Invesco Mortgage Capital (IVR) 10-Q 9 Nov 20 2020 Q3 Quarterly report Financial data

Cover

Cover - shares	9 Months Ended
	Sep. 30, 2020	Oct. 31, 2020
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Period End Date	Sep. 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		181,375,299
Entity Central Index Key	0001437071
Current Fiscal Year End Date	--12-31
Document Fiscal Year Focus	2020
Document Fiscal Period Focus	Q3
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	Sep. 30, 2020	Dec. 31, 2019
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $5,509,166 and $21,132,742, respectively)	$ 5,981,457	$ 21,771,786
Cash and cash equivalents	258,905	172,507
Restricted cash	166,193	116,995
Due from counterparties	4,335	32,568
Investment related receivable	12,767	67,976
Derivative assets, at fair value	8,402	18,533
Other assets (including pledged security of $44,654 as of December 31, 2019)	43,936	166,180
Total assets	6,475,995	22,346,545
Liabilities:
Repurchase agreements	5,243,288	17,532,303
Secured loans	0	1,650,000
Derivative liabilities, at fair value	391	352
Dividends payable	11,781	74,841
Investment related payable	966	99,561
Accrued interest payable	589	43,998
Collateral held payable	950	170
Accounts payable and accrued expenses	2,198	1,560
Due to affiliate	4,692	11,861
Total liabilities	5,264,855	19,414,646
Commitments and contingencies (See Note 14)
Stockholders' Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 181,375,299 and 144,256,357 shares issued and outstanding, respectively	1,814	1,443
Additional paid in capital	3,314,008	2,892,652
Accumulated other comprehensive income	71,699	288,963
Retained earnings (distributions in excess of earnings)	(2,739,705)	(814,483)
Total stockholders’ equity	1,211,140	2,931,899
Total liabilities and stockholders' equity	6,475,995	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	Sep. 30, 2020	Dec. 31, 2019
Mortgage-backed and credit risk transfer securities, pledged	$ 5,509,166	$ 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 (in shares)	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized (in shares)	450,000,000	450,000,000
Common Stock - shares outstanding (in shares)	181,375,299	144,256,357
Common Stock - shares issued (in shares)	181,375,299	144,256,357
Series A Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares outstanding (in shares)	5,600,000	5,600,000
Preferred Stock - shares issued (in shares)	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 (in shares)	6,200,000	6,200,000
Preferred Stock - shares issued (in shares)	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 (in shares)	11,500,000	11,500,000
Preferred Stock - shares issued (in shares)	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		9 Months Ended
		Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Interest Income
Mortgage-backed and credit risk transfer securities		$ 26,907	$ 194,938	$ 242,071	$ 581,167
Commercial and other loans		529	1,353	2,237	4,419
Total interest income		27,436	196,291	244,308	585,586
Interest Expense
Repurchase agreements	[1]	(1,713)	112,851	76,059	332,704
Secured loans		297	10,413	8,655	32,815
Total interest expense		(1,416)	123,264	84,714	365,519
Net interest income		28,852	73,027	159,594	220,067
Other Income (loss)
Gain (loss) on investments, net		65,106	202,413	(996,743)	772,977
Equity in earnings (losses) of unconsolidated ventures		332	403	820	1,797
Gain (loss) on derivative instruments, net		2,886	(177,244)	(908,236)	(723,437)
Realized and unrealized credit derivative income (loss), net		478	1	(35,312)	5,447
Net gain (loss) on extinguishment of debt		15,849	0	14,742	0
Other investment income (loss), net		402	1,005	1,936	3,041
Total other income (loss)		85,053	26,578	(1,922,793)	59,825
Expenses
Management fee – related party		4,111	8,740	24,857	27,644
General and administrative		1,828	1,862	9,009	6,119
Total expenses		5,939	10,602	33,866	33,763
Net income (loss)		107,966	89,003	(1,797,065)	246,129
Dividends to preferred stockholders		11,107	11,107	33,320	33,320
Net income (loss) available to common stockholders		$ 96,859	$ 77,896	$ (1,830,385)	$ 212,809
Earnings (loss) per share:
Basic (usd per share)		$ 0.53	$ 0.57	$ (10.87)	$ 1.66
Diluted (usd per share)		$ 0.53	$ 0.57	$ (10.87)	$ 1.65
[1]	Negative interest expense on repurchase agreements for the three months ended September 30, 2020 consists of $1.5 million of current period interest expense on repurchase agreements and $3.2 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 Millions	3 Months Ended
	Sep. 30, 2020USD ($)
Income Statement [Abstract]
Interest expense on repurchase agreements borrowings	$ 1.5
Amortization of net deferred gains on de-designated derivative	$ 3.2

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ 107,966	$ 89,003	$ (1,797,065)	$ 246,129
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	22,812	14,482	(217,064)	114,019
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(54,615)	(954)	17,124	9,072
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(3,243)	(5,981)	(17,813)	(17,748)
Currency translation adjustments on investment in unconsolidated venture	397	290	489	(306)
Total other comprehensive income (loss)	(34,649)	7,837	(217,264)	105,037
Comprehensive income (loss)	73,317	96,840	(2,014,329)	351,166
Less: Dividends to preferred stockholders	(11,107)	(11,107)	(33,320)	(33,320)
Comprehensive income (loss) attributable to common stockholders	$ 62,210	$ 85,733	$ (2,047,649)	$ 317,846

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' 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
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)	246,129
Other comprehensive income (loss)	105,037
Ending Balance (in shares) at Sep. 30, 2019			5,600,000	6,200,000	11,500,000	142,802,293
Ending Balance at Sep. 30, 2019	2,911,032		$ 135,356	$ 149,860	$ 278,108	$ 1,427	2,869,650	325,850	(849,219)
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
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)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	89,003								89,003
Other comprehensive income (loss)	7,837							7,837
Proceeds from issuance of common stock, net of offering costs (in shares)						14,000,000
Proceeds from issuance of common stock, net of offering costs	219,331					$ 140	219,191
Stock awards (in shares)						6,765
Common stock dividends	(64,263)								(64,263)
Preferred stock dividends	(11,107)								(11,107)
Amortization of equity-based compensation	130						130
Ending Balance (in shares) at Sep. 30, 2019			5,600,000	6,200,000	11,500,000	142,802,293
Ending Balance at Sep. 30, 2019	2,911,032		$ 135,356	$ 149,860	$ 278,108	$ 1,427	2,869,650	325,850	(849,219)
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)
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)	(1,797,065)
Other comprehensive income (loss)	(217,264)
Ending Balance (in shares) at Sep. 30, 2020			5,600,000	6,200,000	11,500,000	181,375,299
Ending Balance at Sep. 30, 2020	1,211,140		$ 135,356	$ 149,860	$ 278,108	$ 1,814	3,314,008	71,699	(2,739,705)
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)
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)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income (loss)	107,966								107,966
Other comprehensive income (loss)	(34,649)							(34,649)
Proceeds from issuance of common stock, net of offering costs (in shares)						25,431
Proceeds from issuance of common stock, net of offering costs	78					$ 0	78
Stock awards (in shares)						22,500
Stock awards	1					$ 1
Common stock dividends	(9,070)								(9,070)
Preferred stock dividends	(11,107)								(11,107)
Amortization of equity-based compensation	129						129
Ending Balance (in shares) at Sep. 30, 2020			5,600,000	6,200,000	11,500,000	181,375,299
Ending Balance at Sep. 30, 2020	$ 1,211,140		$ 135,356	$ 149,860	$ 278,108	$ 1,814	$ 3,314,008	$ 71,699	$ (2,739,705)

CONDENSED CONSOLIDATED STATEM_5

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019
Cash Flows from Operating Activities
Net income (loss)	$ (1,797,065)	$ 246,129
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	9,821	28,471
Realized and unrealized (gain) loss on derivative instruments, net	919,605	747,186
Realized and unrealized (gain) loss on credit derivatives, net	41,635	10,399
(Gain) loss on investments, net	996,743	(772,977)
(Gain) loss from investments in unconsolidated ventures in excess of distributions received	245	(1,797)
Other amortization	(17,424)	(17,356)
Net (gain) loss on extinguishment of debt	(14,742)	0
Changes in operating assets and liabilities:
Increase (decrease) in operating assets	53,921	(13,578)
Decrease in operating liabilities	(49,027)	(8,591)
Net cash provided by operating activities	143,712	217,886
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(10,515,245)	(7,980,486)
(Contributions to) distributions from investments in unconsolidated ventures, net	2,267	2,198
Change in other assets	40,846	9,866
Principal payments from mortgage-backed and credit risk transfer securities	730,330	1,392,097
Proceeds from sale of mortgage-backed and credit risk transfer securities	24,265,520	2,387,143
Payment on the sale of credit derivatives	(31,353)	0
Settlement (termination) of futures, currency forwards and interest rate swaps, net	(909,435)	(713,233)
Redemption of Federal Home Loan Bank of Indianapolis stock	74,250	0
Net change in due from counterparties and collateral held payable on derivative instruments	(1,110)	(8,909)
Principal payments from commercial loans held-for-investment	136	7,394
Net cash provided by (used in) investing activities	13,656,206	(4,903,930)
Cash Flows from Financing Activities
Proceeds from issuance of common stock	347,182	486,506
Principal repayments of secured loans	(1,650,000)	0
Proceeds from repurchase agreements	55,623,982	94,974,385
Principal repayments of repurchase agreements	(67,898,255)	(90,504,837)
Net change in due from counterparties and collateral held payable on repurchase agreements	30,123	(3,612)
Payments of deferred costs	(29)	(176)
Payments of dividends	(117,325)	(195,865)
Net cash provided by (used in) financing activities	(13,664,322)	4,756,401
Net change in cash, cash equivalents and restricted cash	135,596	70,357
Cash, cash equivalents and restricted cash, beginning of period	289,502	135,617
Cash, cash equivalents and restricted cash, end of period	425,098	205,974
Supplement Disclosure of Cash Flow Information
Interest paid	145,935	391,153
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	(199,940)	123,091
Dividends declared not paid	11,781	66,974
Increase (decrease) in Agency CMBS purchase commitments	(99,557)	1,124,815
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments	328	(19,598)
Dividend paid in common stock	74,234	0
Offering costs not paid	$ (78)	$ (468)

Organization and Business Opera

Organization and Business Operations	9 Months Ended
	Sep. 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.

