,927,244)	$ 134,913
Earnings (loss) per share:
Basic (usd per share)		$ (1.80)	$ 0.06	$ (11.91)	$ 1.08
Diluted (usd per share)		$ (1.80)	$ 0.06	$ (11.91)	$ 1.08
[1]	Negative interest expense on repurchase agreements for the three months ended June 30, 2020 consists of $3.2 million of current period interest expense on repurchase agreements and $4.5 million of amortization of net deferred gains on de-designated interest rate swaps. For further information on amortization of amounts classified in accumulated other comprehensive income before we discontinued hedge accounting, see Note 8 - "Derivatives and Hedging Activities" and Note 12 - "Stockholders' Equity".

CONDENSED CONSOLIDATED STATEM_2

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) (Parenthetical) $ in Thousands	3 Months Ended
	Jun. 30, 2020USD ($)
Income Statement [Abstract]
Interest expense on repurchase agreements borrowings	$ 3,200
Amortization Of Net Deferred Gains On De-Designated Derivative	$ 4,500

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ (288,839)	$ 18,336	$ (1,905,031)	$ 157,126
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	(53,271)	47,188	(239,876)	99,537
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	34,782	(121)	71,739	10,026
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(4,503)	(5,916)	(14,570)	(11,767)
Currency translation adjustments on investment in unconsolidated venture	(388)	(320)	92	(596)
Total other comprehensive income (loss)	(23,380)	40,831	(182,615)	97,200
Comprehensive income (loss)	(312,219)	59,167	(2,087,646)	254,326
Less: Dividends to preferred stockholders	(11,106)	(11,106)	(22,213)	(22,213)
Comprehensive income (loss) attributable to common stockholders	$ (323,325)	$ 48,061	$ (2,109,859)	$ 232,113

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Cumulative Effect, Period of Adoption, Adjustment	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)	Retained Earnings (Distributions in excess of earnings)Cumulative Effect, Period of Adoption, Adjustment
Beginning Balance (in shares) at Dec. 31, 2018			5,600,000	6,200,000	11,500,000	111,584,996
Beginning Balance at Dec. 31, 2018	$ 2,286,697		$ 135,356	$ 149,860	$ 278,108	$ 1,115	$ 2,383,532	$ 220,813	$ (882,087)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	138,790								138,790
Total 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	258,553					$ 167	258,386
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
Ending Balance at Mar. 31, 2019	2,671,714		$ 135,356	$ 149,860	$ 278,108	$ 1,282	2,642,050	277,182	(812,124)
Beginning Balance (in shares) at Dec. 31, 2018			5,600,000	6,200,000	11,500,000	111,584,996
Beginning Balance at Dec. 31, 2018	2,286,697		$ 135,356	$ 149,860	$ 278,108	$ 1,115	2,383,532	220,813	(882,087)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	157,126
Total 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
Ending Balance at Jun. 30, 2019	2,670,101		$ 135,356	$ 149,860	$ 278,108	$ 1,287	2,650,329	318,013	(862,852)
Beginning Balance (in shares) at Mar. 31, 2019			5,600,000	6,200,000	11,500,000	128,267,497
Beginning Balance at Mar. 31, 2019	2,671,714		$ 135,356	$ 149,860	$ 278,108	$ 1,282	2,642,050	277,182	(812,124)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	18,336								18,336
Total other comprehensive income (loss)	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	8,154					$ 5	8,149
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
Ending Balance at Jun. 30, 2019	2,670,101		$ 135,356	$ 149,860	$ 278,108	$ 1,287	2,650,329	318,013	(862,852)
Beginning Balance (in shares) at Dec. 31, 2019			5,600,000	6,200,000	11,500,000	144,256,357
Beginning Balance at Dec. 31, 2019	2,931,899	$ 342	$ 135,356	$ 149,860	$ 278,108	$ 1,443	2,892,652	288,963	(814,483)	$ 342
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(1,616,192)								(1,616,192)
Total other comprehensive income (loss)	(159,235)							(159,235)
Proceeds from issuance of common stock, net of offering costs (in shares)						20,700,000
Proceeds from issuance of common stock, net of offering costs	347,026					$ 207	346,819
Stock awards (in shares)						10,000
Common stock dividends	(82,483)								(82,483)
Preferred stock dividends	(11,107)								(11,107)
Amortization of equity-based compensation	131						131
Ending Balance (in shares) at Mar. 31, 2020			5,600,000	6,200,000	11,500,000	164,966,357
Ending Balance at Mar. 31, 2020	1,410,381		$ 135,356	$ 149,860	$ 278,108	$ 1,650	3,239,602	129,728	(2,523,923)
Beginning Balance (in shares) at Dec. 31, 2019			5,600,000	6,200,000	11,500,000	144,256,357
Beginning Balance at Dec. 31, 2019	2,931,899	$ 342	$ 135,356	$ 149,860	$ 278,108	$ 1,443	2,892,652	288,963	(814,483)	$ 342
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(1,905,031)
Total other comprehensive income (loss)	(182,615)
Ending Balance (in shares) at Jun. 30, 2020			5,600,000	6,200,000	11,500,000	181,327,368
Ending Balance at Jun. 30, 2020	1,157,792		$ 135,356	$ 149,860	$ 278,108	$ 1,813	3,313,801	106,348	(2,827,494)
Beginning Balance (in shares) at Mar. 31, 2020			5,600,000	6,200,000	11,500,000	164,966,357
Beginning Balance at Mar. 31, 2020	1,410,381		$ 135,356	$ 149,860	$ 278,108	$ 1,650	3,239,602	129,728	(2,523,923)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	(288,839)								(288,839)
Total other comprehensive income (loss)	(23,380)							(23,380)
Stock awards (in shares)						22,500
Common stock dividends (in shares)						16,338,511
Common stock dividends	70,608					$ 163	74,071		(3,626)
Preferred stock dividends	(11,106)								(11,106)
Amortization of equity-based compensation	128						128
Ending Balance (in shares) at Jun. 30, 2020			5,600,000	6,200,000	11,500,000	181,327,368
Ending Balance at Jun. 30, 2020	$ 1,157,792		$ 135,356	$ 149,860	$ 278,108	$ 1,813	$ 3,313,801	$ 106,348	$ (2,827,494)

CONDENSED CONSOLIDATED STATEM_5

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Cash Flows from Operating Activities
Net income (loss)	$ (1,905,031)	$ 157,126
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	9,967	13,800
Realized and unrealized (gain) loss on derivative instruments, net	923,046	558,227
Realized and unrealized (gain) loss on credit derivatives, net	41,635	5,204
(Gain) loss on investments, net	1,061,849	(570,564)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	243	(1,394)
Other amortization	(14,311)	(11,505)
Net (gain) loss on extinguishment of debt	1,107	0
Changes in operating assets and liabilities:
(Increase) decrease in operating assets	54,567	(10,769)
Increase (decrease) in operating liabilities	(42,459)	16,877
Net cash provided by operating activities	130,613	157,002
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(4,953,645)	(5,644,867)
(Contributions to) distributions from investments in unconsolidated ventures, net	2,601	(865)
Change in other assets	40,846	7,096
Principal payments from mortgage-backed and credit risk transfer securities	690,085	760,639
Proceeds from sale of mortgage-backed and credit risk transfer securities	23,119,928	1,670,394
Payment on the sale of credit derivatives	(14,131)	0
Settlement (termination) of futures, currency forwards and interest rate swaps, net	(904,358)	(539,626)
Redemption of Federal Home Loan Bank of Indianapolis stock	36,562	0
Net change in due from counterparties and collateral held payable on derivative instruments	(170)	(9,435)
Principal payments from commercial loans held-for-investment	136	7,261
Net cash provided by (used in) investing activities	18,017,854	(3,749,403)
Cash Flows from Financing Activities
Proceeds from issuance of common stock	347,127	266,878
Principal repayments of secured loans	(910,000)	0
Proceeds from repurchase agreements	45,808,912	54,344,320
Principal repayments of repurchase agreements	(63,342,322)	(50,872,638)
Net change in due from counterparties and collateral held payable on repurchase agreements	32,568	0
Payments of deferred costs	(94)	(87)
Payments of dividends	(102,590)	(126,798)
Net cash provided by (used in) financing activities	(18,166,399)	3,611,675
Net change in cash, cash equivalents and restricted cash	(17,932)	19,274
Cash, cash equivalents and restricted cash, beginning of period	289,502	135,617
Cash, cash equivalents and restricted cash, end of period	271,570	154,891
Supplement Disclosure of Cash Flow Information
Interest paid	144,530	236,649
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	(168,137)	109,563
Dividends declared not paid	6,339	60,671
Increase (decrease) in Agency CMBS purchase commitments	(99,557)	246,709
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments	29,477	(17,740)
Dividend paid in common stock	74,234	0
Offering costs not paid	101	171
Net change in repurchase agreements, not settled	$ 0	$ 899

Organization and Business Opera

Organization and Business Operations	6 Months Ended
	Jun. 30, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company" or "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities ("MBS") 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. We have historically invested 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 o f 1986. 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 our exclusion from the "Investment Company" definition under the Investment Company Act of 1940. During the six months ended June 30, 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic that resulted in a material adverse change in our financial condition. In the three and six months ended June 30, 2020, we recorded a net loss of $299.9 million and $1.9 billion, respectively. Our stockholders' equity declined from $2.9 billion as of December 31, 2019 t o $1.2 billion as of June 30, 2020. Due to significant spread widening in both Agency and non-Agency securities, we received an unusually high number of margin calls from counterparties in the latter half of March 2020. As a result, we were unable to meet margin calls and were not in compliance with the terms of our various borrowings arrangements as of March 31, 2020 as described in Note 6 - "Borrowings". To generate liquidity a nd reduce leverage, we sold MBS and GSE CRTs for cash proceeds of $23.1 billion and repaid $17.5 billion of our repurchase agreements and $910.0 million of Federal Home Loan Bank of Indianapolis "FHLBI" secured loans during the six months ended June 30, 2020. Our investment portfolio decreased from $21.9 billion as of December 31, 2019 to $1.6 billion as of J une 30, 2020 primarily due to these asset sales. We also terminated our entire interest rate swap portfolio as our exposure to interest rate risk decreased as we sold Agency assets.

Summary of Significant Accounti

Summary of Significant Accounting Policies	6 Months Ended
	Jun. 30, 2020
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, 2019. 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. 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 recognition on mortgage-backed and credit risk transfer securities and allowances for credit losses. 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, 2019 other than as discussed below. Mortgage-Backed and Credit Risk Transfer Securities Allowances for Credit Losses on Available-For-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information , adjusted for current conditions and reasonable and support able forecasts , results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. Our available-for-sale GSE CRTs are hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. The embedded credit derivative is carried at fair value with changes in fair value reported in earnings. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate t he allowance for credit losses as the difference between prepayment adjusted contractual cash flows without credit losses and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the condensed consolidated balance sheets and a provision for credit losses i n the condensed consolidated statements of operations . C redit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. S ubsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. R ecoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record p rovisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within g ain (loss) on investments, net in our condensed consolidated statements of operations. When we determine that we intend to sell , or more likely than not will be required to sell , an available-for-sale security in an unrealized loss position before we recover its amortized cost , we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within g ain (loss) on investments, net in our condensed consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our condensed consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes relate to credit losses that will be reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Fair Value Measurements As of January 1, 2020, we report our commercial loan at fair value as determined by an independent pricing service. The pricing service values the loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market and a comparison of current market and collateral conditions to those present at origination. We discontinued reporting our commercial loan at amortized cost because we elected the fair value option for this loan in connection with our adoption of the new guidance for reporting credit losses discussed below. Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities 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 previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We 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 is limited to those securities purchased prior to election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio, see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the three and six months ended June 30, 2020 , we recorded $6.3 million and $85.1 million, respectively, of impairment on non-Agency securities that we intend to sell or more likely than not will be required to sell before we recover the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our condensed consolidated statements of operations. As of June 30, 2020, we have not recorded a credit loss allowance on any of our securities. We had one commercial loan as of December 31, 2019 that was measured at amortized c ost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recognized $785,000 and $2.5 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three and six months ended June 30, 2020, respectively. Accounting Pronouncements Recently Issued