Summary of Significant Accounti

Summary of Significant Accounting Policies	9 Months Ended
	Sep. 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. Effective January 1, 2020, we began valuing our interest rate swaps under the market approach through the use of quoted prices available in an active market. We discontinued using the income approach to value our interest rate swaps because the information we previously used was no longer available. 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 nine months ended September 30, 2020 , we recorded $9.0 million and $94.1 million, respectively, of impairment on non-Agency securities that we intended to sell or more likely than not would be required to sell before we recovered 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 September 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 $15,000 and $2.5 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three and nine months ended September 30, 2020, respectively. Accounting Pronouncements Recently Issued

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	9 Months Ended
	Sep. 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 September 30, 2020 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 427,369 427,369 Non-Agency RMBS 13,068 13,068 Investments in unconsolidated ventures 19,975 19,975 Total 460,412 460,412 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	9 Months Ended
	Sep. 30, 2020
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage. We resumed investing in Agency RMBS in July 2020. The following tables summarize our MBS and GSE CRT portfolio by asset type as of September 30, 2020 and December 31, 2019. September 30, 2020 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 5,260,201 278,538 5,538,739 (2,636) 5,536,103 1.91 % Total Agency RMBS pass-through 5,260,201 278,538 5,538,739 (2,636) 5,536,103 1.91 % Agency-CMO (2) 20,637 (20,637) — — — — % Non-Agency CMBS 454,877 (28,114) 426,763 606 427,369 7.61 % Non-Agency RMBS (3)(4)(5) 955,880 (937,114) 18,766 (5,698) 13,068 0.36 % GSE CRT 5,332 — 5,332 (415) 4,917 3.43 % Total 6,696,927 (707,327) 5,989,600 (8,143) 5,981,457 2.32 % (1) Period-end weighted average yield is based on amortized cost as of September 30, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations ("Agency-CMO") are interest-only securities ("Agency IO"). (3) Non-Agency RMBS is 69.6% fixed rate, 29.6% 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 adjustable-rate mortgage ("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, $2.1 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 98.9% of principal/notional balance, 69.3% of amortized cost and 46.4% of fair value. 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 % (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 September 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 September 30, 2020 and December 31, 2019, approximately 94% 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 increased as of September 30, 2020 due to a change in portfolio composition. During the first half of 2020, we sold MBS and GSE CRTs previously accounted for as available-for-sale securities to generate liquidity and reduce leverage given unprecedented market conditions as a result of the COVID-19 pandemic. We resumed investing in Agency RMBS in July 2020 and elected the fair value option for these securities. September 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 — — — 98,666 193,748 292,414 30 year fixed-rate — 5,536,103 5,536,103 754,590 9,769,630 10,524,220 Hybrid ARM — — — 31,522 25,371 56,893 Total RMBS Agency pass-through — 5,536,103 5,536,103 884,778 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 344,911 82,458 427,369 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 7,573 5,495 13,068 715,479 240,192 955,671 GSE CRT — 4,917 4,917 507,445 416,227 923,672 Total 352,484 5,628,973 5,981,457 4,405,426 17,366,360 21,771,786 The components of the carrying value of our MBS and GSE CRT portfolio at September 30, 2020 and December 31, 2019 are presented below. September 30, 2020 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 5,730,464 966,463 6,696,927 Unamortized premium 278,546 — 278,546 Unamortized discount (32,415) (953,458) (985,873) Gross unrealized gains (1) 22,298 190 22,488 Gross unrealized losses (1) (23,503) (7,128) (30,631) Fair value 5,975,390 6,067 5,981,457 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 nine months ended September 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 September 30, 2020 and December 31, 2019 . $ in thousands September 30, 2020 December 31, 2019 Less than one year 112,486 268,536 Greater than one year and less than five years 1,299,035 7,836,620 Greater than or equal to five years 4,569,936 13,666,630 Total 5,981,457 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 September 30, 2020 and December 31, 2019. September 30, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 2,721,331 (11,360) 37 — — — 2,721,331 (11,360) 37 Total Agency RMBS pass-through 2,721,331 (11,360) 37 — — — 2,721,331 (11,360) 37 Non-Agency CMBS 82,458 (11,728) 12 — — — 82,458 (11,728) 12 GSE CRT 4,917 (415) 1 — — — 4,917 (415) 1 Non-Agency RMBS 5,299 (7,072) 10 66 (56) 4 5,365 (7,128) 14 Total (1) 2,814,005 (30,575) 60 66 (56) 4 2,814,071 (30,631) 64 (1) Fair value option has been elected for all securities in an unrealized loss position. 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 September 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 nine months ended September 30, 2020. We recorded impairments of $9.0 million and $94.1 million on our condensed consolidated statement of operations during the three and nine months ended September 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 nine months ended September 30, 2019: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2019 RMBS interest-only securities 1,826 3,778 Non-Agency RMBS (1) — 1,024 Total 1,826 4,802 (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 nine months ended September 30, 2020 and 2019. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Gross realized gains on sale of investments 68,994 4,022 650,859 9,181 Gross realized losses on sale of investments (18,884) (1,485) (1,009,773) (15,730) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis (8,983) — (94,104) — Other-than-temporary impairment losses — (1,826) — (4,802) Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option 23,994 201,702 (537,433) 784,328 Net unrealized gains and losses on commercial loan and loan participation interest (15) — (2,484) — Realized loss on loan participation interest — — (3,808) — Total gain (loss) on investments, net 65,106 202,413 (996,743) 772,977 The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and nine months ended September 30, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $478,000 and $6.3 million for the three and nine months ended September 30, 2020 (2019: $5.2 million and $15.8 million), respectively, that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended September 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 16,098 (2,520) 13,578 Non-Agency CMBS 10,259 3,109 13,368 Non-Agency RMBS 879 (874) 5 GSE CRT 223 (274) (51) Other 7 — 7 Total 27,466 (559) 26,907 For the three months ended September 30, 2019 $ in thousands Coupon Net (Premium Interest Agency RMBS 122,725 (21,526) 101,199 Agency CMBS 25,434 (1,395) 24,039 Non-Agency CMBS 41,972 3,957 45,929 Non-Agency RMBS 12,746 2,725 15,471 GSE CRT 9,913 (2,369) 7,544 Other 756 — 756 Total 213,546 (18,608) 194,938 For the nine months ended September 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 123,537 (24,327) 99,210 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 72,921 12,640 85,561 Non-Agency RMBS 13,163 1,646 14,809 GSE CRT 10,230 (2,560) 7,670 Other 743 — 743 Total 256,416 (14,345) 242,071 For the nine months ended September 30, 2019 $ in thousands Coupon Net (Premium Interest Agency RMBS 374,208 (50,873) 323,335 Agency CMBS 53,767 (2,835) 50,932 Non-Agency CMBS 121,417 10,338 131,755 Non-Agency RMBS 40,890 9,447 50,337 GSE CRT 27,935 (5,399) 22,536 Other 2,272 — 2,272 Total 620,489 (39,322) 581,167

Other Assets

Other Assets	9 Months Ended
	Sep. 30, 2020
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of September 30, 2020 and December 31, 2019: $ in thousands September 30, 2020 December 31, 2019 FHLBI stock — 74,250 Loan participation interest — 44,654 Commercial loan, held-for-investment 21,777 24,055 Investments in unconsolidated ventures 19,975 21,998 Prepaid expenses and other assets 2,184 1,223 Total 43,936 166,180 IAS Services LLC, our wholly-owned subsidiary, was required to purchase and hold Federal Home Loan Bank of Indianapolis ("FHLBI") stock as a condition of membership in the FHLBI. During the nine months ended September 30, 2020, FHLBI fully redeemed our stock at cost in connection with the repayment of our secured loans. We terminated our membership in FHLBI in the third quarter of 2020. We sold our participation interest in a secured loan collateralized by mortgage servicing rights for $21.6 million in April 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 8.66% as of September 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 unrealized losses on this loan of $15,000 and $2.5 million during the three and nine months ended September 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	9 Months Ended
	Sep. 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 fully repaid our secured loans during the nine months ended September 30, 2020. The following tables summarize certain characteristics of our borrowings at September 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 September 30, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 5,243,288 0.23 % 14 Total Borrowings 5,243,288 0.23 % 14 $ 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 Secured Loans During the nine months ended September 30, 2020, IAS Services LLC fully repaid its outstanding secured loans from the FHLBI. 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 required repayment of our secured loans by December 2020 but allowed for prepayment at any time without penalty. These secured loans had variable rates that were based on the FHLBI's short-term cost of funds. For the nine months ended September 30, 2020, IAS Services LLC had weighted average borrowings of $784.3 million with a weighted average borrowing rate of 1.47%. Repurchase Agreements In the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic. 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 calls and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. While certain of our repurchase agreement counterparties permitted our repurchase agreements to remain outstanding while we were not in compliance, other counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. We repaid all of our repurchase agreements that may have been in default as of May 7, 2020. 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. During the three months ended September 30, 2020, we entered into a mutual release of claims with a counterparty resulting in a one-time gain on settlement of a debt obligation of $16.0 million that is reported within net gain (loss) on extinguishment of debt on our condensed consolidated statement of operations.

Collateral Positions

Collateral Positions	9 Months Ended
	Sep. 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, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of September 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 and TBAs accounted for as derivatives is 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 September 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 September 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 September 30, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS 5,509,166 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 3,105 32,568 Total repurchase agreements collateral pledged 5,512,271 19,122,295 Secured Loans: Agency RMBS — 621,471 Non-Agency CMBS — 1,276,418 Restricted cash — 600 Total secured loans collateral pledged — 1,898,489 Interest Rate Swaps, Currency Forward Contracts and TBAs: Agency RMBS — 189,780 Cash 1,230 — Restricted cash 166,193 116,395 Total interest rate swaps, currency forward contracts, and TBAs collateral pledged 167,423 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 5,509,166 21,132,742 Loan participation interest — 44,654 Cash 4,335 32,568 Restricted cash 166,193 116,995 Total collateral pledged 5,679,694 21,326,959 As of Collateral Held September 30, 2020 December 31, 2019 Repurchase Agreements: Cash 670 10 Non-cash collateral 3,249 181 Total repurchase agreements collateral held 3,919 191 Interest Rate Swaps and Currency Forward Contracts: Cash 280 160 Total interest rate swap and currency forward contracts collateral held 280 160 Total collateral held: Cash 950 170 Non-cash collateral 3,249 181 Total collateral held 4,199 351 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. We intend to maintain a level of liquidity that will enable us to meet margin calls. Our repurchase agreement collateral pledged ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/amount outstanding) was 105% as of September 30, 2020 and 109% as of December 31, 2019. Secured Loans Collateral pledged with the FHLBI was held in trust for the benefit of the FHLBI and was not commingled with our other assets. The FHLBI retained the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. We repaid the outstanding balance of our secured loans during the nine months ended September 30, 2020 and did not have any secured loans outstanding as of September 30, 2020. 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. TBAs and Currency Forward Contracts

Derivatives and Hedging Activit

Derivatives and Hedging Activities	9 Months Ended
	Sep. 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 98,225,000 (107,675,000) 4,550,000 Currency Forward Contracts 23,111 70,297 (68,785) 24,623 Credit Derivatives 464,966 — (464,966) — TBA Purchase Contracts — 1,800,000 (900,000) 900,000 TBA Sale Contracts — (900,000) 900,000 — Total 14,488,077 99,195,297 (108,208,751) 5,474,623 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 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 $3.2 million and $17.8 million as a decrease (September 30, 2019: $6.0 million and $17.7 million as a decrease) to interest expense for the three and nine months ended September 30, 2020, respectively. During the next 12 months, we estimate that $22.4 million will be reclas sified as a decrease to interest expense, repurchase agreements. As of September 30, 2020, $58.1 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. As of September 30, 2020 and December 31, 2019, we had interest rate swaps with the following maturities outstand ing: $ in thousands As of September 30, 2020 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2024 1,000,000 0.16 % 0.15 % 3.8 2025 1,250,000 0.23 % 0.15 % 4.9 Thereafter 2,300,000 0.47 % 0.16 % 8.1 Total 4,550,000 0.34 % 0.15 % 6.3 (1) All swaps received variable payments based on 1-month LIBOR as of September 30, 2020. $ 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 September 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 September 30, 2020, we had $24.6 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 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets. We did not hold any GSE CRTs that were accounted for as hybrid financial instruments as of September 30, 2020. At December 31, 2019, terms of the GSE CRT embedded derivatives were: $ in thousands December 31, 2019 Fair value amount 10,281 Notional amount 464,966 Maximum potential amount of future undiscounted payments 464,966 TBAs We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency MBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of September 30, 2020. We did not hold any such instruments as of December 31, 2019. $ in thousands September 30, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 900,000 932,313 934,891 2,578 Net TBA derivatives 900,000 932,313 934,891 2,578 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 September 30, 2020 and December 31, 2019. $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2020 As of December 31, 2019 As of September 30, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 5,265 18,533 Interest Rate Swaps Liability — — Currency Forward Contracts 168 — Currency Forward Contracts — 352 TBAs 2,969 — TBAs 391 — Total Derivative Assets 8,402 18,533 Total Derivative Liabilities 391 352 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 nine months ended September 30, 2020 and 2019. $ in thousands Three Months Ended September 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 (17,223) 478 17,223 478 $ in thousands Three Months Ended September 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 — 5,196 (5,195) 1 $ in thousands Nine Months Ended September 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 (31,354) 6,323 (10,281) (35,312) $ in thousands Nine Months Ended September 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 — 15,846 (10,399) 5,447 The following tables summarizes the effect of interest rate swaps, currency forward contracts, TBAs and futures reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2020 and 2019: $ in thousands Three Months Ended September 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 (4,662) (555) 5,266 49 Currency Forward Contracts (1,643) — 675 (968) TBAs 1,227 — 2,578 3,805 Total (5,078) (555) 8,519 2,886 $ in thousands Three Months Ended September 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 (137,346) 11,715 (15,772) (141,403) Futures Contracts (36,633) — (464) (37,097) Currency Forward Contracts 372 — 884 1,256 Total (173,607) 11,715 (15,352) (177,244) $ in thousands Nine Months Ended September 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 (909,366) 11,369 (13,266) (911,263) Currency Forward Contracts (1,297) — 519 (778) TBAs 1,227 — 2,578 3,805 Total (909,436) 11,369 (10,169) (908,236) $ in thousands Nine Months Ended September 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 (545,069) 23,749 (42,703) (564,023) Futures Contracts (169,274) — 7,990 (161,284) Currency Forward Contracts 1,110 — 760 1,870 Total (713,233) 23,749 (33,953) (723,437)

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	9 Months Ended
	Sep. 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 September 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 assets of $5.3 million as of September 30, 2020 and $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps are not included in the tables below as a result of this characterization of daily variation margin. As of September 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 Assets Derivatives (1)(2) 3,137 — 3,137 (391) (168) 2,578 Total Assets 3,137 — 3,137 (391) (168) 2,578 Liabilities Derivatives (1)(2) (391) — (391) 391 — — Repurchase Agreements (3) (5,243,288) — (5,243,288) 5,243,288 — — Total Liabilities (5,243,679) — (5,243,679) 5,243,679 — — 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 (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (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 derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (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, TBAs and centrally cleared interest rate swaps was $167.4 million and $116.4 million as of September 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 $280,000 and $160,000 at September 30, 2020 and December 31, 2019, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $5.5 billion and $19.1 billion at September 30, 2020 and December 31, 2019, respectively. We pledged cash collateral of $3.1 million and $32.6 million under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively. We held cash collateral of $670,000 and $10,000 under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 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. September 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) — 5,981,457 — — 5,981,457 Derivative assets — 8,402 — — 8,402 Other assets (4) — — 21,777 19,975 41,752 Total assets — 5,989,859 21,777 19,975 6,031,611 Liabilities: Derivative liabilities — 391 — — 391 Total liabilities — 391 — — 391 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 were accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consisted of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. We did not hold any GSE CRTs accounted for as hybrid financial instruments as of September 30, 2020. 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 September 30, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures w as 1.9 years an d 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 September 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 September 30, 2020. We sold our 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 September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Beginning balance (17,223) 17,567 10,281 22,771 Sales and settlements 17,223 — 31,354 — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (17,223) — (31,354) — Unrealized credit derivative gains (losses), net 17,223 (5,195) (10,281) (10,399) Ending balance — 12,372 — 12,372 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 September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Beginning balance — 47,885 44,654 54,981 Purchases/Advances — 5,192 — 5,769 Repayments — (7,962) (19,269) (15,635) Sales — — (21,577) — Total net gains and losses included in net income: Realized losses — — (3,808) — Net unrealized gains and losses — — — — Ending balance — 45,115 — 45,115 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 and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2020 2020 Beginning balance 21,792 24,055 Cumulative effect of adoption of new accounting principle — 342 Repayments — (136) Total net unrealized losses included in net income: Unrealized losses (15) (2,484) Ending balance 21,777 21,777 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 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 September 30, 2020 Technique Input Rate Commercial Loan 21,777 Discounted Cash Flow Discount rate 32.1 % 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 September 30, 2020 and December 31, 2019: September 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 — — 74,250 74,250 Total — — 98,305 98,647 Financial Liabilities Repurchase agreements 5,243,288 5,243,271 17,532,303 17,534,344 Secured loans — — 1,650,000 1,650,000 Total 5,243,288 5,243,271 19,182,303 19,184,344 (1) The carrying value and estimated fair value of our commercial loan as of September 30, 2020 are not applicable for disclosure in this table because 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 sheet as of December 31, 2019, is a Level 3 fair value measurement. The cost of the FHLBI stock approximated its fair value because it could only be sold back to the FHLBI at its discretion at par. FHLBI redeemed our stock at cost in connection with the repayment of our secured loans. We terminated our membership in FHLBI in the third quarter of 2020. • 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 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 market. Accordingly, the interest rates on these secured loans were at market, and thus the carrying amount approximated fair value. We fully repaid our secured loans during the nine months ended September 30, 2020.

Related Party Transactions

Related Party Transactions	9 Months Ended
	Sep. 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 nine months ended September 30, 2020, we reimbursed our Manager $242,000 and $726,000 (September 30, 2019: $250,000 and $646,000), respectively, for costs of support personnel. We have invested $1.3 million as of September 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. During the three and nine months ended September 30, 2020, we sold non-Agency CMBS to affiliates of our Manager for cash proceeds of $40.0 million and recognized a realized gain of $4.1 million. 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 nine months ended September 30, 2020 and 2019. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Incurred costs, prepaid or expensed 3,381 2,186 8,545 5,399 Incurred costs, charged against equity as a cost of raising capital — 236 227 680 Total incurred costs, originally paid by our Manager 3,381 2,422 8,772 6,079

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 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). We issued 25,431 shares of common stock under the equity distribution agreement in the three and nine months ended September 30. 2020 for proceeds of $80,000, net of approximately $2,000 in commissions and fees. During the nine months ended September 30, 2019 , we issued 1,093,136 shares of common stock under the equity distribution agreement for proceeds of $17.2 million, net of approximately $363,000 in commissions and fees. We did not issue any common stock under the equity distribution agreement during the three months ended September 30, 2019. Share Repurchase Program During the nine months ended September 30, 2020 and 2019, we did not repurchase any shares of our common stock. As of September 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 nine months ended September 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 September 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 — 22,812 — 22,812 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (54,615) — (54,615) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (3,243) (3,243) Currency translation adjustments on investment in unconsolidated venture 397 — — 397 Total other comprehensive income (loss) 397 (31,803) (3,243) (34,649) AOCI balance at beginning of period (553) 45,564 61,337 106,348 Total other comprehensive income (loss) 397 (31,803) (3,243) (34,649) AOCI balance at end of period (156) 13,761 58,094 71,699 Three Months Ended September 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 — 14,482 — 14,482 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (954) — (954) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,981) (5,981) Currency translation adjustments on investment in unconsolidated venture 290 — — 290 Total other comprehensive income (loss) 290 13,528 (5,981) 7,837 AOCI balance at beginning of period (83) 230,227 87,869 318,013 Total other comprehensive income (loss) 290 13,528 (5,981) 7,837 AOCI balance at end of period 207 243,755 81,888 325,850 Nine Months Ended September 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 — (217,064) — (217,064) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 17,124 — 17,124 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (17,813) (17,813) Currency translation adjustments on investment in unconsolidated venture 489 — — 489 Total other comprehensive income/(loss) 489 (199,940) (17,813) (217,264) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss) 489 (199,940) (17,813) (217,264) AOCI balance at end of period (156) 13,761 58,094 71,699 Nine Months Ended September 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 — 114,019 — 114,019 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,072 — 9,072 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (17,748) (17,748) Currency translation adjustments on investment in unconsolidated venture (306) — — (306) Total other comprehensive income/(loss) (306) 123,091 (17,748) 105,037 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss) (306) 123,091 (17,748) 105,037 AOCI balance at end of period 207 243,755 81,888 325,850 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 nine months ended September 30, 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 September 10, 2020 0.4844 2,713 October 26, 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 September 16, 2019 0.4844 2,713 October 25, 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 August 5, 2020 0.4844 3,003 September 28, 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 August 1, 2019 0.4844 3,003 September 27, 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 August 5, 2020 0.46875 5,391 September 28, 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 August 1, 2019 0.46875 5,391 September 27, 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 September 30, 2020 0.05 9,070 October 27, 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 September 16, 2019 0.45 64,261 October 28, 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	9 Months Ended
	Sep. 30, 2020
Earnings Per Share [Abstract]
Earnings (Loss) per Common Share	Earnings (Loss) per Common Share Earnings (loss) per share for the three and nine months ended September 30, 2020 and 2019 is computed as follows: Three Months Ended September 30, Nine Months Ended September 30, In thousands except per share amounts 2020 2019 2020 2019 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 96,859 77,896 (1,830,385) 212,809 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 181,350 135,799 168,402 128,574 Effect of dilutive securities: Restricted stock awards 11 13 — 12 Dilutive Shares 181,361 135,812 168,402 128,586 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.53 0.57 (10.87) 1.66 Diluted 0.53 0.57 (10.87) 1.65 The following potential common shares were excluded from diluted earnings per share for the nine months ended September 30, 2020 as the effect would be antidilutive: 11,131 for restricted stock awards.