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	6 Months Ended
	Jun. 30, 2020
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, 2020 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 1,457,915 1,457,915 Non-Agency RMBS 14,404 14,404 Investments in unconsolidated ventures 19,246 19,246 Total 1,491,565 1,491,565 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, 2020
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities As dis cussed in Note 1 - "Organization and Business Operations", we sold MBS and GSE CRTs for cash proceeds of $23.1 billion during the six months ended June 30, 2020 to generate liquidity and reduce leverage given unprecedented market conditions as a res ult of the COVID -19 pandemic. The following tables summarize our MBS and GSE CRT portfolio by asset type as of June 30, 2020 and December 31, 2019. June 30, 2020 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 2,946 66 3,012 113 3,125 3.31 % 30 year fixed-rate 6,113 261 6,374 454 6,828 4.35 % Total Agency RMBS pass-through 9,059 327 9,386 567 9,953 4.01 % Agency-CMO (2) 22,087 (22,087) — — — — % Non-Agency CMBS 1,491,783 (34,021) 1,457,762 153 1,457,915 5.50 % Non-Agency RMBS (3)(4)(5) 1,126,569 (1,106,684) 19,885 (5,481) 14,404 4.09 % GSE CRT (6) 112,252 2,430 114,682 (12,796) 101,886 1.34 % Total 2,761,750 (1,160,035) 1,601,715 (17,557) 1,584,158 5.17 % (1) Period-end weighted average yield is based on amortized cost as of June 30, 2020 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 100.0% of principal/notional balance, 0.0% of amortized cost and 0.0% of fair value. (3) Non-Agency RMBS is 66.5% fixed rate, 32.7% variable rate, and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.3 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 99.1% of principal/notional balance, 69.8% of amortized cost and 50.4% of fair value. (6) 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, 2019 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 % 30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 % Hybrid ARM* 55,024 602 55,626 1,267 56,893 3.46 % Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 % Agency-CMO (2) 883,122 (467,840) 415,282 12,230 427,512 3.54 % Agency CMBS (3) 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 % Non-Agency CMBS (4) 4,464,525 (772,295) 3,692,230 131,244 3,823,474 5.16 % Non-Agency RMBS (5)(6)(7) 2,340,119 (1,487,603) 852,516 103,155 955,671 6.98 % GSE CRT (8) 858,244 19,945 878,189 45,483 923,672 2.78 % Total 23,354,075 (2,321,799) 21,032,276 739,510 21,771,786 3.85 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency-CMO includes Agency IO, which represent 56.3% o f principal (notional) balance, 6.4% of amortized cost and 6.4% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million . (4) Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate, and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $120.2 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. 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, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2020 and December 31, 2019, approximately 15% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. Our percentage of MBS and GSE CRTs accounted for under the fair value option declined as of June 30, 2020 due to sales of securities accounted for under the fair value option during the six months ended June 30, 2020. June 30, 2020 December 31, 2019 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 3,125 — 3,125 98,666 193,748 292,414 30 year fixed-rate 4,232 2,596 6,828 754,590 9,769,630 10,524,220 Hybrid ARM — — — 31,522 25,371 56,893 Total RMBS Agency pass-through 7,357 2,596 9,953 884,778 9,988,749 10,873,527 Agency-CMO — — — 146,733 280,779 427,512 Agency CMBS — — — — 4,767,930 4,767,930 Non-Agency CMBS 1,262,007 195,908 1,457,915 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 7,837 6,567 14,404 715,479 240,192 955,671 GSE CRT 76,024 25,862 101,886 507,445 416,227 923,672 Total 1,353,225 230,933 1,584,158 4,405,426 17,366,360 21,771,786 The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2020 and December 31, 2019 are presented below. June 30, 2020 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 1,623,408 1,138,342 2,761,750 Unamortized premium 10,600 — 10,600 Unamortized discount (46,183) (1,124,452) (1,170,635) Gross unrealized gains (1) 45,361 248 45,609 Gross unrealized losses (1) (56,284) (6,882) (63,166) Fair value 1,576,902 7,256 1,584,158 December 31, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 20,957,410 2,396,665 23,354,075 Unamortized premium 440,503 — 440,503 Unamortized discount (419,983) (2,342,319) (2,762,302) Gross unrealized gains (1) 807,324 4,782 812,106 Gross unrealized losses (1) (66,064) (6,532) (72,596) Fair value 21,719,190 52,596 21,771,786 (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, 2020 and 2019 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, 2020 and December 31, 2019 . $ in thousands June 30, 2020 December 31, 2019 Less than one year 174,682 268,536 Greater than one year and less than five years 1,167,284 7,836,620 Greater than or equal to five years 242,192 13,666,630 Total 1,584,158 21,771,786 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, 2020 and December 31, 2019. June 30, 2020 Less than 12 Months 12 Months or More Total (3) $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Non-Agency CMBS (1) (2) 189,532 (43,325) 24 — — — 189,532 (43,325) 24 GSE CRT 95,747 (12,956) 6 — — — 95,747 (12,956) 6 Non-Agency RMBS 6,552 (6,870) 12 15 (15) 3 6,567 (6,885) 15 Total 291,831 (63,151) 42 15 (15) 3 291,846 (63,166) 45 (1) Includes non-Agency CMBS with a fair value of $129.7 million for which the fair value option has been elected. These securities have unrealized losses of $40.2 million. (2) Unrealized losses on available-for-sale non-Agency CMBS are primarily due to the COVID-19 pandemic and its impact on market liquidity and underlying commercial real estate fundamentals. We have not recorded an allowance for credit losses on these securities as of June 30, 2020 based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Unrealized losses, other than those on available-for-sale non-Agency CMBS, relate to securities or embedded derivatives that are recorded at fair value through earnings. December 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 15 year fixed-rate 957 (1) 2 362 (3) 4 1,319 (4) 6 30 year fixed-rate 255,649 (207) 3 34,009 (256) 5 289,658 (463) 8 Hybrid ARM 434 (2) 1 1,524 (46) 3 1,958 (48) 4 Total Agency RMBS pass-through (1) 257,040 (210) 6 35,895 (305) 12 292,935 (515) 18 Agency-CMO (2) 67,875 (1,194) 15 6,155 (1,513) 13 74,030 (2,707) 28 Agency CMBS (3) 1,743,800 (50,521) 58 — — — 1,743,800 (50,521) 58 Non-Agency CMBS (4) 203,129 (2,783) 19 101,021 (11,425) 7 304,150 (14,208) 26 Non-Agency RMBS (5) 26,283 (3,935) 14 12,199 (636) 2 38,482 (4,571) 16 GSE CRT (6) 77,044 (74) 4 — — — 77,044 (74) 4 Total 2,375,171 (58,717) 116 155,270 (13,879) 34 2,530,441 (72,596) 150 (1) Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000. (2) Includes Agency IO with fair value of $11.1 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.3 million. (3) Fair value option has been elected for all Agency CMBS that are in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively. (6) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. On January 1, 2020, we adopted accounting guidance that requires us to estimate an allowance for credit losses on available-for-sale securities in unrealized loss positions. As of June 30, 2020, we have not recorded an allowance for credit losses on any of our securities. We did not record any provisions for credit losses on our condensed consolidated statement of operations during the three and six months ended June 30, 2020 . We recorded impairments of $6.3 million and $85.1 million on our condensed consolidated statement of operations during the three and six months ended June 30, 2020, respectively, because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. Prior to January 1, 2020, we assessed our investment securities for other-than-temporary impairment (" OTTI") on a quarterly basis. When the fair value of an investment was less than its amortized cost at the balance sheet date of the reporting period for which impairment was assessed, the impairment was designated as either "temporary" or "other-than-temporary." This analysis included 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 included, but were 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 during the three and six months ended June 30, 2019: Three months ended June 30, Six Months Ended June 30, $ in thousands 2019 2019 RMBS interest-only securities 489 1,952 Non-Agency RMBS (1) 711 1,024 Total 1,200 2,976 (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. The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2020 and 2019. Three months ended June 30, Six Months Ended June 30, $ in thousands 2020 2019 2020 2019 Gross realized gains on sale of investments 253,737 3,957 581,865 5,159 Gross realized losses on sale of investments (658,476) (1,928) (990,889) (14,245) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis (6,287) — (85,121) — Other-than-temporary impairment losses — (1,200) — (2,976) Net unrealized gains and losses on MBS accounted for under the fair value option (34,498) 304,692 (549,001) 584,731 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 139,943 (3,339) (12,426) (2,105) Net unrealized gains and losses on commercial loan and loan participation interest 3,023 — (2,469) — Realized loss on loan participation interest (3,808) — (3,808) — Total gain (loss) on investments, net (306,366) 302,182 (1,061,849) 570,564 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, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $1.1 million and $5.8 million for the three and six months ended June 30, 2020 (2019: $5.3 million and $10.7 million), respectively, that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 1,561 (894) 667 Agency CMBS 1,827 (78) 1,749 Non-Agency CMBS 20,444 4,473 24,917 Non-Agency RMBS 1,524 (178) 1,346 GSE CRT 1,500 (536) 964 Other (15) — (15) Total 26,841 2,787 29,628 For the three months ended June 30, 2019 $ in thousands Coupon Net (Premium Interest 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 six months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 107,439 (21,807) 85,632 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 62,662 9,531 72,193 Non-Agency RMBS 12,284 2,520 14,804 GSE CRT 10,007 (2,286) 7,721 Other 736 — 736 Total 228,950 (13,786) 215,164 For the six months ended June 30, 2019 $ in thousands Coupon Net (Premium Interest 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

Other Assets

Other Assets	6 Months Ended
	Jun. 30, 2020
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of June 30, 2020 and December 31, 2019: $ in thousands June 30, 2020 December 31, 2019 FHLBI stock 37,688 74,250 Loan participation interest — 44,654 Commercial loan, held-for-investment 21,792 24,055 Investments in unconsolidated ventures 19,246 21,998 Prepaid expenses and other assets 786 1,223 Total 79,512 166,180 IAS Services LLC, our wholly-owned 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. We had a participation interest in a secured loan collateralized by mortgage servicing rights that bears interest at a floating rate based on LIBOR plus a spread. We sold our participation interest for $21.6 million on April 1, 2020. The weighted average asset yield for the participation interest was 5.82% as of December 31, 2019. We recorded a realized loss of $3.8 million upon sale of the participation interest. We have an investment in a commercial loan that matures in February 2021. The loan had a weighted average coupon rate of 8.67% as of June 30, 2020 and 10.19% as of December 31, 2019. As discussed in Note 2- "Summary of Significant Accounting Policies", we elected the fair value option for this loan on January 1, 2020 and recorded a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recorded an unrealized loss on this loan of $785,000 and $2.5 million during the three and six months ended June 30, 2020, respectively, based on a discounted cash flow valuation prepared by an independent pricing service. We previously reported this loan at amortized cost on our condensed consolidated balance sheet. 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, 2020
Debt Disclosure [Abstract]
Borrowings	Borrowings W e have historically financed the majority of our investment portfolio through repurchase agreements and secured loans. We repaid all of our repurchase agreements as of May 7, 2020 and did not have any repurchase agreement borrowings as of June 30, 2020. The following tables summarize certain characteristics of our borrowings at June 30, 2020 and December 31, 2019. Refer to Note 7 - "Collat eral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands June 30, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Secured Loans 740,000 0.62 % 158 Total Borrowings 740,000 0.62 % 158 $ in thousands December 31, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,666,964 1.95 % 46 Agency CMBS 4,246,359 1.95 % 43 Non-Agency CMBS 2,041,968 2.71 % 14 Non-Agency RMBS 790,412 2.65 % 16 GSE CRT 753,110 2.70 % 13 Loan participation interest 33,490 3.22 % 240 Total Repurchase Agreements 17,532,303 2.11 % 39 Secured Loans 1,650,000 1.93 % 1587 Total Borrowings 19,182,303 2.09 % 172 The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: June 30, 2020 7/1/2020 - 6/30/2021 740,000 Thereafter — Total 740,000 Secured Loans As of June 30, 2020, IAS Services LLC had $740.0 million in outstanding secured loans from the FHLBI. These secured loans hav e variable rates that are based on the FHLBI's short-term cost of funds. For the six months ended June 30, 2020, IAS Services LLC had weighted average borrowings of $1.13 billion with a weighted average borrowing rate of 1.48%, and a weighted average maturity of 0.4 years. In April 2020, the FHLBI modified the terms of our secured loans because we were not in compliance with all of the financial covenants of our secured loan agreements as of March 31, 2020. The modified loan terms require repayment of our secured loans by December 2020 but allow for prepayment at any time without penalty. We intend to repay our secured loans by December 2020 with proceeds from sales of mortgage-backed securities that are collateralizing our secured loans. We determined that the modification of our loan terms was a troubled debt restructuring tha t did not impact the accounting for our secured loans. 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. Repurchase Agreements As discussed in Note 1 - “Organization and Business Operations”, we received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities. As a result, we were unable to meet margin and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. Certain of our repurchase agreement counterparties entered into forbearance discussions with us and permitted our repurchase agreements to remain outstanding while we were not in compliance. In addition, certain of our counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. Gains and losses associated with the termination of these repurchase agreements are reported as a net gain (loss) on extinguishment of debt in our condensed consolidated statement of operations. We repaid all of our repurchase agreements as of May 7, 2020 and did not have any repurchase agreement borrowings as of June 30, 2020.

Collateral Positions

Collateral Positions	6 Months Ended
	Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Collateral Positions	Collateral Positions The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2020 and December 31, 2019. 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, 2019 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 was included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps, and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements was classified as due from counterparties on our condensed consolidated balance sheets. Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $96.2 million of these securities as of December 31, 2019. We did not have any Agency CMBS purchase commitments as of June 30, 2020. Cash collateral held on 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, 2020 and December 31, 2019, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS — 10,187,555 Agency CMBS — 4,446,384 Non-Agency CMBS — 2,549,841 Non-Agency RMBS — 943,176 GSE CRT — 918,117 Loan participation interest — 44,654 Cash — 32,568 Total repurchase agreements collateral pledged — 19,122,295 Secured Loans: Agency RMBS — 621,471 Non-Agency CMBS 1,070,928 1,276,418 Restricted cash 929 600 Total secured loans collateral pledged 1,071,857 1,898,489 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS — 189,780 Restricted cash 480 116,395 Total interest rate swaps and currency forward contracts collateral pledged 480 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 1,070,928 21,132,742 Loan participation interest — 44,654 Cash — 32,568 Restricted cash 1,409 116,995 Total collateral pledged 1,072,337 21,326,959 As of Collateral Held June 30, 2020 December 31, 2019 Repurchase Agreements: Cash — 10 Non-cash collateral — 181 Total repurchase agreements collateral held — 191 Interest Rate Swaps: Cash — 160 Total interest rate swap collateral held — 160 Total collateral held: Cash — 170 Non-cash collateral — 181 Total collateral held — 351 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. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined. Our repurchase agreement collateral pledged ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/amount outstanding) was 109% as of December 31, 2019. We did not have any repurchase agreements as of June 30, 2020. Secured Loans 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 to meet margin calls if the value of pledged assets declines. See Note 6 - "Borrowings" for a discussion of the status of our FHLBI secured loans. Interest Rate Swaps All of the interest rate swaps that we have entered into during 2020 were centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin 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 consolidated statements of operations. Our FCM agreements include cross default provisions. We were not a party to any interest rate swaps as of June 30, 2020. Currency Forward Contracts

Derivatives and Hedging Activit

Derivatives and Hedging Activities	6 Months Ended
	Jun. 30, 2020
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 2020: $ in thousands Notional Amount Additions Settlement, Notional Amount Interest Rate Swaps 14,000,000 92,175,000 (106,175,000) — Currency Forward Contracts 23,111 45,674 (45,848) 22,937 Credit Derivatives 464,966 — (380,047) 84,919 Total 14,488,077 92,220,674 (106,600,895) 107,856 Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one to six 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 $4.5 million and $14.6 million as a decrease (June 30, 2019: $5.9 million and $11.8 million as a decrease) to interest expense for the three and six months ended June 30, 2020, respectively. We increased the amount of gains and losses reclassified as a decrease to interest expense during the three and six months ended June 30, 2020 by $2.7 million because it is probable that the original forecasted repurchase agreement transactions will not occur by the end of the originally specified time period . During the next 12 months, we estimate that $20.0 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of June 30, 2020, $61.3 million (December 31, 2019: $75.9 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. We did not have any interest rate swaps outstanding as of June 30, 2020. As of December 31, 2019, we had interest rate swaps with the following maturities outstand ing: $ in thousands As of December 31, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 1.84 % 0.6 2021 2,500,000 1.40 % 1.77 % 1.3 2022 800,000 1.53 % 1.91 % 2.9 2023 2,400,000 1.44 % 1.72 % 3.9 2024 900,000 1.49 % 1.76 % 4.8 Thereafter 5,500,000 1.44 % 1.78 % 9.5 Total 14,000,000 1.47 % 1.79 % 5.2 (1) Notional amount includes $10.7 billion of interest rate swaps that received variable payments based on 1-month LIBOR and $3.3 billion of interest rate swaps that received variable payments based on 3-month LIBOR as of December 31, 2019. Futures and Currency Forward Contracts We purchase or sell U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. We did not have any futures contract outstanding as of June 30, 2020 and December 31, 2019. 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, 2020, we had $22.9 million (December 31, 2019: $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, 2020 and December 31, 2019, terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2020 December 31, 2019 Fair value amount (17,223) 10,281 Notional amount 84,919 464,966 Maximum potential amount of future undiscounted payments 84,919 464,966 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2020 and December 31, 2019. $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2020 As of December 31, 2019 As of June 30, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability — — Currency Forward Contracts — — Currency Forward Contracts 507 352 Total Derivative Assets — 18,533 Total Derivative Liabilities 507 352 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, 2020 and 2019. $ in thousands Three months ended June 30, 2020 Derivative 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 (16,414) 1,127 12,549 (2,738) $ in thousands Three months ended June 30, 2019 Derivative 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 Six months ended June 30, 2020 Derivative 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 (14,131) 5,845 (27,504) (35,790) $ in thousands Six months ended June 30, 2019 Derivative 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 The following tables 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, 2020 and 2019: $ in thousands Three Months Ended June 30, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Currency Forward Contracts (138) — (205) (343) Total (138) — (205) (343) $ in thousands Three Months Ended June 30, 2019 Derivative 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 Six Months Ended June 30, 2020 Derivative 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 (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 346 — (156) 190 Total (904,358) 11,924 (18,688) (911,122) $ in thousands Six Months Ended June 30, 2019 Derivative 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 (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)

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	6 Months Ended
	Jun. 30, 2020
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, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of June 30, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Net Amount Liabilities Derivatives (1)(2) (507) — (507) — 480 (27) Secured Loans (3) (740,000) — (740,000) 740,000 — — Total Liabilities (740,507) — (740,507) 740,000 480 (27) As of December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Cash Collateral Net Amount Liabilities Derivatives (1)(2) (352) — (352) — 320 (32) Repurchase Agreements (4) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (3) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $480,000 and $116.4 million as of June 30, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019. (3) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.1 billion and $1.9 billion at June 30, 2020 and December 31, 2019, respectively. We pledged cash collateral against secured loans of $929,000 and $600,000 as of June 30, 2020 and December 31, 2019, respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $19.1 billion at December 31, 2019. We pledged cash collateral of $32.6 million and held cash collateral of $10,000 under repurchase agreements as of December 31, 2019.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 2020
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, 2020 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) — 1,601,381 (17,223) — 1,584,158 Other assets (4) — — 21,792 19,246 41,038 Total assets — 1,601,381 4,569 19,246 1,625,196 Liabilities: Derivative liabilities — 507 — — 507 Total liabilities — 507 — — 507 December 31, 2019 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) — 21,761,505 10,281 — 21,771,786 Derivative assets — 18,533 — — 18,533 Other assets (4) — — 44,654 21,998 66,652 Total assets — 21,780,038 54,935 21,998 21,856,971 Liabilities: Derivative liabilities — 352 — — 352 Total liabilities — 352 — — 352 (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, 2020, the net embedded derivative liability position of $17.2 million includes $100,000 of embedded derivatives in an asset position and $17.3 million of embedded derivatives in a liability position. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 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, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures was 1.9 years and 2.2 years, respectively. (4) Includes $44.7 million of a loan participation interest as of December 31, 2019 and $21.8 million of a commercial loan as of June 30, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued the loan based on a third party appraisal as of June 30, 2020. We sold the loan participation interest on April 1, 2020. 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 2020 2019 2020 2019 Beginning balance (29,772) 25,305 10,281 22,771 Sales and settlements 16,414 — 14,131 — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (16,414) — (14,131) — Unrealized credit derivative gains (losses), net 12,549 (7,738) (27,504) (5,204) Ending balance (17,223) 17,567 (17,223) 17,567 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 2020 2019 2020 2019 Beginning balance 21,577 53,827 44,654 54,981 Purchases/Advances — — — 577 Repayments — (5,942) (19,269) (7,673) Sales (21,577) — (21,577) — Total net gains and losses included in net income: Realized losses (3,808) — (3,808) — Net unrealized gains and losses 3,808 — — — Ending balance — 47,885 — 47,885 Realized and unrealized losses on our loan participation interest are included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan at amortized cost and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2020 Beginning balance, at amortized cost 22,577 24,055 Cumulative effect of adoption of new accounting principle — 342 Repayments — (136) Total net unrealized losses included in net income: Unrealized losses (785) (2,469) Ending balance, at fair value 21,792 21,792 Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our condensed consolidated statements of operations. 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, 2020 Technique Input Range Average GSE CRT Embedded Derivatives (17,223) Market Comparables, Vendor Pricing Weighted average life 1.9 - 2.8 years 2.2 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years 2.9 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 summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands June 30, 2020 Technique Input Rate Commercial Loan 21,792 Discounted Cash Flow Discount rate 23.4 % 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, 2020 and December 31, 2019: June 30, 2020 December 31, 2019 $ in thousands Carrying Estimated Carrying Estimated Financial Assets Commercial loan, held-for-investment (1) N/A N/A 24,055 24,397 FHLBI stock 37,688 37,688 74,250 74,250 Total 37,688 37,688 98,305 98,647 Financial Liabilities Repurchase agreements — — 17,532,303 17,534,344 Secured loans 740,000 740,000 1,650,000 1,650,000 Total 740,000 740,000 19,182,303 19,184,344 (1) We elected the fair value option for our commercial loan on January 1 , 2020. 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 our commercial loan, held-for-investment, included in "Other assets" on our condensed consolidated balance sheet as of December 31, 2019, is a Level 3 fair value measurement. The fair value was determined by an independent pricing service using a discounted cash flow analysis. • 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. As of June 30, 2020, the secured loans have variable rates based on the FHLBI's short-term cost of funds. As of December 31, 2020, the secured loans had floating rates based on an index plus a spread and the spread was typically consistent w ith those demanded in the

Related Party Transactions

Related Party Transactions	6 Months Ended
	Jun. 30, 2020
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, 2020, we reimbursed our Manager $242,000 and $484,000 (June 30, 2019: $213,000 and $396,000), respectively, for costs of support personnel. We have invested $1.4 million as of June 30, 2020 (December 31, 2019: $154.0 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 Effective October 1, 2019, our management fee is equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon 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 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, 2020 and 2019. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2019 2020 2019 Incurred costs, prepaid or expensed 2,950 1,609 5,164 3,213 Incurred costs, charged against equity as a cost of raising capital 165 124 227 444 Total incurred costs, originally paid by our Manager 3,115 1,733 5,391 3,657

Stockholders' Equity

Stockholders' Equity	6 Months Ended
	Jun. 30, 2020
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 2017, we have the option to redeem shares of our 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 our Series B Preferred Stock after December 27, 2024 and shares of our 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. 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 under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under this equity distribution agreement through the filing date of this Quarterly Report. Common Stock On June 30, 2020, we issued 16,338,511 shares of common stock in connection with the payment of a common stock dividend. See "Dividends" below for further discussion of this payment. 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 under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the six months ended June 30, 2020, we did not issue any shares of common stock under the equity distribution agreement. During the three and six months 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 six months ended June 30, 2020 and 2019, we did not repurchase any shares of our common stock. As of June 30, 2020, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. 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, 2020 and 2019. 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, 2020 $ 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 — (53,271) — (53,271) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 34,782 — 34,782 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,503) (4,503) Currency translation adjustments on investment in unconsolidated venture (388) — — (388) Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at beginning of period (165) 64,053 65,840 129,728 Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at end of period (553) 45,564 61,337 106,348 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 Six Months Ended June 30, 2020 $ 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 — (239,876) — (239,876) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 71,739 — 71,739 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (14,570) (14,570) Currency translation adjustments on investment in unconsolidated venture 92 — — 92 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at end of period (553) 45,564 61,337 106,348 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 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 The tables below summarize the dividends we declared during the six months ended June 30, 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019

Earnings (Loss) per Common Shar

Earnings (Loss) per Common Share	6 Months Ended
	Jun. 30, 2020
Earnings Per Share [Abstract]
Earnings (Loss) per Common Share	Earnings (Loss) per Common Share Earnings (loss) per share for the three and six months ended June 30, 2020 and 2019 is computed as follows: Three months ended June 30, Six Months Ended June 30, In thousands except per share amounts 2020 2019 2020 2019 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (299,945) 7,230 (1,927,244) 134,913 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 166,943 128,659 161,857 124,900 Effect of dilutive securities: Restricted stock awards — 13 — 12 Dilutive Shares 166,943 128,672 161,857 124,912 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (1.80) 0.06 (11.91) 1.08 Diluted (1.80) 0.06 (11.91) 1.08 The following potential common shares were excluded from diluted earnings per share for the three and six months ended June 30, 2020 as the effect would be antidilutive: 10,672 and 11,366 for restricted stock awards, respectively.

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 2020
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 and contingencies as of June 30, 2020 are discussed below. As discussed in Note 5 - "Other Assets", we have invested $19.2 million 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, 2020 and December 31, 2019, our undrawn capital and purchase commitments were $6.5 million and $6.5 million, respectively.