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 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 September 30, 2020 are discussed below. As discussed in Note 5 - "Other Assets", we have invested $20.0 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 September 30, 2020 and December 31, 2019, our undrawn capital and purchase commitments were $6.7 million and $6.5 million, respectively.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events DividendsWe declared the following dividends on November 5, 2020: a Series A Preferred Stock dividend of $0.4844 per share payable on January 25, 2021 to our stockholders of record as of January 1, 2021, a Series B Preferred Stock dividend of $0.4844 per share payable on December 28, 2020 to our stockholders of record as of December 5, 2020 and a Series C Preferred Stock dividend of $0.46875 per share payable on December 28, 2020 to our stockholders of record as of December 5, 2020.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 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. Effective January 1, 2020, we began valuing our interest rate swaps under the market approach through the use of quoted prices available in an active market. We discontinued using the income approach to value our interest rate swaps because the information we previously used was no longer available.
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 nine months ended September 30, 2020 , we recorded $9.0 million and $94.1 million, respectively, of impairment on non-Agency securities that we intended to sell or more likely than not would be required to sell before we recovered 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 September 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 $15,000 and $2.5 million of unrealized losses on our commercial loan in our condensed consolidated statement of operations during the three and nine months ended September 30, 2020, respectively. Accounting Pronouncements Recently Issued

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	9 Months Ended
	Sep. 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 September 30, 2020 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 427,369 427,369 Non-Agency RMBS 13,068 13,068 Investments in unconsolidated ventures 19,975 19,975 Total 460,412 460,412

Mortgage-Backed and Credit Ri_2

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019. September 30, 2020 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Period- end Weighted Average Yield (1) Agency RMBS: 30 year fixed-rate 5,260,201 278,538 5,538,739 (2,636) 5,536,103 1.91 % Total Agency RMBS pass-through 5,260,201 278,538 5,538,739 (2,636) 5,536,103 1.91 % Agency-CMO (2) 20,637 (20,637) — — — — % Non-Agency CMBS 454,877 (28,114) 426,763 606 427,369 7.61 % Non-Agency RMBS (3)(4)(5) 955,880 (937,114) 18,766 (5,698) 13,068 0.36 % GSE CRT 5,332 — 5,332 (415) 4,917 3.43 % Total 6,696,927 (707,327) 5,989,600 (8,143) 5,981,457 2.32 % (1) Period-end weighted average yield is based on amortized cost as of September 30, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligations ("Agency-CMO") are interest-only securities ("Agency IO"). (3) Non-Agency RMBS is 69.6% fixed rate, 29.6% 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 adjustable-rate mortgage ("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, $2.1 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 98.9% of principal/notional balance, 69.3% of amortized cost and 46.4% of fair value. 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 % (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 September 30, 2020 and December 31, 2019 are presented below. September 30, 2020 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 5,730,464 966,463 6,696,927 Unamortized premium 278,546 — 278,546 Unamortized discount (32,415) (953,458) (985,873) Gross unrealized gains (1) 22,298 190 22,488 Gross unrealized losses (1) (23,503) (7,128) (30,631) Fair value 5,975,390 6,067 5,981,457 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 nine months ended September 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 September 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 September 30, 2020 and December 31, 2019, approximately 94% 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 increased as of September 30, 2020 due to a change in portfolio composition. During the first half of 2020, we sold MBS and GSE CRTs previously accounted for as available-for-sale securities to generate liquidity and reduce leverage given unprecedented market conditions as a result of the COVID-19 pandemic. We resumed investing in Agency RMBS in July 2020 and elected the fair value option for these securities. September 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 — — — 98,666 193,748 292,414 30 year fixed-rate — 5,536,103 5,536,103 754,590 9,769,630 10,524,220 Hybrid ARM — — — 31,522 25,371 56,893 Total RMBS Agency pass-through — 5,536,103 5,536,103 884,778 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 344,911 82,458 427,369 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 7,573 5,495 13,068 715,479 240,192 955,671 GSE CRT — 4,917 4,917 507,445 416,227 923,672 Total 352,484 5,628,973 5,981,457 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 September 30, 2020 and December 31, 2019 . $ in thousands September 30, 2020 December 31, 2019 Less than one year 112,486 268,536 Greater than one year and less than five years 1,299,035 7,836,620 Greater than or equal to five years 4,569,936 13,666,630 Total 5,981,457 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 September 30, 2020 and December 31, 2019. September 30, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number Fair Unrealized Number Fair Unrealized Number Agency RMBS: 30 year fixed-rate 2,721,331 (11,360) 37 — — — 2,721,331 (11,360) 37 Total Agency RMBS pass-through 2,721,331 (11,360) 37 — — — 2,721,331 (11,360) 37 Non-Agency CMBS 82,458 (11,728) 12 — — — 82,458 (11,728) 12 GSE CRT 4,917 (415) 1 — — — 4,917 (415) 1 Non-Agency RMBS 5,299 (7,072) 10 66 (56) 4 5,365 (7,128) 14 Total (1) 2,814,005 (30,575) 60 66 (56) 4 2,814,071 (30,631) 64 (1) Fair value option has been elected for all securities in an unrealized loss position. 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 nine months ended September 30, 2019: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2019 RMBS interest-only securities 1,826 3,778 Non-Agency RMBS (1) — 1,024 Total 1,826 4,802 (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 nine months ended September 30, 2020 and 2019. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Gross realized gains on sale of investments 68,994 4,022 650,859 9,181 Gross realized losses on sale of investments (18,884) (1,485) (1,009,773) (15,730) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis (8,983) — (94,104) — Other-than-temporary impairment losses — (1,826) — (4,802) Net unrealized gains and losses on MBS and GSE CRT accounted for under the fair value option 23,994 201,702 (537,433) 784,328 Net unrealized gains and losses on commercial loan and loan participation interest (15) — (2,484) — Realized loss on loan participation interest — — (3,808) — Total gain (loss) on investments, net 65,106 202,413 (996,743) 772,977
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 nine months ended September 30, 2020 and 2019. GSE CRT interest income excludes coupon interest associated with embedded derivatives of $478,000 and $6.3 million for the three and nine months ended September 30, 2020 (2019: $5.2 million and $15.8 million), respectively, that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended September 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 16,098 (2,520) 13,578 Non-Agency CMBS 10,259 3,109 13,368 Non-Agency RMBS 879 (874) 5 GSE CRT 223 (274) (51) Other 7 — 7 Total 27,466 (559) 26,907 For the three months ended September 30, 2019 $ in thousands Coupon Net (Premium Interest Agency RMBS 122,725 (21,526) 101,199 Agency CMBS 25,434 (1,395) 24,039 Non-Agency CMBS 41,972 3,957 45,929 Non-Agency RMBS 12,746 2,725 15,471 GSE CRT 9,913 (2,369) 7,544 Other 756 — 756 Total 213,546 (18,608) 194,938 For the nine months ended September 30, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 123,537 (24,327) 99,210 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 72,921 12,640 85,561 Non-Agency RMBS 13,163 1,646 14,809 GSE CRT 10,230 (2,560) 7,670 Other 743 — 743 Total 256,416 (14,345) 242,071 For the nine months ended September 30, 2019 $ in thousands Coupon Net (Premium Interest Agency RMBS 374,208 (50,873) 323,335 Agency CMBS 53,767 (2,835) 50,932 Non-Agency CMBS 121,417 10,338 131,755 Non-Agency RMBS 40,890 9,447 50,337 GSE CRT 27,935 (5,399) 22,536 Other 2,272 — 2,272 Total 620,489 (39,322) 581,167

Other Assets (Tables)

Other Assets (Tables)	9 Months Ended
	Sep. 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 September 30, 2020 and December 31, 2019: $ in thousands September 30, 2020 December 31, 2019 FHLBI stock — 74,250 Loan participation interest — 44,654 Commercial loan, held-for-investment 21,777 24,055 Investments in unconsolidated ventures 19,975 21,998 Prepaid expenses and other assets 2,184 1,223 Total 43,936 166,180

Borrowings (Tables)

Borrowings (Tables)	9 Months Ended
	Sep. 30, 2020
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at September 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 September 30, 2020 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements - Agency RMBS 5,243,288 0.23 % 14 Total Borrowings 5,243,288 0.23 % 14 $ 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

Collateral Positions (Tables)