Subsequent Events

Subsequent Events	6 Months Ended
	Jun. 30, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Dividends We declared the following dividends on our Series B and Series C Preferred Stock on August 5, 2020 to our stockholders of record as of September 5, 2020: a Series B Preferred Stock dividend of $0.4844 per share payable on September 28, 2020 and a Series C Preferred Stock dividend of $0.46875 per share payable on September 28, 2020. Repayment of Secured Loans In July 2020 , we repaid $435.0 million of our secured loans with proceeds from asset sales. The balance of our secured loans as of July 31, 2020 is $305.0 million. Gain on Extinguishment of Debt As discussed in Note 6 - "Borrowings", certain of our repurchase agreement counterparties seized and sold securities that we had posted as collateral for our repurchase agreements when we were unable to meet margin calls commencing on March 23, 2020. As of June 30, 2020, we recorded a liability of $22.9 million in investment related payables on our condensed consolidated balance sheet for a claim asserted by one of our counterparties. We entered into a mutual release of claims with this counterparty in July 2020 and settled the claim resulting in a gain on extinguishment of debt of $15.9 million that will be recorded in our condensed consolidated statement of operations in the three months ended September 30, 2020.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 2020
Accounting Policies [Abstract]
Basis of Presentation and Consolidation	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, 2019.
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.
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 recognition on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates.
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities Allowances for Credit Losses on Available-For-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information , adjusted for current conditions and reasonable and support able forecasts , results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. Our available-for-sale GSE CRTs are hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. The embedded credit derivative is carried at fair value with changes in fair value reported in earnings. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate t he allowance for credit losses as the difference between prepayment adjusted contractual cash flows without credit losses and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the condensed consolidated balance sheets and a provision for credit losses i n the condensed consolidated statements of operations . C redit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. S ubsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. R ecoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record p rovisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within g ain (loss) on investments, net in our condensed consolidated statements of operations. When we determine that we intend to sell , or more likely than not will be required to sell , an available-for-sale security in an unrealized loss position before we recover its amortized cost , we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within g ain (loss) on investments, net in our condensed consolidated statements of operations.
Interest Income Recognition	Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes relate to credit losses that will be reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method.
Fair Value Measurements	Fair Value Measurements As of January 1, 2020, we report our commercial loan at fair value as determined by an independent pricing service. The pricing service values the loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market and a comparison of current market and collateral conditions to those present at origination. We discontinued reporting our commercial loan at amortized cost because we elected the fair value option for this loan in connection with our adoption of the new guidance for reporting credit losses discussed below.
Accounting Pronouncements Recently Adopted and Accounting Pronouncements Recently Issued	Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities 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 previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We 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 is limited to those securities purchased prior to election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio, see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the three and six months ended June 30, 2020 , we recorded $6.3 million and $85.1 million, respectively, of impairment on non-Agency securities that we intend to sell or more likely than not will be required to sell before we recover the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our condensed consolidated statements of operations. As of June 30, 2020, we have not recorded a credit loss allowance on any of our securities. We had one commercial loan as of December 31, 2019 that was measured at amortized c ost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. We recognized $785,000 and $2.5 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three and six months ended June 30, 2020, respectively. Accounting Pronouncements Recently Issued

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	6 Months Ended
	Jun. 30, 2020
Variable Interest Entity Disclosure [Abstract]
Schedule of Maximum Risk of Loss	Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2020 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 1,457,915 1,457,915 Non-Agency RMBS 14,404 14,404 Investments in unconsolidated ventures 19,246 19,246 Total 1,491,565 1,491,565

Mortgage-Backed and Credit Ri_2

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	6 Months Ended
	Jun. 30, 2020
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	The following tables summarize our MBS and GSE CRT portfolio by asset type as of June 30, 2020 and December 31, 2019. June 30, 2020 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 2,946 66 3,012 113 3,125 3.31 % 30 year fixed-rate 6,113 261 6,374 454 6,828 4.35 % Total Agency RMBS pass-through 9,059 327 9,386 567 9,953 4.01 % Agency-CMO (2) 22,087 (22,087) — — — — % Non-Agency CMBS 1,491,783 (34,021) 1,457,762 153 1,457,915 5.50 % Non-Agency RMBS (3)(4)(5) 1,126,569 (1,106,684) 19,885 (5,481) 14,404 4.09 % GSE CRT (6) 112,252 2,430 114,682 (12,796) 101,886 1.34 % Total 2,761,750 (1,160,035) 1,601,715 (17,557) 1,584,158 5.17 % (1) Period-end weighted average yield is based on amortized cost as of June 30, 2020 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 100.0% of principal/notional balance, 0.0% of amortized cost and 0.0% of fair value. (3) Non-Agency RMBS is 66.5% fixed rate, 32.7% variable rate, and 0.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.3 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 99.1% of principal/notional balance, 69.8% of amortized cost and 50.4% of fair value. (6) 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, 2019 $ in thousands Principal/Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 % 30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 % Hybrid ARM* 55,024 602 55,626 1,267 56,893 3.46 % Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 % Agency-CMO (2) 883,122 (467,840) 415,282 12,230 427,512 3.54 % Agency CMBS (3) 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 % Non-Agency CMBS (4) 4,464,525 (772,295) 3,692,230 131,244 3,823,474 5.16 % Non-Agency RMBS (5)(6)(7) 2,340,119 (1,487,603) 852,516 103,155 955,671 6.98 % GSE CRT (8) 858,244 19,945 878,189 45,483 923,672 2.78 % Total 23,354,075 (2,321,799) 21,032,276 739,510 21,771,786 3.85 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency-CMO includes Agency IO, which represent 56.3% o f principal (notional) balance, 6.4% of amortized cost and 6.4% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million . (4) Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate, and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $120.2 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2020 and December 31, 2019 are presented below. June 30, 2020 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 1,623,408 1,138,342 2,761,750 Unamortized premium 10,600 — 10,600 Unamortized discount (46,183) (1,124,452) (1,170,635) Gross unrealized gains (1) 45,361 248 45,609 Gross unrealized losses (1) (56,284) (6,882) (63,166) Fair value 1,576,902 7,256 1,584,158 December 31, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 20,957,410 2,396,665 23,354,075 Unamortized premium 440,503 — 440,503 Unamortized discount (419,983) (2,342,319) (2,762,302) Gross unrealized gains (1) 807,324 4,782 812,106 Gross unrealized losses (1) (66,064) (6,532) (72,596) Fair value 21,719,190 52,596 21,771,786 (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, 2020 and 2019 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, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2020 and December 31, 2019, approximately 15% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. Our percentage of MBS and GSE CRTs accounted for under the fair value option declined as of June 30, 2020 due to sales of securities accounted for under the fair value option during the six months ended June 30, 2020. June 30, 2020 December 31, 2019 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 3,125 — 3,125 98,666 193,748 292,414 30 year fixed-rate 4,232 2,596 6,828 754,590 9,769,630 10,524,220 Hybrid ARM — — — 31,522 25,371 56,893 Total RMBS Agency pass-through 7,357 2,596 9,953 884,778 9,988,749 10,873,527 Agency-CMO — — — 146,733 280,779 427,512 Agency CMBS — — — — 4,767,930 4,767,930 Non-Agency CMBS 1,262,007 195,908 1,457,915 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 7,837 6,567 14,404 715,479 240,192 955,671 GSE CRT 76,024 25,862 101,886 507,445 416,227 923,672 Total 1,353,225 230,933 1,584,158 4,405,426 17,366,360 21,771,786
Schedule of 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, 2020 and December 31, 2019 . $ in thousands June 30, 2020 December 31, 2019 Less than one year 174,682 268,536 Greater than one year and less than five years 1,167,284 7,836,620 Greater than or equal to five years 242,192 13,666,630 Total 1,584,158 21,771,786
Schedule of 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, 2020 and December 31, 2019. June 30, 2020 Less than 12 Months 12 Months or More Total (3) $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Non-Agency CMBS (1) (2) 189,532 (43,325) 24 — — — 189,532 (43,325) 24 GSE CRT 95,747 (12,956) 6 — — — 95,747 (12,956) 6 Non-Agency RMBS 6,552 (6,870) 12 15 (15) 3 6,567 (6,885) 15 Total 291,831 (63,151) 42 15 (15) 3 291,846 (63,166) 45 (1) Includes non-Agency CMBS with a fair value of $129.7 million for which the fair value option has been elected. These securities have unrealized losses of $40.2 million. (2) Unrealized losses on available-for-sale non-Agency CMBS are primarily due to the COVID-19 pandemic and its impact on market liquidity and underlying commercial real estate fundamentals. We have not recorded an allowance for credit losses on these securities as of June 30, 2020 based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Unrealized losses, other than those on available-for-sale non-Agency CMBS, relate to securities or embedded derivatives that are recorded at fair value through earnings. December 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 15 year fixed-rate 957 (1) 2 362 (3) 4 1,319 (4) 6 30 year fixed-rate 255,649 (207) 3 34,009 (256) 5 289,658 (463) 8 Hybrid ARM 434 (2) 1 1,524 (46) 3 1,958 (48) 4 Total Agency RMBS pass-through (1) 257,040 (210) 6 35,895 (305) 12 292,935 (515) 18 Agency-CMO (2) 67,875 (1,194) 15 6,155 (1,513) 13 74,030 (2,707) 28 Agency CMBS (3) 1,743,800 (50,521) 58 — — — 1,743,800 (50,521) 58 Non-Agency CMBS (4) 203,129 (2,783) 19 101,021 (11,425) 7 304,150 (14,208) 26 Non-Agency RMBS (5) 26,283 (3,935) 14 12,199 (636) 2 38,482 (4,571) 16 GSE CRT (6) 77,044 (74) 4 — — — 77,044 (74) 4 Total 2,375,171 (58,717) 116 155,270 (13,879) 34 2,530,441 (72,596) 150 (1) Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000. (2) Includes Agency IO with fair value of $11.1 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.3 million. (3) Fair value option has been elected for all Agency CMBS that are in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively.
Schedule of Changes in other than temporary impairment included in earnings	The following table summarizes OTTI included in earnings during the three and six months ended June 30, 2019: Three months ended June 30, Six Months Ended June 30, $ in thousands 2019 2019 RMBS interest-only securities 489 1,952 Non-Agency RMBS (1) 711 1,024 Total 1,200 2,976 (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.
Schedule of 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, 2020 and 2019. Three months ended June 30, Six Months Ended June 30, $ in thousands 2020 2019 2020 2019 Gross realized gains on sale of investments 253,737 3,957 581,865 5,159 Gross realized losses on sale of investments (658,476) (1,928) (990,889) (14,245) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis (6,287) — (85,121) — Other-than-temporary impairment losses — (1,200) — (2,976) Net unrealized gains and losses on MBS accounted for under the fair value option (34,498) 304,692 (549,001) 584,731 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 139,943 (3,339) (12,426) (2,105) Net unrealized gains and losses on commercial loan and loan participation interest 3,023 — (2,469) — Realized loss on loan participation interest (3,808) — (3,808) — Total gain (loss) on investments, net (306,366) 302,182 (1,061,849) 570,564
Schedule of 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, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $1.1 million and $5.8 million for the three and six months ended June 30, 2020 (2019: $5.3 million and $10.7 million), respectively, that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 1,561 (894) 667 Agency CMBS 1,827 (78) 1,749 Non-Agency CMBS 20,444 4,473 24,917 Non-Agency RMBS 1,524 (178) 1,346 GSE CRT 1,500 (536) 964 Other (15) — (15) Total 26,841 2,787 29,628 For the three months ended June 30, 2019 $ in thousands Coupon Net (Premium Interest 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 six months ended June 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 107,439 (21,807) 85,632 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 62,662 9,531 72,193 Non-Agency RMBS 12,284 2,520 14,804 GSE CRT 10,007 (2,286) 7,721 Other 736 — 736 Total 228,950 (13,786) 215,164 For the six months ended June 30, 2019 $ in thousands Coupon Net (Premium Interest 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

Other Assets (Tables)

Other Assets (Tables)	6 Months Ended
	Jun. 30, 2020
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, 2020 and December 31, 2019: $ in thousands June 30, 2020 December 31, 2019 FHLBI stock 37,688 74,250 Loan participation interest — 44,654 Commercial loan, held-for-investment 21,792 24,055 Investments in unconsolidated ventures 19,246 21,998 Prepaid expenses and other assets 786 1,223 Total 79,512 166,180

Borrowings (Tables)

Borrowings (Tables)	6 Months Ended
	Jun. 30, 2020
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at June 30, 2020 and December 31, 2019. Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands June 30, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Secured Loans 740,000 0.62 % 158 Total Borrowings 740,000 0.62 % 158 $ in thousands December 31, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,666,964 1.95 % 46 Agency CMBS 4,246,359 1.95 % 43 Non-Agency CMBS 2,041,968 2.71 % 14 Non-Agency RMBS 790,412 2.65 % 16 GSE CRT 753,110 2.70 % 13 Loan participation interest 33,490 3.22 % 240 Total Repurchase Agreements 17,532,303 2.11 % 39 Secured Loans 1,650,000 1.93 % 1587 Total Borrowings 19,182,303 2.09 % 172
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, 2020 7/1/2020 - 6/30/2021 740,000 Thereafter — Total 740,000

Collateral Positions (Tables)

Collateral Positions (Tables)	6 Months Ended
	Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Fair Value of Collateral Hold and Pledged	The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2020 and December 31, 2019. 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, 2019 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 was included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps, and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements was classified as due from counterparties on our condensed consolidated balance sheets. Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $96.2 million of these securities as of December 31, 2019. We did not have any Agency CMBS purchase commitments as of June 30, 2020. Cash collateral held on 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, 2020 and December 31, 2019, we did not recognize any non-cash collateral held on our condensed consolidated balance sheets. $ in thousands As of Collateral Pledged June 30, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS — 10,187,555 Agency CMBS — 4,446,384 Non-Agency CMBS — 2,549,841 Non-Agency RMBS — 943,176 GSE CRT — 918,117 Loan participation interest — 44,654 Cash — 32,568 Total repurchase agreements collateral pledged — 19,122,295 Secured Loans: Agency RMBS — 621,471 Non-Agency CMBS 1,070,928 1,276,418 Restricted cash 929 600 Total secured loans collateral pledged 1,071,857 1,898,489 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS — 189,780 Restricted cash 480 116,395 Total interest rate swaps and currency forward contracts collateral pledged 480 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 1,070,928 21,132,742 Loan participation interest — 44,654 Cash — 32,568 Restricted cash 1,409 116,995 Total collateral pledged 1,072,337 21,326,959 As of Collateral Held June 30, 2020 December 31, 2019 Repurchase Agreements: Cash — 10 Non-cash collateral — 181 Total repurchase agreements collateral held — 191 Interest Rate Swaps: Cash — 160 Total interest rate swap collateral held — 160 Total collateral held: Cash — 170 Non-cash collateral — 181 Total collateral held — 351