Collateral Positions (Tables)	9 Months Ended
	Sep. 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, currency forward contracts and to-be-announced securities forward contracts ("TBAs") as of September 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 and TBAs accounted for as derivatives is 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 September 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 September 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 September 30, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS 5,509,166 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 3,105 32,568 Total repurchase agreements collateral pledged 5,512,271 19,122,295 Secured Loans: Agency RMBS — 621,471 Non-Agency CMBS — 1,276,418 Restricted cash — 600 Total secured loans collateral pledged — 1,898,489 Interest Rate Swaps, Currency Forward Contracts and TBAs: Agency RMBS — 189,780 Cash 1,230 — Restricted cash 166,193 116,395 Total interest rate swaps, currency forward contracts, and TBAs collateral pledged 167,423 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 5,509,166 21,132,742 Loan participation interest — 44,654 Cash 4,335 32,568 Restricted cash 166,193 116,995 Total collateral pledged 5,679,694 21,326,959 As of Collateral Held September 30, 2020 December 31, 2019 Repurchase Agreements: Cash 670 10 Non-cash collateral 3,249 181 Total repurchase agreements collateral held 3,919 191 Interest Rate Swaps and Currency Forward Contracts: Cash 280 160 Total interest rate swap and currency forward contracts collateral held 280 160 Total collateral held: Cash 950 170 Non-cash collateral 3,249 181 Total collateral held 4,199 351

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	9 Months Ended
	Sep. 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 98,225,000 (107,675,000) 4,550,000 Currency Forward Contracts 23,111 70,297 (68,785) 24,623 Credit Derivatives 464,966 — (464,966) — TBA Purchase Contracts — 1,800,000 (900,000) 900,000 TBA Sale Contracts — (900,000) 900,000 — Total 14,488,077 99,195,297 (108,208,751) 5,474,623
Schedule of Interest Rate Swaps Outstanding	As of September 30, 2020 and December 31, 2019, we had interest rate swaps with the following maturities outstand ing: $ in thousands As of September 30, 2020 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2024 1,000,000 0.16 % 0.15 % 3.8 2025 1,250,000 0.23 % 0.15 % 4.9 Thereafter 2,300,000 0.47 % 0.16 % 8.1 Total 4,550,000 0.34 % 0.15 % 6.3 (1) All swaps received variable payments based on 1-month LIBOR as of September 30, 2020. $ 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 GSE CRT Embedded Derivatives	At December 31, 2019, terms of the GSE CRT embedded derivatives were: $ in thousands December 31, 2019 Fair value amount 10,281 Notional amount 464,966 Maximum potential amount of future undiscounted payments 464,966
Schedule of TBAs	We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency MBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of September 30, 2020. We did not hold any such instruments as of December 31, 2019. $ in thousands September 30, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 900,000 932,313 934,891 2,578 Net TBA derivatives 900,000 932,313 934,891 2,578
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 September 30, 2020 and December 31, 2019. $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2020 As of December 31, 2019 As of September 30, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset 5,265 18,533 Interest Rate Swaps Liability — — Currency Forward Contracts 168 — Currency Forward Contracts — 352 TBAs 2,969 — TBAs 391 — Total Derivative Assets 8,402 18,533 Total Derivative Liabilities 391 352
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 nine months ended September 30, 2020 and 2019. $ in thousands Three Months Ended September 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 (17,223) 478 17,223 478 $ in thousands Three Months Ended September 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 — 5,196 (5,195) 1 $ in thousands Nine Months Ended September 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 (31,354) 6,323 (10,281) (35,312) $ in thousands Nine Months Ended September 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 — 15,846 (10,399) 5,447 The following tables summarizes the effect of interest rate swaps, currency forward contracts, TBAs and futures reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2020 and 2019: $ in thousands Three Months Ended September 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 (4,662) (555) 5,266 49 Currency Forward Contracts (1,643) — 675 (968) TBAs 1,227 — 2,578 3,805 Total (5,078) (555) 8,519 2,886 $ in thousands Three Months Ended September 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 (137,346) 11,715 (15,772) (141,403) Futures Contracts (36,633) — (464) (37,097) Currency Forward Contracts 372 — 884 1,256 Total (173,607) 11,715 (15,352) (177,244) $ in thousands Nine Months Ended September 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 (909,366) 11,369 (13,266) (911,263) Currency Forward Contracts (1,297) — 519 (778) TBAs 1,227 — 2,578 3,805 Total (909,436) 11,369 (10,169) (908,236) $ in thousands Nine Months Ended September 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 (545,069) 23,749 (42,703) (564,023) Futures Contracts (169,274) — 7,990 (161,284) Currency Forward Contracts 1,110 — 760 1,870 Total (713,233) 23,749 (33,953) (723,437)

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	9 Months Ended
	Sep. 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 September 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 assets of $5.3 million as of September 30, 2020 and $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps are not included in the tables below as a result of this characterization of daily variation margin. As of September 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 Assets Derivatives (1)(2) 3,137 — 3,137 (391) (168) 2,578 Total Assets 3,137 — 3,137 (391) (168) 2,578 Liabilities Derivatives (1)(2) (391) — (391) 391 — — Repurchase Agreements (3) (5,243,288) — (5,243,288) 5,243,288 — — Total Liabilities (5,243,679) — (5,243,679) 5,243,679 — — 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 (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (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 derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (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, TBAs and centrally cleared interest rate swaps was $167.4 million and $116.4 million as of September 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 $280,000 and $160,000 at September 30, 2020 and December 31, 2019, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $5.5 billion and $19.1 billion at September 30, 2020 and December 31, 2019, respectively. We pledged cash collateral of $3.1 million and $32.6 million under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively. We held cash collateral of $670,000 and $10,000 under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively.
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 September 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 assets of $5.3 million as of September 30, 2020 and $18.5 million as of December 31, 2019 related to centrally cleared interest rate swaps are not included in the tables below as a result of this characterization of daily variation margin. As of September 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 Assets Derivatives (1)(2) 3,137 — 3,137 (391) (168) 2,578 Total Assets 3,137 — 3,137 (391) (168) 2,578 Liabilities Derivatives (1)(2) (391) — (391) 391 — — Repurchase Agreements (3) (5,243,288) — (5,243,288) 5,243,288 — — Total Liabilities (5,243,679) — (5,243,679) 5,243,679 — — 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 (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (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 derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (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, TBAs and centrally cleared interest rate swaps was $167.4 million and $116.4 million as of September 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 $280,000 and $160,000 at September 30, 2020 and December 31, 2019, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $5.5 billion and $19.1 billion at September 30, 2020 and December 31, 2019, respectively. We pledged cash collateral of $3.1 million and $32.6 million under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively. We held cash collateral of $670,000 and $10,000 under repurchase agreements as of September 30, 2020 and December 31, 2019, respectively.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 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. September 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) — 5,981,457 — — 5,981,457 Derivative assets — 8,402 — — 8,402 Other assets (4) — — 21,777 19,975 41,752 Total assets — 5,989,859 21,777 19,975 6,031,611 Liabilities: Derivative liabilities — 391 — — 391 Total liabilities — 391 — — 391 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 were accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consisted of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. We did not hold any GSE CRTs accounted for as hybrid financial instruments as of September 30, 2020. 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 September 30, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures w as 1.9 years an d 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 September 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 September 30, 2020. We sold our 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 September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Beginning balance (17,223) 17,567 10,281 22,771 Sales and settlements 17,223 — 31,354 — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (17,223) — (31,354) — Unrealized credit derivative gains (losses), net 17,223 (5,195) (10,281) (10,399) Ending balance — 12,372 — 12,372
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 September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Beginning balance — 47,885 44,654 54,981 Purchases/Advances — 5,192 — 5,769 Repayments — (7,962) (19,269) (15,635) Sales — — (21,577) — Total net gains and losses included in net income: Realized losses — — (3,808) — Net unrealized gains and losses — — — — Ending balance — 45,115 — 45,115 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 and ending balance at fair value, which we have valued utilizing Level 3 inputs: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2020 2020 Beginning balance 21,792 24,055 Cumulative effect of adoption of new accounting principle — 342 Repayments — (136) Total net unrealized losses included in net income: Unrealized losses (15) (2,484) Ending balance 21,777 21,777
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 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 September 30, 2020 Technique Input Rate Commercial Loan 21,777 Discounted Cash Flow Discount rate 32.1 %
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 September 30, 2020 and December 31, 2019: September 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 — — 74,250 74,250 Total — — 98,305 98,647 Financial Liabilities Repurchase agreements 5,243,288 5,243,271 17,532,303 17,534,344 Secured loans — — 1,650,000 1,650,000 Total 5,243,288 5,243,271 19,182,303 19,184,344

Related Party Transactions (Tab

Related Party Transactions (Tables)	9 Months Ended
	Sep. 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 nine months ended September 30, 2020 and 2019. Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2020 2019 2020 2019 Incurred costs, prepaid or expensed 3,381 2,186 8,545 5,399 Incurred costs, charged against equity as a cost of raising capital — 236 227 680 Total incurred costs, originally paid by our Manager 3,381 2,422 8,772 6,079

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	9 Months Ended
	Sep. 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 September 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 — 22,812 — 22,812 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (54,615) — (54,615) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (3,243) (3,243) Currency translation adjustments on investment in unconsolidated venture 397 — — 397 Total other comprehensive income (loss) 397 (31,803) (3,243) (34,649) AOCI balance at beginning of period (553) 45,564 61,337 106,348 Total other comprehensive income (loss) 397 (31,803) (3,243) (34,649) AOCI balance at end of period (156) 13,761 58,094 71,699 Three Months Ended September 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 — 14,482 — 14,482 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (954) — (954) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,981) (5,981) Currency translation adjustments on investment in unconsolidated venture 290 — — 290 Total other comprehensive income (loss) 290 13,528 (5,981) 7,837 AOCI balance at beginning of period (83) 230,227 87,869 318,013 Total other comprehensive income (loss) 290 13,528 (5,981) 7,837 AOCI balance at end of period 207 243,755 81,888 325,850 Nine Months Ended September 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 — (217,064) — (217,064) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 17,124 — 17,124 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (17,813) (17,813) Currency translation adjustments on investment in unconsolidated venture 489 — — 489 Total other comprehensive income/(loss) 489 (199,940) (17,813) (217,264) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss) 489 (199,940) (17,813) (217,264) AOCI balance at end of period (156) 13,761 58,094 71,699 Nine Months Ended September 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 — 114,019 — 114,019 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,072 — 9,072 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (17,748) (17,748) Currency translation adjustments on investment in unconsolidated venture (306) — — (306) Total other comprehensive income/(loss) (306) 123,091 (17,748) 105,037 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss) (306) 123,091 (17,748) 105,037 AOCI balance at end of period 207 243,755 81,888 325,850
Schedule of Dividends Declared	The tables below summarize the dividends we declared during the nine months ended September 30, 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 September 10, 2020 0.4844 2,713 October 26, 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 September 16, 2019 0.4844 2,713 October 25, 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 August 5, 2020 0.4844 3,003 September 28, 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 August 1, 2019 0.4844 3,003 September 27, 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 August 5, 2020 0.46875 5,391 September 28, 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 August 1, 2019 0.46875 5,391 September 27, 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 September 30, 2020 0.05 9,070 October 27, 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 September 16, 2019 0.45 64,261 October 28, 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)	9 Months Ended
	Sep. 30, 2020
Earnings Per Share [Abstract]
Schedule of Earnings (Loss) per Common Share	Earnings (loss) per share for the three and nine months ended September 30, 2020 and 2019 is computed as follows: Three Months Ended September 30, Nine Months Ended September 30, In thousands except per share amounts 2020 2019 2020 2019 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 96,859 77,896 (1,830,385) 212,809 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 181,350 135,799 168,402 128,574 Effect of dilutive securities: Restricted stock awards 11 13 — 12 Dilutive Shares 181,361 135,812 168,402 128,586 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.53 0.57 (10.87) 1.66 Diluted 0.53 0.57 (10.87) 1.65

Organization and Business Ope_2

Organization and Business Operations (Detail)	9 Months Ended
	Sep. 30, 2020segment
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Number of operating segments	1
Minimum distribution percentage of taxable income to qualify for REIT	90.00%

Summary of Significant Accoun_3

Summary of Significant Accounting Policies (Details) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Sep. 30, 2020USD ($)	Sep. 30, 2019USD ($)	Jun. 30, 2020USD ($)	Mar. 31, 2020USD ($)	Jan. 01, 2020USD ($)	Dec. 31, 2019USD ($)loan	Jun. 30, 2019USD ($)	Mar. 31, 2019USD ($)	Dec. 31, 2018USD ($)
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	$ 8,983	$ 0	$ 94,104	$ 0
Number of loans measured at amortized cost | loan								1
Total stockholders' equity	1,211,140	2,911,032	1,211,140	2,911,032	$ 1,157,792	$ 1,410,381		$ 2,931,899	$ 2,670,101	$ 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	(15)		(2,500)
Retained Earnings (Distributions in excess of earnings)
Debt Securities, Available-for-sale [Line Items]
Total stockholders' equity	(2,739,705)	$ (849,219)	(2,739,705)	$ (849,219)	$ (2,827,494)	$ (2,523,923)		(814,483)	$ (862,852)	$ (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	$ (15)		$ (2,484)

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Variable Interest Entity
Carrying Amount	$ 5,981,457	$ 21,771,786
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	460,412
Company's Maximum Risk of Loss	460,412
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	427,369
Company's Maximum Risk of Loss	427,369
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	13,068
Company's Maximum Risk of Loss	13,068
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	19,975
Company's Maximum Risk of Loss	$ 19,975

Mortgage-Backed and Credit Ri_3

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($)	3 Months Ended	9 Months Ended
	Mar. 31, 2020	Sep. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 6,696,927,000	$ 23,354,075,000
Unamortized Premium (Discount)		(707,327,000)	(2,321,799,000)
Amortized Cost		5,989,600,000	21,032,276,000
Unrealized Gain/ (Loss), net		(8,143,000)	739,510,000
Fair value		$ 5,981,457,000	$ 21,771,786,000
Marketable Securities, Weighted Average Yield Rate		2.32%	3.85%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	56.30%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	6.40%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	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		$ 2,100,000	$ 120,200,000
Percentage of Non-Agency RMBS interest-only, principal balance	56.20%	98.90%
Percentage of Non-Agency RMBS interest-only, amortized cost	1.90%	69.30%
Percentage of Non-Agency RMBS interest only, fair value	1.30%	46.40%
Total RMBS Agency pass-through
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 5,260,201,000	10,246,789,000
Unamortized Premium (Discount)		278,538,000	310,695,000
Amortized Cost		5,538,739,000	10,557,484,000
Unrealized Gain/ (Loss), net		(2,636,000)	316,043,000
Fair value		$ 5,536,103,000	$ 10,873,527,000
Marketable Securities, Weighted Average Yield Rate		1.91%	3.61%
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance			$ 280,426,000
Unamortized Premium (Discount)			1,666,000
Amortized Cost			282,092,000
Unrealized Gain/ (Loss), net			10,322,000
Fair value			$ 292,414,000
Marketable Securities, Weighted Average Yield Rate			3.34%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 5,260,201,000	$ 9,911,339,000
Unamortized Premium (Discount)		278,538,000	308,427,000
Amortized Cost		5,538,739,000	10,219,766,000
Unrealized Gain/ (Loss), net		(2,636,000)	304,454,000
Fair value		$ 5,536,103,000	$ 10,524,220,000
Marketable Securities, Weighted Average Yield Rate		1.91%	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		$ 20,637,000	$ 883,122,000
Unamortized Premium (Discount)		(20,637,000)	(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		454,877,000	4,464,525,000
Unamortized Premium (Discount)		(28,114,000)	(772,295,000)
Amortized Cost		426,763,000	3,692,230,000
Unrealized Gain/ (Loss), net		606,000	131,244,000
Fair value		$ 427,369,000	$ 3,823,474,000
Marketable Securities, Weighted Average Yield Rate		7.61%	5.16%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 955,880,000	$ 2,340,119,000
Unamortized Premium (Discount)		(937,114,000)	(1,487,603,000)
Amortized Cost		18,766,000	852,516,000
Unrealized Gain/ (Loss), net		(5,698,000)	103,155,000
Fair value		$ 13,068,000	$ 955,671,000
Marketable Securities, Weighted Average Yield Rate		0.36%	6.98%
Percentage of non-agency securities classified as fixed rate	57.70%	69.60%
Percentage of non-agency securities classified as variable rate	37.00%	29.60%
Percentage of non-agency securities classified as floating rate	5.30%	0.80%
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance		$ 5,332,000	$ 858,244,000
Unamortized Premium (Discount)		0	19,945,000
Amortized Cost		5,332,000	878,189,000
Unrealized Gain/ (Loss), net		(415,000)	45,483,000
Fair value		$ 4,917,000	$ 923,672,000
Marketable Securities, Weighted Average Yield Rate		3.43%	2.78%

Mortgage-Backed and Credit Ri_4

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019	Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]
Percentage of MBS and GSE CRT are accounted for under the fair value option	94.00%		94.00%		80.00%
Impairment on non-Agency securities intended to sell or more likely than not will be required to sell before recovery	$ 8,983	$ 0	$ 94,104	$ 0

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	Sep. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 352,484	$ 4,405,426
Securities under Fair Value Option	5,628,973	17,366,360
Total Fair Value	5,981,457	21,771,786
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	98,666
Securities under Fair Value Option	0	193,748
Total Fair Value		292,414
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	754,590
Securities under Fair Value Option	5,536,103	9,769,630
Total Fair Value	5,536,103	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
Total RMBS Agency pass-through
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	884,778
Securities under Fair Value Option	5,536,103	9,988,749
Total Fair Value	5,536,103	10,873,527
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	344,911	2,150,991
Securities under Fair Value Option	82,458	1,672,483
Total Fair Value	427,369	3,823,474
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	7,573	715,479
Securities under Fair Value Option	5,495	240,192
Total Fair Value	13,068	955,671
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	507,445
Securities under Fair Value Option	4,917	416,227
Total Fair Value	$ 4,917	$ 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	Sep. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 6,696,927	$ 23,354,075
Unamortized premium	278,546	440,503
Unamortized discount	(985,873)	(2,762,302)
Gross unrealized gains	22,488	812,106
Gross unrealized losses	(30,631)	(72,596)
Fair value	5,981,457	21,771,786
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	5,730,464	20,957,410
Unamortized premium	278,546	440,503
Unamortized discount	(32,415)	(419,983)
Gross unrealized gains	22,298	807,324
Gross unrealized losses	(23,503)	(66,064)
Fair value	5,975,390	21,719,190
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	966,463	2,396,665
Unamortized premium	0	0
Unamortized discount	(953,458)	(2,342,319)
Gross unrealized gains	190	4,782
Gross unrealized losses	(7,128)	(6,532)
Fair value	$ 6,067	$ 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	Sep. 30, 2020	Dec. 31, 2019
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 112,486	$ 268,536
Greater than one year and less than five years	1,299,035	7,836,620
Greater than or equal to five years	4,569,936	13,666,630
Fair value	$ 5,981,457	$ 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	Sep. 30, 2020USD ($)security	Dec. 31, 2019USD ($)security
Fair Value
Less than 12 Months	$ 2,814,005	$ 2,375,171
12 Months or More	66	155,270
Total	2,814,071	2,530,441
Unrealized Losses
Less than 12 Months	(30,575)	(58,717)
12 Months or More	(56)	(13,879)
Total	$ (30,631)	$ (72,596)
Number of Securities
Less than 12 Months (in securities) | security	60	116
12 Months or More (in securities) | security	4	34
Total (in securities) | security	64	150
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
30 year fixed-rate
Fair Value
Less than 12 Months	$ 2,721,331	$ 255,649
12 Months or More	0	34,009
Total	2,721,331	289,658
Unrealized Losses
Less than 12 Months	(11,360)	(207)
12 Months or More	0	(256)
Total	$ (11,360)	$ (463)
Number of Securities
Less than 12 Months (in securities) | security	37	3
12 Months or More (in securities) | security	0	5
Total (in securities) | security	37	8
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
Total RMBS Agency pass-through
Fair Value
Less than 12 Months	$ 2,721,331	$ 257,040
12 Months or More	0	35,895
Total	2,721,331	292,935
Unrealized Losses
Less than 12 Months	(11,360)	(210)
12 Months or More	0	(305)
Total	$ (11,360)	$ (515)
Number of Securities
Less than 12 Months (in securities) | security	37	6
12 Months or More (in securities) | security	0	12
Total (in securities) | security	37	18
Fair value option, fair value		$ 271,300
Fair value option, unrealized losses		268
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
Non-Agency CMBS
Fair Value
Less than 12 Months	$ 82,458	$ 203,129
12 Months or More	0	101,021
Total	82,458	304,150
Unrealized Losses
Less than 12 Months	(11,728)	(2,783)
12 Months or More	0	(11,425)
Total	$ (11,728)	$ (14,208)
Number of Securities
Less than 12 Months (in securities) | security	12	19
12 Months or More (in securities) | security	0	7
Total (in securities) | security	12	26
Fair value option, fair value		$ 181,500
Fair value option, unrealized losses		2,800
Non-Agency RMBS
Fair Value
Less than 12 Months	$ 5,299	26,283
12 Months or More	66	12,199
Total	5,365	38,482
Unrealized Losses
Less than 12 Months	(7,072)	(3,935)
12 Months or More	(56)	(636)
Total	$ (7,128)	$ (4,571)
Number of Securities
Less than 12 Months (in securities) | security	10	14
12 Months or More (in securities) | security	4	2
Total (in securities) | security	14	16
Fair value option, fair value		$ 17,600
Fair value option, unrealized losses		261
GSE CRT
Fair Value
Less than 12 Months	$ 4,917	77,044
12 Months or More	0	0
Total	4,917	77,044
Unrealized Losses
Less than 12 Months	(415)	(74)
12 Months or More	0	0
Total	$ (415)	$ (74)
Number of Securities
Less than 12 Months (in securities) | security	1	4
12 Months or More (in securities) | security	0	0
Total (in securities) | security	1	4
Agency IO
Number of Securities
Fair value option, fair value		$ 11,100
Fair value option, unrealized losses		2,300
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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 0	$ 1,826	$ 0	$ 4,802
RMBS interest-only securities
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses		1,826		3,778
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses		$ 0		$ 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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Investments, Debt and Equity Securities [Abstract]
Gross realized gains on sale of investments	$ 68,994	$ 4,022	$ 650,859	$ 9,181
Gross realized losses on sale of investments	(18,884)	(1,485)	(1,009,773)	(15,730)
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis	(8,983)	0	(94,104)	0
Other-than-temporary impairment losses	0	(1,826)	0	(4,802)
Net unrealized gains and losses on securities accounted for under the fair value option	23,994	201,702	(537,433)	784,328
Net unrealized gains and losses on commercial loan and loan participation interest	(15)	0	(2,484)	0
Realized loss on loan participation interest	0	0	(3,808)	0
Total gain (loss) on investments, net	$ 65,106	$ 202,413	$ (996,743)	$ 772,977