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	6 Months Ended
	Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Schedule of Outstanding Interest Rate Swaptions and Derivative Instrument Information	The following table summarizes changes in the notional amount of our derivative instruments during 2020: $ in thousands Notional Amount Additions Settlement, Notional Amount Interest Rate Swaps 14,000,000 92,175,000 (106,175,000) — Currency Forward Contracts 23,111 45,674 (45,848) 22,937 Credit Derivatives 464,966 — (380,047) 84,919 Total 14,488,077 92,220,674 (106,600,895) 107,856
Schedule of Interest Rate Swaps Outstanding	As of December 31, 2019, we had interest rate swaps with the following maturities outstanding: $ in thousands As of December 31, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 1.84 % 0.6 2021 2,500,000 1.40 % 1.77 % 1.3 2022 800,000 1.53 % 1.91 % 2.9 2023 2,400,000 1.44 % 1.72 % 3.9 2024 900,000 1.49 % 1.76 % 4.8 Thereafter 5,500,000 1.44 % 1.78 % 9.5 Total 14,000,000 1.47 % 1.79 % 5.2
Schedule of Disclosure of Credit Derivatives	At June 30, 2020 and December 31, 2019, terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2020 December 31, 2019 Fair value amount (17,223) 10,281 Notional amount 84,919 464,966 Maximum potential amount of future undiscounted payments 84,919 464,966
Schedule of 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, 2020 and December 31, 2019. $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2020 As of December 31, 2019 As of June 30, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability — — Currency Forward Contracts — — Currency Forward Contracts 507 352 Total Derivative Assets — 18,533 Total Derivative Liabilities 507 352
Schedule of 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, 2020 and 2019. $ in thousands Three months ended June 30, 2020 Derivative 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 (16,414) 1,127 12,549 (2,738) $ in thousands Three months ended June 30, 2019 Derivative 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 Six months ended June 30, 2020 Derivative 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 (14,131) 5,845 (27,504) (35,790) $ in thousands Six months ended June 30, 2019 Derivative 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 The following tables 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, 2020 and 2019: $ in thousands Three Months Ended June 30, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Currency Forward Contracts (138) — (205) (343) Total (138) — (205) (343) $ in thousands Three Months Ended June 30, 2019 Derivative 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 Six Months Ended June 30, 2020 Derivative 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 (904,704) 11,924 (18,532) (911,312) Currency Forward Contracts 346 — (156) 190 Total (904,358) 11,924 (18,688) (911,122) $ in thousands Six Months Ended June 30, 2019 Derivative 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 (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)

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	6 Months Ended
	Jun. 30, 2020
Offsetting [Abstract]
Schedule of 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, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of June 30, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Net Amount Liabilities Derivatives (1)(2) (507) — (507) — 480 (27) Secured Loans (3) (740,000) — (740,000) 740,000 — — Total Liabilities (740,507) — (740,507) 740,000 480 (27) As of December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Cash Collateral Net Amount Liabilities Derivatives (1)(2) (352) — (352) — 320 (32) Repurchase Agreements (4) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (3) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $480,000 and $116.4 million as of June 30, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019. (3) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.1 billion and $1.9 billion at June 30, 2020 and December 31, 2019, respectively. We pledged cash collateral against secured loans of $929,000 and $600,000 as of June 30, 2020 and December 31, 2019, respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $19.1 billion at December 31, 2019. We pledged cash collateral of $32.6 million and held cash collateral of $10,000 under repurchase agreements as of December 31, 2019.
Schedule of 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, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative asset of $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of June 30, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Net Amount Liabilities Derivatives (1)(2) (507) — (507) — 480 (27) Secured Loans (3) (740,000) — (740,000) 740,000 — — Total Liabilities (740,507) — (740,507) 740,000 480 (27) As of December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets $ in thousands Gross Gross Net Amounts of Assets (Liabilities) Presented in the Financial Instruments (2) Cash Collateral Net Amount Liabilities Derivatives (1)(2) (352) — (352) — 320 (32) Repurchase Agreements (4) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (3) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent collateral pledged that is available to be offset against liability balances associated with currency forward contracts. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged on our currency forward contracts and centrally cleared interest rate swaps was $480,000 and $116.4 million as of June 30, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $160,000 at December 31, 2019. (3) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.1 billion and $1.9 billion at June 30, 2020 and December 31, 2019, respectively. We pledged cash collateral against secured loans of $929,000 and $600,000 as of June 30, 2020 and December 31, 2019, respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $19.1 billion at December 31, 2019. We pledged cash collateral of $32.6 million and held cash collateral of $10,000 under repurchase agreements as of December 31, 2019.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	6 Months Ended
	Jun. 30, 2020
Fair Value Disclosures [Abstract]
Schedule of Fair Value Measured on Recurring Basis	The following tables present our assets and liabilities measured at fair value on a recurring basis. June 30, 2020 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) — 1,601,381 (17,223) — 1,584,158 Other assets (4) — — 21,792 19,246 41,038 Total assets — 1,601,381 4,569 19,246 1,625,196 Liabilities: Derivative liabilities — 507 — — 507 Total liabilities — 507 — — 507 December 31, 2019 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) — 21,761,505 10,281 — 21,771,786 Derivative assets — 18,533 — — 18,533 Other assets (4) — — 44,654 21,998 66,652 Total assets — 21,780,038 54,935 21,998 21,856,971 Liabilities: Derivative liabilities — 352 — — 352 Total liabilities — 352 — — 352 (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, 2020, the net embedded derivative liability position of $17.2 million includes $100,000 of embedded derivatives in an asset position and $17.3 million of embedded derivatives in a liability position. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 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, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures was 1.9 years and 2.2 years, respectively. (4) Includes $44.7 million of a loan participation interest as of December 31, 2019 and $21.8 million of a commercial loan as of June 30, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued the loan based on a third party appraisal as of June 30, 2020. We sold the loan participation interest on April 1, 2020.
Schedule of 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 2020 2019 2020 2019 Beginning balance (29,772) 25,305 10,281 22,771 Sales and settlements 16,414 — 14,131 — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (16,414) — (14,131) — Unrealized credit derivative gains (losses), net 12,549 (7,738) (27,504) (5,204) Ending balance (17,223) 17,567 (17,223) 17,567
Schedule of Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs	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 2020 2019 2020 2019 Beginning balance 21,577 53,827 44,654 54,981 Purchases/Advances — — — 577 Repayments — (5,942) (19,269) (7,673) Sales (21,577) — (21,577) — Total net gains and losses included in net income: Realized losses (3,808) — (3,808) — Net unrealized gains and losses 3,808 — — — Ending balance — 47,885 — 47,885 Realized and unrealized losses on our loan participation interest are included in gain (loss) on investments, net in our condensed consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan at amortized cost and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2020 Beginning balance, at amortized cost 22,577 24,055 Cumulative effect of adoption of new accounting principle — 342 Repayments — (136) Total net unrealized losses included in net income: Unrealized losses (785) (2,469) Ending balance, at fair value 21,792 21,792
Schedule of 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, 2020 Technique Input Range Average GSE CRT Embedded Derivatives (17,223) Market Comparables, Vendor Pricing Weighted average life 1.9 - 2.8 years 2.2 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years 2.9 years
Schedule of Fair Value Measurement Inputs and Valuation Techniques	The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands June 30, 2020 Technique Input Rate Commercial Loan 21,792 Discounted Cash Flow Discount rate 23.4 %
Schedule of 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, 2020 and December 31, 2019: June 30, 2020 December 31, 2019 $ in thousands Carrying Estimated Carrying Estimated Financial Assets Commercial loan, held-for-investment (1) N/A N/A 24,055 24,397 FHLBI stock 37,688 37,688 74,250 74,250 Total 37,688 37,688 98,305 98,647 Financial Liabilities Repurchase agreements — — 17,532,303 17,534,344 Secured loans 740,000 740,000 1,650,000 1,650,000 Total 740,000 740,000 19,182,303 19,184,344 (1) We elected the fair value option for our commercial loan on January 1

Related Party Transactions (Tab

Related Party Transactions (Tables)	6 Months Ended
	Jun. 30, 2020
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, 2020 and 2019. Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2020 2019 2020 2019 Incurred costs, prepaid or expensed 2,950 1,609 5,164 3,213 Incurred costs, charged against equity as a cost of raising capital 165 124 227 444 Total incurred costs, originally paid by our Manager 3,115 1,733 5,391 3,657

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	6 Months Ended
	Jun. 30, 2020
Equity [Abstract]
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, 2020 $ 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 — (53,271) — (53,271) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 34,782 — 34,782 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (4,503) (4,503) Currency translation adjustments on investment in unconsolidated venture (388) — — (388) Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at beginning of period (165) 64,053 65,840 129,728 Total other comprehensive income (loss) (388) (18,489) (4,503) (23,380) AOCI balance at end of period (553) 45,564 61,337 106,348 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 Six Months Ended June 30, 2020 $ 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 — (239,876) — (239,876) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 71,739 — 71,739 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (14,570) (14,570) Currency translation adjustments on investment in unconsolidated venture 92 — — 92 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss) 92 (168,137) (14,570) (182,615) AOCI balance at end of period (553) 45,564 61,337 106,348 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
Schedule of Dividends Declared	The tables below summarize the dividends we declared during the six months ended June 30, 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019

Earnings (Loss) per Common Sh_2

Earnings (Loss) per Common Share (Tables)	6 Months Ended
	Jun. 30, 2020
Earnings Per Share [Abstract]
Schedule of Earnings (Loss) per Common Share	Earnings (loss) per share for the three and six months ended June 30, 2020 and 2019 is computed as follows: Three months ended June 30, Six Months Ended June 30, In thousands except per share amounts 2020 2019 2020 2019 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (299,945) 7,230 (1,927,244) 134,913 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 166,943 128,659 161,857 124,900 Effect of dilutive securities: Restricted stock awards — 13 — 12 Dilutive Shares 166,943 128,672 161,857 124,912 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (1.80) 0.06 (11.91) 1.08 Diluted (1.80) 0.06 (11.91) 1.08

Organization and Business Ope_2

Organization and Business Operations (Detail) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)segment	Jun. 30, 2019USD ($)	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)	Mar. 31, 2019USD ($)	Dec. 31, 2018USD ($)
Organization And Business Operations
Number of operating segments | segment			1
Minimum distribution percentage of taxable income to qualify for REIT			90.00%
Net income (loss) available to common stockholders, basic	$ (299,945)	$ 7,230	$ (1,927,244)	$ 134,913
Total stockholders' equity	1,157,792	$ 2,670,101	1,157,792	2,670,101	$ 1,410,381	$ 2,931,899	$ 2,671,714	$ 2,286,697
Proceeds from sale of mortgage-backed and credit risk transfer securities			23,119,928	1,670,394
Repurchase agreements repaid during period			17,500,000
Repayments of secured loans			910,000	$ 0
Investment portfolio	$ 1,600,000		1,600,000			$ 21,900,000
MBS and GSE CRTs
Organization And Business Operations
Proceeds from sale of mortgage-backed and credit risk transfer securities			$ 23,100,000

Summary of Significant Accoun_3

Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Mar. 31, 2020	Jan. 01, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Debt Securities, Available-for-sale [Line Items]
Impairment on non-Agency securities intended to sell or more likely than not will be required to sell before recovery	$ (6,287)	$ 0	$ (85,121)	$ 0
Total stockholders' equity	1,157,792	2,670,101	1,157,792	2,670,101	$ 1,410,381		$ 2,931,899	$ 2,671,714	$ 2,286,697
Unrealized credit derivative gains (losses), net			0	0
Commercial
Debt Securities, Available-for-sale [Line Items]
Unrealized gain (loss) on investments in commercial loan	(785)		(2,500)
Retained Earnings (Distributions in excess of earnings)
Debt Securities, Available-for-sale [Line Items]
Total stockholders' equity	(2,827,494)	$ (862,852)	(2,827,494)	$ (862,852)	$ (2,523,923)		(814,483)	$ (812,124)	$ (882,087)
Cumulative Effect, Period of Adoption, Adjustment
Debt Securities, Available-for-sale [Line Items]
Total stockholders' equity							342
Cumulative Effect, Period of Adoption, Adjustment | Retained Earnings (Distributions in excess of earnings)
Debt Securities, Available-for-sale [Line Items]
Total stockholders' equity						$ 342	$ 342
Commercial loan
Debt Securities, Available-for-sale [Line Items]
Unrealized credit derivative gains (losses), net	$ (785)		$ (2,469)

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Variable Interest Entity
Carrying Amount	$ 1,584,158	$ 21,771,786
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	1,491,565
Company's Maximum Risk of Loss	1,491,565
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	1,457,915
Company's Maximum Risk of Loss	1,457,915
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	14,404
Company's Maximum Risk of Loss	14,404
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	19,246
Company's Maximum Risk of Loss	$ 19,246