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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 27,466	$ 213,546	$ 256,416	$ 620,489
Net (Premium Amortization)/Discount Accretion	(559)	(18,608)	(14,345)	(39,322)
Interest Income	26,907	194,938	242,071	581,167
Not Designated as Hedging Instrument
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives	(555)	11,715	11,369	23,749
Embedded Credit Derivative | Not Designated as Hedging Instrument
Debt Securities, Available-for-sale [Line Items]
Coupon interest associated with embedded derivatives	478	5,196	6,323	15,846
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	16,098	122,725	123,537	374,208
Net (Premium Amortization)/Discount Accretion	(2,520)	(21,526)	(24,327)	(50,873)
Interest Income	13,578	101,199	99,210	323,335
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest		25,434	35,822	53,767
Net (Premium Amortization)/Discount Accretion		(1,395)	(1,744)	(2,835)
Interest Income		24,039	34,078	50,932
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	10,259	41,972	72,921	121,417
Net (Premium Amortization)/Discount Accretion	3,109	3,957	12,640	10,338
Interest Income	13,368	45,929	85,561	131,755
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	879	12,746	13,163	40,890
Net (Premium Amortization)/Discount Accretion	(874)	2,725	1,646	9,447
Interest Income	5	15,471	14,809	50,337
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	223	9,913	10,230	27,935
Net (Premium Amortization)/Discount Accretion	(274)	(2,369)	(2,560)	(5,399)
Interest Income	(51)	7,544	7,670	22,536
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	7	756	743	2,272
Net (Premium Amortization)/Discount Accretion	0	0	0	0
Interest Income	$ 7	$ 756	$ 743	$ 2,272

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
FHLBI stock	$ 0	$ 74,250
Loan participation interest	0	44,654
Commercial loan, held-for-investment	21,777	24,055
Investments in unconsolidated ventures	19,975	21,998
Prepaid expenses and other assets	2,184	1,223
Total	$ 43,936	$ 166,180

Other Assets - Additional Infor

Other Assets - Additional Information (Details) - USD ($) $ in Thousands	Apr. 01, 2020	Sep. 30, 2020	Sep. 30, 2020	Dec. 31, 2019	Jun. 30, 2020	Mar. 31, 2020	Jan. 01, 2020	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Total stockholders' equity		$ 1,211,140	$ 1,211,140	$ 2,931,899	$ 1,157,792	$ 1,410,381		$ 2,911,032	$ 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		(2,739,705)	$ (2,739,705)	(814,483)	$ (2,827,494)	$ (2,523,923)		$ (849,219)	$ (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			8.66%	10.19%
Unrealized gain (loss) on investments in commercial loan		$ (15)	$ (2,500)

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 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	$ 0	$ 1,650,000
Total Borrowings
Amount outstanding	$ 5,243,288	$ 19,182,303
Weighted average interest rate	0.23%	2.09%
Weighted average remaining maturity	14 days	172 days
Carrying Value
Repurchase Agreements:
Repurchase agreements	$ 5,243,288	$ 17,532,303
Agency RMBS
Repurchase Agreements:
Amount outstanding		$ 9,666,964
Weighted Average Interest Rate	0.23%	1.95%
Weighted average remaining maturity	14 days	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		$ 1,650,000
Weighted average interest rate		1.93%
Weighted average remaining maturity		1587 days

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($) $ in Millions	3 Months Ended	9 Months Ended
	Sep. 30, 2020	Sep. 30, 2020
Repurchase Agreement Counterparty
Gain on extinguishment of debt, repurchase agreements	$ 16
FHLBI
Repurchase Agreement Counterparty
Average outstanding borrowings from FHLBI		$ 784.3
FHLBI weighted average interest rate on advances		1.47%

Collateral Positions (Details)

Collateral Positions (Details) - USD ($)	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Repurchase Agreements	$ 5,512,271,000	$ 19,122,295,000
Secured Loans	0	1,898,489,000
Total collateral pledged	5,679,694,000	21,326,959,000
Cash, collateral held	950,000	170,000
Non-cash collateral, collateral held	3,249,000	181,000
Total collateral held	$ 4,199,000	$ 351,000
Repurchase agreement collateral pledged ratio	105.00%	109.00%
Cash
Derivative [Line Items]
Repurchase Agreements		$ 32,568,000
Total collateral pledged	$ 4,335,000	32,568,000
Restricted cash
Derivative [Line Items]
Total collateral pledged	166,193,000	116,995,000
Interest Rate Swaps, Currency Forward Contracts and TBAs
Derivative [Line Items]
Interest Rate Swaps, Currency Forward Contracts and TBAs	167,423,000	306,175,000
Interest Rate Swaps, Currency Forward Contracts and TBAs | Cash
Derivative [Line Items]
Interest Rate Swaps, Currency Forward Contracts and TBAs	1,230,000	0
Interest Rate Swaps, Currency Forward Contracts and TBAs | Restricted cash
Derivative [Line Items]
Interest Rate Swaps, Currency Forward Contracts and TBAs	166,193,000	116,395,000
Repurchase agreement
Derivative [Line Items]
Cash, collateral held		10,000
Non-cash collateral, collateral held	3,249,000	181,000
Total collateral held	3,919,000	191,000
Interest Rate Swaps
Derivative [Line Items]
Cash, collateral held	280,000	160,000
Total collateral held	280,000	160,000
Agency RMBS
Derivative [Line Items]
Repurchase Agreements	5,509,166,000	10,187,555,000
Secured Loans	0	621,471,000
Agency RMBS | Interest Rate Swaps, Currency Forward Contracts and TBAs
Derivative [Line Items]
Interest Rate Swaps, Currency Forward Contracts and TBAs	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	0	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	0	600,000
Mortgage-backed and credit risk transfer securities
Derivative [Line Items]
Total collateral pledged	$ 5,509,166,000	$ 21,132,742,000

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands	9 Months Ended
	Sep. 30, 2020USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	$ 14,488,077
Additions	99,195,297
Settlement, Termination, Expiration or Exercise	(108,208,751)
Notional Amount as of September 30, 2020	5,474,623
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	14,000,000
Additions	98,225,000
Settlement, Termination, Expiration or Exercise	(107,675,000)
Notional Amount as of September 30, 2020	4,550,000
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	23,111
Additions	70,297
Settlement, Termination, Expiration or Exercise	(68,785)
Notional Amount as of September 30, 2020	24,623
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	464,966
Additions	0
Settlement, Termination, Expiration or Exercise	(464,966)
Notional Amount as of September 30, 2020	0
TBA Purchase Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	0
Additions	1,800,000
Settlement, Termination, Expiration or Exercise	(900,000)
Notional Amount as of September 30, 2020	900,000
TBA Sale Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2019	0
Additions	(900,000)
Settlement, Termination, Expiration or Exercise	900,000
Notional Amount as of September 30, 2020	$ 0

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Jun. 30, 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	$ 2,886	$ (177,244)	$ (908,236)	$ (723,437)
Amount reclassified to interest expenses within Next 12 months	22,400		22,400
Stockholders' Equity Attributable to Parent	1,211,140	2,911,032	1,211,140	2,911,032	$ 1,157,792	$ 1,410,381	$ 2,931,899	$ 2,670,101	$ 2,671,714	$ 2,286,697
Notional amount	5,474,623		5,474,623				14,488,077
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Stockholders' Equity Attributable to Parent	58,094	81,888	58,094	81,888	$ 61,337		75,907	$ 87,869		$ 99,636
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	24,623		24,623				23,111
Interest Rate Swaps
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	3,200	$ 6,000	17,800	$ 17,700
Notional amount	4,550,000		$ 4,550,000				14,000,000
Interest Rate Swaps | Minimum
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Debt Instrument, Term			1 month
Interest Rate Swaps | Maximum
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Debt Instrument, Term			6 months
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 24,600		$ 24,600				$ 23,100