Mortgage-Backed and Credit Ri_3

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($)	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,761,750,000	$ 23,354,075,000
Unamortized Premium (Discount)	(1,160,035,000)	(2,321,799,000)
Amortized Cost	1,601,715,000	21,032,276,000
Unrealized Gain/ (Loss), net	(17,557,000)	739,510,000
Fair value	$ 1,584,158,000	$ 21,771,786,000
Marketable Securities, Weighted Average Yield Rate	5.17%	3.85%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	100.00%	56.30%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	0.00%	6.40%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	0.00%	6.40%
Percentage of CMBS interest only, principal balance		13.10%
Percentage of CMBS interest only, amortized cost		0.30%
Percentage of CMBS interest only, fair value		0.30%
Unamortized premium (discount) non-accretable portion	$ 2,300,000	$ 120,200,000
Percentage of Non-Agency RMBS interest-only, principal balance	99.10%	56.20%
Percentage of Non-Agency RMBS interest-only, amortized cost	69.80%	1.90%
Percentage of Non-Agency RMBS interest only, fair value	50.40%	1.30%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 9,059,000	$ 10,246,789,000
Unamortized Premium (Discount)	327,000	310,695,000
Amortized Cost	9,386,000	10,557,484,000
Unrealized Gain/ (Loss), net	567,000	316,043,000
Fair value	$ 9,953,000	$ 10,873,527,000
Marketable Securities, Weighted Average Yield Rate	4.01%	3.61%
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,946,000	$ 280,426,000
Unamortized Premium (Discount)	66,000	1,666,000
Amortized Cost	3,012,000	282,092,000
Unrealized Gain/ (Loss), net	113,000	10,322,000
Fair value	$ 3,125,000	$ 292,414,000
Marketable Securities, Weighted Average Yield Rate	3.31%	3.34%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 6,113,000	$ 9,911,339,000
Unamortized Premium (Discount)	261,000	308,427,000
Amortized Cost	6,374,000	10,219,766,000
Unrealized Gain/ (Loss), net	454,000	304,454,000
Fair value	$ 6,828,000	$ 10,524,220,000
Marketable Securities, Weighted Average Yield Rate	4.35%	3.62%
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 55,024,000
Unamortized Premium (Discount)		602,000
Amortized Cost		55,626,000
Unrealized Gain/ (Loss), net		1,267,000
Fair value		$ 56,893,000
Marketable Securities, Weighted Average Yield Rate		3.46%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 22,087,000	$ 883,122,000
Unamortized Premium (Discount)	(22,087,000)	(467,840,000)
Amortized Cost	0	415,282,000
Unrealized Gain/ (Loss), net	0	12,230,000
Fair value	$ 0	$ 427,512,000
Marketable Securities, Weighted Average Yield Rate	0.00%	3.54%
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 4,561,276,000
Unamortized Premium (Discount)		75,299,000
Amortized Cost		4,636,575,000
Unrealized Gain/ (Loss), net		131,355,000
Fair value	$ 0	$ 4,767,930,000
Marketable Securities, Weighted Average Yield Rate		3.01%
Marketable securities purchase commitments, fair value	0	$ 96,200,000
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	1,491,783,000	4,464,525,000
Unamortized Premium (Discount)	(34,021,000)	(772,295,000)
Amortized Cost	1,457,762,000	3,692,230,000
Unrealized Gain/ (Loss), net	153,000	131,244,000
Fair value	$ 1,457,915,000	$ 3,823,474,000
Marketable Securities, Weighted Average Yield Rate	5.50%	5.16%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 1,126,569,000	$ 2,340,119,000
Unamortized Premium (Discount)	(1,106,684,000)	(1,487,603,000)
Amortized Cost	19,885,000	852,516,000
Unrealized Gain/ (Loss), net	(5,481,000)	103,155,000
Fair value	$ 14,404,000	$ 955,671,000
Marketable Securities, Weighted Average Yield Rate	4.09%	6.98%
Percentage of non-agency securities classified as fixed rate	66.50%	57.70%
Percentage of non-agency securities classified as variable rate	32.70%	37.00%
Percentage of non-agency securities classified as floating rate	0.80%	5.30%
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 112,252,000	$ 858,244,000
Unamortized Premium (Discount)	2,430,000	19,945,000
Amortized Cost	114,682,000	878,189,000
Unrealized Gain/ (Loss), net	(12,796,000)	45,483,000
Fair value	$ 101,886,000	$ 923,672,000
Marketable Securities, Weighted Average Yield Rate	1.34%	2.78%

Mortgage-Backed and Credit Ri_4

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Proceeds from sale of mortgage-backed and credit risk transfer securities			$ 23,119,928	$ 1,670,394
Percentage of MBS and GSE CRT are accounted for under the fair value option	15.00%		15.00%		80.00%
Gross unrealized losses	$ 63,166		$ 63,166		$ 72,596
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis	$ (6,287)	$ 0	(85,121)	$ 0
MBS and GSE CRTs
Debt Securities, Available-for-sale [Line Items]
Proceeds from sale of mortgage-backed and credit risk transfer securities			$ 23,100,000

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, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 1,353,225	$ 4,405,426
Securities under Fair Value Option	230,933	17,366,360
Total Fair Value	1,584,158	21,771,786
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	7,357	884,778
Securities under Fair Value Option	2,596	9,988,749
Total Fair Value	9,953	10,873,527
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	3,125	98,666
Securities under Fair Value Option	0	193,748
Total Fair Value	3,125	292,414
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	4,232	754,590
Securities under Fair Value Option	2,596	9,769,630
Total Fair Value	6,828	10,524,220
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	31,522
Securities under Fair Value Option	0	25,371
Total Fair Value		56,893
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	146,733
Securities under Fair Value Option	0	280,779
Total Fair Value	0	427,512
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	0	4,767,930
Total Fair Value	0	4,767,930
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,262,007	2,150,991
Securities under Fair Value Option	195,908	1,672,483
Total Fair Value	1,457,915	3,823,474
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	7,837	715,479
Securities under Fair Value Option	6,567	240,192
Total Fair Value	14,404	955,671
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	76,024	507,445
Securities under Fair Value Option	25,862	416,227
Total Fair Value	$ 101,886	$ 923,672

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, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	$ 2,761,750	$ 23,354,075
Unamortized premium	10,600	440,503
Unamortized discount	(1,170,635)	(2,762,302)
Gross unrealized gains	45,609	812,106
Gross unrealized losses	(63,166)	(72,596)
Fair value	1,584,158	21,771,786
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	1,623,408	20,957,410
Unamortized premium	10,600	440,503
Unamortized discount	(46,183)	(419,983)
Gross unrealized gains	45,361	807,324
Gross unrealized losses	(56,284)	(66,064)
Fair value	1,576,902	21,719,190
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/notional balance	1,138,342	2,396,665
Unamortized premium	0	0
Unamortized discount	(1,124,452)	(2,342,319)
Gross unrealized gains	248	4,782
Gross unrealized losses	(6,882)	(6,532)
Fair value	$ 7,256	$ 52,596

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, 2020	Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 174,682	$ 268,536
Greater than one year and less than five years	1,167,284	7,836,620
Greater than or equal to five years	242,192	13,666,630
Fair value	$ 1,584,158	$ 21,771,786

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, 2020USD ($)security	Dec. 31, 2019USD ($)security
Fair Value
Less than 12 Months	$ 291,831	$ 2,375,171
12 Months or More	15	155,270
Total	291,846	2,530,441
Unrealized Losses
Less than 12 Months	(63,151)	(58,717)
12 Months or More	(15)	(13,879)
Total	$ (63,166)	$ (72,596)
Number of Securities
Less than 12 Months (in securities) | security	42	116
12 Months or More (in securities) | security	3	34
Total (in securities) | security	45	150
Principal/notional balance	$ 2,761,750	$ 23,354,075
Unamortized Premium (Discount)	(1,160,035)	(2,321,799)
Marketable Securities, Amortized Cost Basis	1,601,715	21,032,276
Unrealized Gain/ (Loss), net	(17,557)	739,510
Fair value	$ 1,584,158	$ 21,771,786
Period- end Weighted Average Yield Rate	5.17%	3.85%
Agency RMBS
Fair Value
Less than 12 Months		$ 257,040
12 Months or More		35,895
Total		292,935
Unrealized Losses
Less than 12 Months		(210)
12 Months or More		(305)
Total		$ (515)
Number of Securities
Less than 12 Months (in securities) | security		6
12 Months or More (in securities) | security		12
Total (in securities) | security		18
Fair value option, fair value		$ 271,300
Fair value option, unrealized losses		268
Principal/notional balance	$ 9,059	10,246,789
Unamortized Premium (Discount)	327	310,695
Marketable Securities, Amortized Cost Basis	9,386	10,557,484
Unrealized Gain/ (Loss), net	567	316,043
Fair value	$ 9,953	$ 10,873,527
Period- end Weighted Average Yield Rate	4.01%	3.61%
15 year fixed-rate
Fair Value
Less than 12 Months		$ 957
12 Months or More		362
Total		1,319
Unrealized Losses
Less than 12 Months		(1)
12 Months or More		(3)
Total		$ (4)
Number of Securities
Less than 12 Months (in securities) | security		2
12 Months or More (in securities) | security		4
Total (in securities) | security		6
Principal/notional balance	$ 2,946	$ 280,426
Unamortized Premium (Discount)	66	1,666
Marketable Securities, Amortized Cost Basis	3,012	282,092
Unrealized Gain/ (Loss), net	113	10,322
Fair value	$ 3,125	$ 292,414
Period- end Weighted Average Yield Rate	3.31%	3.34%
30 year fixed-rate
Fair Value
Less than 12 Months		$ 255,649
12 Months or More		34,009
Total		289,658
Unrealized Losses
Less than 12 Months		(207)
12 Months or More		(256)
Total		$ (463)
Number of Securities
Less than 12 Months (in securities) | security		3
12 Months or More (in securities) | security		5
Total (in securities) | security		8
Principal/notional balance	$ 6,113	$ 9,911,339
Unamortized Premium (Discount)	261	308,427
Marketable Securities, Amortized Cost Basis	6,374	10,219,766
Unrealized Gain/ (Loss), net	454	304,454
Fair value	$ 6,828	$ 10,524,220
Period- end Weighted Average Yield Rate	4.35%	3.62%
Hybrid ARM
Fair Value
Less than 12 Months		$ 434
12 Months or More		1,524
Total		1,958
Unrealized Losses
Less than 12 Months		(2)
12 Months or More		(46)
Total		$ (48)
Number of Securities
Less than 12 Months (in securities) | security		1
12 Months or More (in securities) | security		3
Total (in securities) | security		4
Principal/notional balance		$ 55,024
Unamortized Premium (Discount)		602
Marketable Securities, Amortized Cost Basis		55,626
Unrealized Gain/ (Loss), net		1,267
Fair value		$ 56,893
Period- end Weighted Average Yield Rate		3.46%
Agency-CMO
Fair Value
Less than 12 Months		$ 67,875
12 Months or More		6,155
Total		74,030
Unrealized Losses
Less than 12 Months		(1,194)
12 Months or More		(1,513)
Total		$ (2,707)
Number of Securities
Less than 12 Months (in securities) | security		15
12 Months or More (in securities) | security		13
Total (in securities) | security		28
Agency CMBS
Fair Value
Less than 12 Months		$ 1,743,800
12 Months or More		0
Total		1,743,800
Unrealized Losses
Less than 12 Months		(50,521)
12 Months or More		0
Total		$ (50,521)
Number of Securities
Less than 12 Months (in securities) | security		58
12 Months or More (in securities) | security		0
Total (in securities) | security		58
Principal/notional balance		$ 4,561,276
Unamortized Premium (Discount)		75,299
Marketable Securities, Amortized Cost Basis		4,636,575
Unrealized Gain/ (Loss), net		131,355
Fair value	$ 0	$ 4,767,930
Period- end Weighted Average Yield Rate		3.01%
Non-Agency CMBS
Fair Value
Less than 12 Months	189,532	$ 203,129
12 Months or More	0	101,021
Total	189,532	304,150
Unrealized Losses
Less than 12 Months	(43,325)	(2,783)
12 Months or More	0	(11,425)
Total	$ (43,325)	$ (14,208)
Number of Securities
Less than 12 Months (in securities) | security	24	19
12 Months or More (in securities) | security	0	7
Total (in securities) | security	24	26
Fair value option, fair value	$ 129,700	$ 181,500
Fair value option, unrealized losses	40,200	2,800
Principal/notional balance	1,491,783	4,464,525
Unamortized Premium (Discount)	(34,021)	(772,295)
Marketable Securities, Amortized Cost Basis	1,457,762	3,692,230
Unrealized Gain/ (Loss), net	153	131,244
Fair value	$ 1,457,915	$ 3,823,474
Period- end Weighted Average Yield Rate	5.50%	5.16%
GSE CRT
Fair Value
Less than 12 Months	$ 95,747	$ 77,044
12 Months or More	0	0
Total	95,747	77,044
Unrealized Losses
Less than 12 Months	(12,956)	(74)
12 Months or More	0	0
Total	$ (12,956)	$ (74)
Number of Securities
Less than 12 Months (in securities) | security	6	4
12 Months or More (in securities) | security	0	0
Total (in securities) | security	6	4
Principal/notional balance	$ 112,252	$ 858,244
Unamortized Premium (Discount)	2,430	19,945
Marketable Securities, Amortized Cost Basis	114,682	878,189
Unrealized Gain/ (Loss), net	(12,796)	45,483
Fair value	$ 101,886	$ 923,672
Period- end Weighted Average Yield Rate	1.34%	2.78%
Non-Agency RMBS
Fair Value
Less than 12 Months	$ 6,552	$ 26,283
12 Months or More	15	12,199
Total	6,567	38,482
Unrealized Losses
Less than 12 Months	(6,870)	(3,935)
12 Months or More	(15)	(636)
Total	$ (6,885)	$ (4,571)
Number of Securities
Less than 12 Months (in securities) | security	12	14
12 Months or More (in securities) | security	3	2
Total (in securities) | security	15	16
Fair value option, fair value		$ 17,600
Fair value option, unrealized losses		261
Principal/notional balance	$ 1,126,569	2,340,119
Unamortized Premium (Discount)	(1,106,684)	(1,487,603)
Marketable Securities, Amortized Cost Basis	19,885	852,516
Unrealized Gain/ (Loss), net	(5,481)	103,155
Fair value	$ 14,404	$ 955,671
Period- end Weighted Average Yield Rate	4.09%	6.98%
Agency IO
Number of Securities
Fair value option, fair value		$ 11,100
Fair value option, unrealized losses		2,300
Agency-CMO
Number of Securities
Principal/notional balance	$ 22,087	883,122
Unamortized Premium (Discount)	(22,087)	(467,840)
Marketable Securities, Amortized Cost Basis	0	415,282
Unrealized Gain/ (Loss), net	0	12,230
Fair value	$ 0	$ 427,512
Period- end Weighted Average Yield Rate	0.00%	3.54%
Non-Agency IO
Number of Securities
Fair value option, fair value		$ 8,500
Fair value option, unrealized losses		$ 3,700

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, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 0	$ 1,200	$ 0	$ 2,976
RMBS interest-only securities
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses		489		1,952
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses		$ 711		$ 1,024

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, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Gross realized gains on sale of investments	$ 253,737	$ 3,957	$ 581,865	$ 5,159
Gross realized losses on sale of investments	(658,476)	(1,928)	(990,889)	(14,245)
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis	(6,287)	0	(85,121)	0
Other-than-temporary impairment losses	0	(1,200)	0	(2,976)
Net unrealized gains and losses on commercial loan and loan participation interest	3,023	0	(2,469)	0
Realized loss on loan participation interest	(3,808)	0	(3,808)	0
Total gain (loss) on investments, net	(306,366)	302,182	(1,061,849)	570,564
MBS
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	(34,498)	304,692	(549,001)	584,731
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	$ 139,943	$ (3,339)	$ (12,426)	$ (2,105)

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, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 26,841	$ 214,501	$ 228,950	$ 406,943
Net (Premium Amortization)/Discount Accretion	2,787	(13,764)	(13,786)	(20,714)
Interest Income	29,628	200,737	215,164	386,229
Not Designated as Hedging Instrument
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives	0	7,525	11,924	12,034
Embedded Credit Derivative | Not Designated as Hedging Instrument
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives	1,127	5,300	5,845	10,650
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	1,561	131,757	107,439	251,483
Net (Premium Amortization)/Discount Accretion	(894)	(17,153)	(21,807)	(29,347)
Interest Income	667	114,604	85,632	222,136
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	1,827	17,862	35,822	28,333
Net (Premium Amortization)/Discount Accretion	(78)	(909)	(1,744)	(1,440)
Interest Income	1,749	16,953	34,078	26,893
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	20,444	40,615	62,662	79,445
Net (Premium Amortization)/Discount Accretion	4,473	3,350	9,531	6,381
Interest Income	24,917	43,965	72,193	85,826
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	1,524	13,877	12,284	28,144
Net (Premium Amortization)/Discount Accretion	(178)	2,800	2,520	6,722
Interest Income	1,346	16,677	14,804	34,866
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	1,500	9,426	10,007	18,022
Net (Premium Amortization)/Discount Accretion	(536)	(1,852)	(2,286)	(3,030)
Interest Income	964	7,574	7,721	14,992
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	(15)	964	736	1,516
Net (Premium Amortization)/Discount Accretion	0	0	0	0
Interest Income	$ (15)	$ 964	$ 736	$ 1,516

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
FHLBI stock	$ 37,688	$ 74,250
Loan participation interest	0	44,654
Commercial loan, held-for-investment	21,792	24,055
Investments in unconsolidated ventures	19,246	21,998
Prepaid expenses and other assets	786	1,223
Total	$ 79,512	$ 166,180

Other Assets - Additional Infor

Other Assets - Additional Information (Details) - USD ($) $ in Thousands	Apr. 01, 2020	Jun. 30, 2020	Jun. 30, 2020	Dec. 31, 2019	Mar. 31, 2020	Jan. 01, 2020	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Total stockholders' equity		$ 1,157,792	$ 1,157,792	$ 2,931,899	$ 1,410,381		$ 2,670,101	$ 2,671,714	$ 2,286,697
Loan participation interest
Loans and Leases Receivable Disclosure [Line Items]
Proceeds from sale of loans receivable	$ 21,600
Loss on sale of participation interest	$ 3,800
Cumulative Effect, Period of Adoption, Adjustment
Loans and Leases Receivable Disclosure [Line Items]
Total stockholders' equity				342
Retained Earnings (Distributions in excess of earnings)
Loans and Leases Receivable Disclosure [Line Items]
Total stockholders' equity		(2,827,494)	$ (2,827,494)	(814,483)	$ (2,523,923)		$ (862,852)	$ (812,124)	$ (882,087)
Retained Earnings (Distributions in excess of earnings) | Cumulative Effect, Period of Adoption, Adjustment
Loans and Leases Receivable Disclosure [Line Items]
Total stockholders' equity				$ 342		$ 342
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				5.82%
Commercial
Loans and Leases Receivable Disclosure [Line Items]
Weighted average coupon rate			8.67%	10.19%
Unrealized gain (loss) on investments in commercial loan		$ (785)	$ (2,500)

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Repurchase Agreements:
Amount outstanding		$ 17,532,303
Weighted Average Interest Rate		2.11%
Weighted average remaining maturity		39 days
Secured Loans
Amount outstanding	$ 740,000	$ 1,650,000
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 740,000	$ 19,182,303
Weighted average interest rate	0.62%	2.09%
Weighted average remaining maturity	158 days	172 days
Agency RMBS
Repurchase Agreements:
Amount outstanding		$ 9,666,964
Weighted Average Interest Rate		1.95%
Weighted average remaining maturity		46 days
Agency CMBS
Repurchase Agreements:
Amount outstanding		$ 4,246,359
Weighted Average Interest Rate		1.95%
Weighted average remaining maturity		43 days
Non-Agency CMBS
Repurchase Agreements:
Amount outstanding		$ 2,041,968
Weighted Average Interest Rate		2.71%
Weighted average remaining maturity		14 days
Non-Agency RMBS
Repurchase Agreements:
Amount outstanding		$ 790,412
Weighted Average Interest Rate		2.65%
Weighted average remaining maturity		16 days
GSE CRT
Repurchase Agreements:
Amount outstanding		$ 753,110
Weighted Average Interest Rate		2.70%
Weighted average remaining maturity		13 days
Loan participation interest
Repurchase Agreements:
Amount outstanding		$ 33,490
Weighted Average Interest Rate		3.22%
Weighted average remaining maturity		240 days
Secured Loans
Secured Loans
Amount outstanding	$ 740,000	$ 1,650,000
Weighted average interest rate	0.62%	1.93%
Weighted average remaining maturity	158 days	1587 days

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Jun. 30, 2020USD ($)
Debt Disclosure [Abstract]
Borrowings maturing within 7/1/2020 - 6/30/2021	$ 740,000
Thereafter	0
Total	$ 740,000

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($) $ in Thousands	6 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Repurchase Agreement Counterparty
Advances from federal home loan banks	$ 740,000	$ 1,650,000
FHLBI
Repurchase Agreement Counterparty
Average outstanding borrowings from FHLBI	$ 1,130,000
FHLBI weighted average interest rate on advances	1.48%
Weighted average maturity (in years)	4 months 24 days

Collateral Positions (Details)

Collateral Positions (Details) - USD ($)	Jun. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Repurchase Agreements	$ 0	$ 19,122,295,000
Secured Loans	1,071,857,000	1,898,489,000
Total collateral pledged	1,072,337,000	21,326,959,000
Cash collateral held	0	170,000
Non-cash collateral collateral held	0	181,000
Total collateral held	$ 0	$ 351,000
Repurchase agreement collateral pledged ratio	0.00%	109.00%
Cash
Derivative [Line Items]
Repurchase Agreements	$ 0	$ 32,568,000
Total collateral pledged	0	32,568,000
Restricted cash
Derivative [Line Items]
Total collateral pledged	1,409,000	116,995,000
Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	480,000	306,175,000
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Restricted cash
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	480,000	116,395,000
Repurchase agreement
Derivative [Line Items]
Cash collateral held	0	10,000
Non-cash collateral collateral held	0	181,000
Total collateral held	0	191,000
Interest Rate Swaps
Derivative [Line Items]
Cash collateral held	0	160,000
Total collateral held	0	160,000
Agency RMBS
Derivative [Line Items]
Repurchase Agreements	0	10,187,555,000
Secured Loans	0	621,471,000
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts	0	189,780,000
Agency CMBS
Derivative [Line Items]
Marketable securities purchase commitments, fair value	0	96,200,000
Repurchase Agreements	0	4,446,384,000
Non-Agency CMBS
Derivative [Line Items]
Repurchase Agreements	0	2,549,841,000
Secured Loans	1,070,928,000	1,276,418,000
Non-Agency RMBS
Derivative [Line Items]
Repurchase Agreements	0	943,176,000
GSE CRT
Derivative [Line Items]
Repurchase Agreements	0	918,117,000
Loan participation interest
Derivative [Line Items]
Repurchase Agreements	0	44,654,000
Total collateral pledged	0	44,654,000
Restricted cash
Derivative [Line Items]
Secured Loans	929,000	600,000
Mortgage-backed and credit risk transfer securities
Derivative [Line Items]
Total collateral pledged	$ 1,070,928,000	$ 21,132,742,000

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail)	6 Months Ended
	Jun. 30, 2020USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	$ 14,488,077,000
Additions	92,220,674,000
Settlement, Termination, Expiration or Exercise	(106,600,895,000)
Notional Amount as of June 30, 2020	107,856,000
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	14,000,000,000
Additions	92,175,000,000
Settlement, Termination, Expiration or Exercise	(106,175,000,000)
Notional Amount as of June 30, 2020	0
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	23,111,000
Additions	45,674,000
Settlement, Termination, Expiration or Exercise	(45,848,000)
Notional Amount as of June 30, 2020	22,937,000
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	464,966,000
Additions	0
Settlement, Termination, Expiration or Exercise	(380,047,000)
Notional Amount as of June 30, 2020	$ 84,919,000

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Mar. 31, 2020	Dec. 31, 2019	Mar. 31, 2019	Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ (343,000)	$ (344,733,000)	$ (911,122,000)	$ (546,193,000)
Increase of interest rate cash flow hedge gain (loss) Reclassified during period	2,700,000		2,700,000
Amount reclassified to interest expenses within Next 12 months	20,000,000		20,000,000
Stockholders' Equity Attributable to Parent	1,157,792,000	2,670,101,000	1,157,792,000	2,670,101,000	$ 1,410,381,000	$ 2,931,899,000	$ 2,671,714,000	$ 2,286,697,000
Notional amount	107,856,000		107,856,000			14,488,077,000
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Stockholders' Equity Attributable to Parent	61,337,000	87,869,000	61,337,000	87,869,000	$ 65,840,000	75,907,000	$ 93,785,000	$ 99,636,000
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	22,937,000		22,937,000			23,111,000
Interest Rate Swaps
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	4,500,000	$ 5,900,000	14,600,000	$ 11,800,000
Notional amount	0		0			14,000,000,000
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 22,900,000		$ 22,900,000			$ 23,100,000

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($)	12 Months Ended
	Dec. 31, 2019	Jun. 30, 2020
Derivative [Line Items]
Notional amount	$ 14,488,077,000	$ 107,856,000
Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 14,000,000,000	$ 0
Weighted Average Fixed Pay Rate	1.47%
Weighted Average Receive Rate	1.79%
Weighted Average Years to Maturity	5 years 2 months 12 days
2020 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,900,000,000
Weighted Average Fixed Pay Rate	1.67%
Weighted Average Receive Rate	1.84%
Weighted Average Years to Maturity	7 months 6 days
2021 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 2,500,000,000
Weighted Average Fixed Pay Rate	1.40%
Weighted Average Receive Rate	1.77%
Weighted Average Years to Maturity	1 year 3 months 18 days
2022 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 800,000,000
Weighted Average Fixed Pay Rate	1.53%
Weighted Average Receive Rate	1.91%
Weighted Average Years to Maturity	2 years 10 months 24 days
2023 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 2,400,000,000
Weighted Average Fixed Pay Rate	1.44%
Weighted Average Receive Rate	1.72%
Weighted Average Years to Maturity	3 years 10 months 24 days
2024 | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 900,000,000
Weighted Average Fixed Pay Rate	1.49%
Weighted Average Receive Rate	1.76%
Weighted Average Years to Maturity	4 years 9 months 18 days
Thereafter | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 5,500,000,000
Weighted Average Fixed Pay Rate	1.44%
Weighted Average Receive Rate	1.78%
Weighted Average Years to Maturity	9 years 6 months
1-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 10,700,000,000
3-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 3,300,000,000

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional amount	$ 107,856	$ 14,488,077
GSE CRT | GSE CRT Embedded Derivatives
Derivative [Line Items]
Fair value amount	(17,223)	10,281
Notional amount	84,919	464,966
Maximum potential amount of future undiscounted payments	$ 84,919	$ 464,966

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, 2020	Dec. 31, 2019
Derivatives, Fair Value
Derivative assets, at fair value	$ 0	$ 18,533
Derivative liabilities, at fair value	507	352
Interest Rate Swaps
Derivatives, Fair Value
Derivative assets, at fair value	0	18,533
Derivative liabilities, at fair value	0	0
Currency Forward Contracts
Derivatives, Fair Value
Derivative assets, at fair value	0	0
Derivative liabilities, at fair value	$ 507	$ 352

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, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Derivative Instruments, Gain (Loss)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ (343)	$ (344,733)	$ (911,122)	$ (546,193)
Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	4,500	5,900	14,600	11,800
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(138)	(307,239)	(904,358)	(539,626)
Contractual net interest income (expense)	0	7,525	11,924	12,034
Unrealized gain (loss), net	(205)	(45,019)	(18,688)	(18,601)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	(343)	(344,733)	(911,122)	(546,193)
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(16,414)	0	(14,131)	0
Contractual net interest income (expense)	1,127	5,300	5,845	10,650
Unrealized gain (loss), net	12,549	(7,738)	(27,504)	(5,204)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	(2,738)	(2,438)	(35,790)	5,446
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net		(241,839)	(904,704)	(407,723)
Contractual net interest income (expense)		7,525	11,924	12,034
Unrealized gain (loss), net		(39,922)	(18,532)	(26,931)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense		(274,236)	(911,312)	(422,620)
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net		(65,953)		(132,641)
Contractual net interest income (expense)		0		0
Unrealized gain (loss), net		(4,490)		8,454
Derivative gain (loss) reclassified as a decrease (increase) to interest expense		(70,443)		(124,187)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(138)	553	346	738
Contractual net interest income (expense)	0	0	0	0
Unrealized gain (loss), net	(205)	(607)	(156)	(124)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ (343)	$ (54)	$ 190	$ 614

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Derivative assets, at fair value	$ 0	$ 18,533
Central Clearing Counterparty
Derivative [Line Items]
Derivative assets, at fair value		$ 18,500

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Liabilities) (Detail) - USD ($)	Jun. 30, 2020	Dec. 31, 2019
Derivatives Liability
Gross Amounts of Recognized Assets (Liabilities)	$ (507,000)	$ (352,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(507,000)	(352,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	0	0
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	480,000	320,000
Net Amount	(27,000)	(32,000)
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)		(17,532,303,000)
Gross Amounts Offset in the Balance Sheets		0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	0	(17,532,303,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments		17,532,303,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted		0
Net Amount		0
Secured Loans
Gross Amounts of Recognized Assets (Liabilities)	(740,000,000)	(1,650,000,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(740,000,000)	(1,650,000,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	740,000,000	1,650,000,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Total Borrowings
Gross Amounts of Recognized Assets (Liabilities)	(740,507,000)	(19,182,655,000)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(740,507,000)	(19,182,655,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	740,000,000	19,182,303,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	480,000	320,000
Net Amount	(27,000)	(32,000)
Cash collateral held	0	170,000
Collateral pledged against secured loans	1,071,857,000	1,898,489,000
Fair value of securities pledged under repurchase agreements, excluding cash collateral		19,100,000,000
Restricted cash
Total Borrowings
Collateral pledged against secured loans	929,000	600,000
Repurchase agreement
Total Borrowings
Cash collateral pledged		32,600,000
Cash collateral held		10,000
IAS Services LLC
Total Borrowings
Collateral pledged against secured loans	1,100,000,000	1,900,000,000
Centrally Cleared Swaps
Total Borrowings
Securities pledged as collateral, fair value		189,800,000
Currency Forward Contracts and Centrally Cleared Interest Rate Swaps
Total Borrowings
Cash collateral pledged	480,000	116,400,000
Interest Rate Swaps
Total Borrowings
Cash collateral held	$ 0	$ 160,000

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	$ 1,584,158	$ 21,771,786
Derivative liabilities	$ 507	$ 352
Weighted average remaining term of investments in unconsolidated ventures	1 year 10 months 24 days	2 years 2 months 12 days
Loan participation interest	$ 0	$ 44,654
Commercial loan, held-for-investment	21,792	24,055
GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	101,886	923,672
Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives in an asset position	(17,223)	10,281
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	1,584,158	21,771,786
Derivative assets		18,533
Other assets	41,038	66,652
Total assets	1,625,196	21,856,971
Derivative liabilities	507	352
Total liabilities	507	352
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	0	0
Derivative assets		0
Other assets	0	0
Total assets	0	0
Derivative liabilities	0	0
Total liabilities	0	0
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	1,601,381	21,761,505
Derivative assets		18,533
Other assets	0	0
Total assets	1,601,381	21,780,038
Derivative liabilities	507	352
Total liabilities	507	352
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	(17,223)	10,281
Derivative assets		0
Other assets	21,792	44,654
Total assets	4,569	54,935
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	(17,200)	10,300
Embedded derivatives in an asset position	100	19,500
Embedded derivatives in a liability position	17,300	9,200
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 19,246	$ 21,998

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Unrealized credit derivative gains (losses), net			$ 0	$ 0
Embedded Credit Derivative | GSE CRT
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ (29,772)	$ 25,305	10,281	22,771
Sales and settlements	16,414	0	14,131	0
Realized credit derivative gains (losses), net	(16,414)	0	(14,131)	0
Unrealized credit derivative gains (losses), net	12,549	(7,738)	(27,504)	(5,204)
Ending balance	$ (17,223)	$ 17,567	$ (17,223)	$ 17,567

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Reconciliation of Beginning and Ending Fair Value Measurement Utilizing Level 3 Inputs (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net unrealized gains and losses			$ 0	$ 0
Loan participation interest
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 21,577	$ 53,827	44,654	54,981
Purchases/Advances	0	0	0	577
Repayments	0	(5,942)	(19,269)	(7,673)
Sales	(21,577)	0	(21,577)	0
Realized credit derivative gains (losses), net	(3,808)	0	(3,808)	0
Net unrealized gains and losses	3,808	0
Ending balance	0	$ 47,885	0	$ 47,885
Commercial loan
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	22,577		24,055
Repayments	0		(136)
Net unrealized gains and losses	(785)		(2,469)
Ending balance	21,792		21,792
Commercial loan | Cumulative Effect, Period of Adoption, Adjustment
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 0		$ 342

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Fair Value Inputs (Detail) $ in Thousands	Jun. 30, 2020USD ($)year	Dec. 31, 2019USD ($)year
Fair Value Inputs, Assets, Quantitative Information
Commercial loan, held-for-investment | $	$ 21,792	$ 24,055
Level 3
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives | $	$ (17,223)	$ 10,281
Measurement Input, Expected Term | Level 3 | Minimum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	1.9	1.1
Measurement Input, Expected Term | Level 3 | Maximum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	2.8	4.2
Measurement Input, Expected Term | Level 3 | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	2.2	2.9
Measurement Input, Discount Rate | Level 3
Fair Value Inputs, Assets, Quantitative Information
Finance Leased Asset, Measurement Input	0.234

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, 2020	Dec. 31, 2019
Carrying Value
Financial Assets
Commercial loan, held-for-investment		$ 24,055
FHLBI stock	$ 37,688	74,250
Total assets	37,688	98,305
Financial Liabilities
Repurchase agreements	0	17,532,303
Secured loans	740,000	1,650,000
Total	740,000	19,182,303
Estimated Fair Value
Financial Assets
Commercial loan, held-for-investment		24,397
FHLBI stock	37,688	74,250
Total assets	37,688	98,647
Financial Liabilities
Repurchase agreements	0	17,534,344
Secured loans	740,000	1,650,000
Total	$ 740,000	$ 19,184,344

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended		9 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Dec. 31, 2019
Related Party Transaction [Line Items]
Management fee – related party	$ 9,793	$ 9,370	$ 20,746	$ 18,904
Investment in money market or mutual funds managed by affiliates of a related party	270,161		270,161		$ 270,161	$ 172,507
Management fee as a percentage of stockholders' equity per annum					1.50%
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction [Line Items]
Management fee – related party	242	$ 213	484	$ 396
Investment in money market or mutual funds managed by affiliates of a related party	$ 1,400		$ 1,400		$ 1,400	$ 154,000

Related Party Transactions - Sc

Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 3,115	$ 1,733	$ 5,391	$ 3,657
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	2,950	1,609	5,164	3,213
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 165	$ 124	$ 227	$ 444

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	May 09, 2020	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020	Jun. 30, 2019	Jul. 31, 2017
Class of Stock [Line Items]
Number of shares repurchased during period (in shares)						0	0
Dividends, common stock		$ 3,626	$ 82,483	$ 57,958	$ 57,720
Common stock trading price (in USD per share)						$ 4.5435
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				$ 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%				5.289%
Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price per share (dollars per share)		$ 25				$ 25		$ 25
Equity distribution agreement, authorized (in shares)						7,000,000
Common Stock
Class of Stock [Line Items]
Equity distribution agreement, authorized (in shares)						17,000,000
Number of shares issued during period						16,338,511
Remaining number of shares authorized to be repurchased (in shares)		18,163,982				18,163,982
Dividends, common stock	$ 8,200					$ 8,200
Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Number of shares issued during period				521,136		0	1,093,136
Proceeds from issuance of common stock				$ 8,200			$ 17,200
Payments of stock issuance commission and fees				$ 170			$ 363

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended				6 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020	Jun. 30, 2019
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ (53,271)		$ 47,188		$ (239,876)	$ 99,537
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	34,782		(121)		71,739	10,026
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(4,503)		(5,916)		(14,570)	(11,767)
Currency translation adjustments on investment in unconsolidated venture	(388)		(320)		92	(596)
Total other comprehensive income (loss)	(23,380)	$ (159,235)	40,831	$ 56,369	(182,615)	97,200
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	1,410,381	2,931,899	2,671,714	2,286,697	2,931,899	2,286,697
Total other comprehensive income (loss)	(23,380)	(159,235)	40,831	56,369	(182,615)	97,200
Ending Balance	1,157,792	1,410,381	2,670,101	2,671,714	1,157,792	2,670,101
Equity method investments attributable to Parent
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	(388)		(320)		92	(596)
Total other comprehensive income (loss)	(388)		(320)		92	(596)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	(165)	(645)	237	513	(645)	513
Total other comprehensive income (loss)	(388)		(320)		92	(596)
Ending Balance	(553)	(165)	(83)	237	(553)	(83)
Available-for-sale securities attributable to Parent
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	(53,271)		47,188		(239,876)	99,537
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	34,782		(121)		71,739	10,026
Total other comprehensive income (loss)	(18,489)		47,067		(168,137)	109,563
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	64,053	213,701	183,160	120,664	213,701	120,664
Total other comprehensive income (loss)	(18,489)		47,067		(168,137)	109,563
Ending Balance	45,564	64,053	230,227	183,160	45,564	230,227
Derivative and hedging attributable to Parent
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	(4,503)		(5,916)		(14,570)	(11,767)
Total other comprehensive income (loss)	(4,503)		(5,916)		(14,570)	(11,767)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	65,840	75,907	93,785	99,636	75,907	99,636
Total other comprehensive income (loss)	(4,503)		(5,916)		(14,570)	(11,767)
Ending Balance	61,337	65,840	87,869	93,785	61,337	87,869
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)	(23,380)	(159,235)	40,831	56,369
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	129,728	288,963	277,182	220,813	288,963	220,813
Total other comprehensive income (loss)	(23,380)	(159,235)	40,831	56,369
Ending Balance	$ 106,348	$ 129,728	$ 318,013	$ 277,182	$ 106,348	$ 318,013

Stockholders' Equity - Schedule

Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019
Class of Stock [Line Items]
Common stock dividend declared (dollars per share)	$ 0.02	$ 0.50	$ 0.45	$ 0.45
Dividends, common stock	$ 3,626	$ 82,483	$ 57,958	$ 57,720
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 (Loss) per Common Sh_3

Earnings (Loss) per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Basic Earnings:
Net income (loss) available to common stockholders, basic	$ (299,945)	$ 7,230	$ (1,927,244)	$ 134,913
Basic Earnings:
Shares available to common stockholders (in shares)	166,943,000	128,659,000	161,857,000	124,900,000
Effect of dilutive securities:
Restricted stock awards (in shares)	0	13,000	0	12,000
Dilutive Shares (in shares)	166,943,000	128,672,000	161,857,000	124,912,000
Net income (loss) attributable to common stockholders
Basic (usd per share)	$ (1.80)	$ 0.06	$ (11.91)	$ 1.08
Diluted (usd per share)	$ (1.80)	$ 0.06	$ (11.91)	$ 1.08
Restricted stock awards
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Antidilutive securities excluded from computation of EPS (in shares)	10,672		11,366

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Commitments and Contingencies Disclosure [Abstract]
Investments in unconsolidated ventures	$ 19,246	$ 21,998
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 6,500	$ 6,500

Subsequent Events (Details)

Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands	Aug. 05, 2020	Jul. 31, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Subsequent Event [Line Items]
Repayments of secured loans								$ 910,000	$ 0
Secured loans				$ 740,000				740,000		$ 1,650,000
Investment-related liabilities, related to a claim asserted by one of our counterparties				(22,900)				(22,900)
Net gain (loss) on extinguishment of debt				3,701		$ 0		(1,107)	$ 0
Secured Loans
Subsequent Event [Line Items]
Secured loans				$ 740,000				$ 740,000		$ 1,650,000
Subsequent Event
Subsequent Event [Line Items]
Repayments of secured loans		$ 435,000
Subsequent Event | Secured Loans
Subsequent Event [Line Items]
Secured loans		$ 305,000
Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)				$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844
Series B Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.4844
Series C Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)				$ 0.46875	$ 0.46875	$ 0.46875	$ 0.46875
Series C Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.46875
Forecast
Subsequent Event [Line Items]
Net gain (loss) on extinguishment of debt			$ 15,900