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional amount	$ 5,474,623	$ 14,488,077
Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 4,550,000	$ 14,000,000
Weighted Average Fixed Pay Rate	0.34%	1.47%
Weighted Average Receive Rate	0.15%	1.79%
Weighted Average Years to Maturity	6 years 3 months 18 days	5 years 2 months 12 days
Next twelve months | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 1,900,000
Weighted Average Fixed Pay Rate		1.67%
Weighted Average Receive Rate		1.84%
Weighted Average Years to Maturity		7 months 6 days
Year two | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 2,500,000
Weighted Average Fixed Pay Rate		1.40%
Weighted Average Receive Rate		1.77%
Weighted Average Years to Maturity		1 year 3 months 18 days
Year three | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 800,000
Weighted Average Fixed Pay Rate		1.53%
Weighted Average Receive Rate		1.91%
Weighted Average Years to Maturity		2 years 10 months 24 days
Year four | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,000,000	$ 2,400,000
Weighted Average Fixed Pay Rate	0.16%	1.44%
Weighted Average Receive Rate	0.15%	1.72%
Weighted Average Years to Maturity	3 years 9 months 18 days	3 years 10 months 24 days
Year five | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 1,250,000	$ 900,000
Weighted Average Fixed Pay Rate	0.23%	1.49%
Weighted Average Receive Rate	0.15%	1.76%
Weighted Average Years to Maturity	4 years 10 months 24 days	4 years 9 months 18 days
Thereafter | Interest Rate Swaps
Derivative [Line Items]
Notional amount	$ 2,300,000	$ 5,500,000
Weighted Average Fixed Pay Rate	0.47%	1.44%
Weighted Average Receive Rate	0.16%	1.78%
Weighted Average Years to Maturity	8 years 1 month 6 days	9 years 6 months
1-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 10,700,000
3-Month LIBOR | Interest Rate Swaps
Derivative [Line Items]
Notional amount		$ 3,300,000

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional amount	$ 5,474,623	$ 14,488,077
GSE CRT | GSE CRT Embedded Derivatives
Derivative [Line Items]
Fair value amount		10,281
Notional amount		464,966
Maximum potential amount of future undiscounted payments		$ 464,966

Derivatives and Hedging Activ_7

Derivatives and Hedging Activities - TBAs (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Notional Amount	$ 5,474,623	$ 14,488,077
TBA Purchase Contracts
Derivative [Line Items]
Notional Amount	900,000	$ 0
Implied Cost Basis	932,313
Implied Market Value	934,891
Net Carrying Value	2,578
Net TBA derivatives
Derivative [Line Items]
Notional Amount	900,000
Implied Cost Basis	932,313
Implied Market Value	934,891
Net Carrying Value	$ 2,578

Derivatives and Hedging Activ_8

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Derivatives, Fair Value
Derivative assets, at fair value	$ 8,402	$ 18,533
Derivative liabilities, at fair value	391	352
Interest Rate Swaps
Derivatives, Fair Value
Derivative assets, at fair value	5,265	18,533
Derivative liabilities, at fair value	0	0
Currency Forward Contracts
Derivatives, Fair Value
Derivative assets, at fair value	168	0
Derivative liabilities, at fair value	0	352
TBAs
Derivatives, Fair Value
Derivative assets, at fair value	2,969	0
Derivative liabilities, at fair value	$ 391	$ 0

Derivatives and Hedging Activ_9

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Derivative Instruments, Gain (Loss)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ 2,886	$ (177,244)	$ (908,236)	$ (723,437)
Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	3,200	6,000	17,800	17,700
TBAs
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	1,227		1,227
Contractual net interest income (expense)	0		0
Unrealized gain (loss), net	2,578		2,578
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	3,805		3,805
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(5,078)	(173,607)	(909,436)	(713,233)
Contractual net interest income (expense)	(555)	11,715	11,369	23,749
Unrealized gain (loss), net	8,519	(15,352)	(10,169)	(33,953)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	2,886	(177,244)	(908,236)	(723,437)
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(17,223)	0	(31,354)	0
Contractual net interest income (expense)	478	5,196	6,323	15,846
Unrealized gain (loss), net	17,223	(5,195)	(10,281)	(10,399)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	478	1	(35,312)	5,447
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(4,662)	(137,346)	(909,366)	(545,069)
Contractual net interest income (expense)	(555)	11,715	11,369	23,749
Unrealized gain (loss), net	5,266	(15,772)	(13,266)	(42,703)
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	49	(141,403)	(911,263)	(564,023)
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net		(36,633)		(169,274)
Contractual net interest income (expense)		0		0
Unrealized gain (loss), net		(464)		7,990
Derivative gain (loss) reclassified as a decrease (increase) to interest expense		(37,097)		(161,284)
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(1,643)	372	(1,297)	1,110
Contractual net interest income (expense)	0	0	0	0
Unrealized gain (loss), net	675	884	519	760
Derivative gain (loss) reclassified as a decrease (increase) to interest expense	$ (968)	$ 1,256	$ (778)	$ 1,870

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Derivative [Line Items]
Derivative assets, at fair value	$ 8,402	$ 18,533
Interest Rate Swaps
Derivative [Line Items]
Derivative assets, at fair value	5,265	18,533
Central Clearing Counterparty
Derivative [Line Items]
Derivative assets, at fair value	$ 5,300	$ 18,500

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Liabilities) (Detail) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Derivatives Asset
Gross Amounts of Recognized Assets (Liabilities)	$ 3,137
Gross Amounts Offset in the Balance Sheets	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	3,137
Financial Instruments	(391)
Cash Collateral (Received) Pledged	(168)
Net Amount	2,578
Total Assets
Gross Amounts of Recognized Assets (Liabilities)	3,137
Gross Amounts Offset in the Balance Sheets	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	3,137
Financial Instruments	(391)
Cash Collateral (Received) Pledged	(168)
Net Amount	2,578
Derivatives Liability
Gross Amounts of Recognized Assets (Liabilities)	(391)	$ (352)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(391)	(352)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	391	0
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	320
Net Amount	0	(32)
Repurchase Agreements
Gross Amounts of Recognized Assets (Liabilities)	(5,243,288)	(17,532,303)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(5,243,288)	(17,532,303)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	5,243,288	17,532,303
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Secured Loans
Gross Amounts of Recognized Assets (Liabilities)		(1,650,000)
Gross Amounts Offset in the Balance Sheets		0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets		(1,650,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments		1,650,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted		0
Net Amount		0
Total Borrowings
Gross Amounts of Recognized Assets (Liabilities)	(5,243,679)	(19,182,655)
Gross Amounts Offset in the Balance Sheets	0	0
Net Amounts of Assets (Liabilities) Presented in the Balance Sheets	(5,243,679)	(19,182,655)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	5,243,679	19,182,303
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	320
Net Amount	0	(32)
Cash, collateral held	950	170
Fair value of securities pledged under repurchase agreements, excluding cash collateral	5,500,000	19,100,000
Collateral pledged against secured loans	0	1,898,489
Repurchase agreement
Total Borrowings
Cash collateral pledged	3,105	32,600
Cash, collateral held	670	10
Restricted cash
Total Borrowings
Collateral pledged against secured loans	0	600
IAS Services LLC
Total Borrowings
Collateral pledged against secured loans		1,900,000
Centrally Cleared Swaps
Total Borrowings
Securities pledged as collateral, fair value		189,800
Currency Forward Contracts and Centrally Cleared Interest Rate Swaps
Total Borrowings
Cash collateral pledged	167,400	116,400
Interest Rate Swaps
Total Borrowings
Cash, collateral held	$ 280	$ 160

Fair Value of Financial Instr_3

Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2020	Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	$ 5,981,457	$ 21,771,786
Derivative assets	3,137
Derivative liabilities	$ 391	$ 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	21,777	24,055
GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	4,917	923,672
Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives in an asset position		10,281
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	5,981,457	21,771,786
Derivative assets	8,402	18,533
Other assets	41,752	66,652
Total assets	6,031,611	21,856,971
Derivative liabilities	391	352
Total liabilities	391	352
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	0	0
Derivative assets	0	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	5,981,457	21,761,505
Derivative assets	8,402	18,533
Other assets	0	0
Total assets	5,989,859	21,780,038
Derivative liabilities	391	352
Total liabilities	391	352
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities	0	10,281
Derivative assets	0	0
Other assets	21,777	44,654
Total assets	21,777	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		10,300
Embedded derivatives in an asset position		19,500
Embedded derivatives in a liability position		9,200
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 19,975	$ 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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 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	$ (17,223)	$ 17,567	10,281	22,771
Sales and settlements	17,223	0	31,354	0
Realized credit derivative gains (losses), net	(17,223)	0	(31,354)	0
Unrealized credit derivative gains (losses), net	17,223	(5,195)	(10,281)	(10,399)
Ending balance	$ 0	$ 12,372	$ 0	$ 12,372

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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 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	$ 0	$ 47,885	44,654	54,981
Purchases/Advances	0	5,192	0	5,769
Repayments	0	(7,962)	(19,269)	(15,635)
Sales	0	0	(21,577)	0
Realized credit derivative gains (losses), net	0	0	(3,808)	0
Net unrealized gains and losses	0	0
Ending balance	0	$ 45,115	0	$ 45,115
Commercial loan
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	21,792		24,055
Repayments	0		(136)
Net unrealized gains and losses	(15)		(2,484)
Ending balance	21,777		21,777
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	12 Months Ended
	Dec. 31, 2019USD ($)	Sep. 30, 2020USD ($)
Fair Value Inputs, Assets, Quantitative Information
Commercial Loan	$ 24,055	$ 21,777
Level 3
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives	$ 10,281
Level 3 | Minimum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input, term	1 year 1 month 6 days
Level 3 | Maximum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input, term	4 years 2 months 12 days
Level 3 | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input, term	2 years 10 months 24 days
Measurement Input, Discount Rate | Level 3
Fair Value Inputs, Assets, Quantitative Information
Loan receivable, measurement input		0.321

Fair Value of Financial Instr_7

Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Carrying Value
Financial Assets
Commercial loan, held-for-investment		$ 24,055
FHLBI stock	$ 0	74,250
Total assets	0	98,305
Financial Liabilities
Repurchase agreements	5,243,288	17,532,303
Secured loans	0	1,650,000
Total	5,243,288	19,182,303
Estimated Fair Value
Financial Assets
Commercial loan, held-for-investment		24,397
FHLBI stock	0	74,250
Total assets	0	98,647
Financial Liabilities
Repurchase agreements	5,243,271	17,534,344
Secured loans	0	1,650,000
Total	$ 5,243,271	$ 19,184,344

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Dec. 31, 2019
Related Party Transaction [Line Items]
Management fee – related party	$ 4,111	$ 8,740	$ 24,857	$ 27,644
Investment in money market or mutual funds managed by affiliates of a related party	258,905		258,905		$ 258,905	$ 172,507
Management fee as a percentage of stockholders' equity per annum					1.50%
Proceeds from sale of mortgage-backed and credit risk transfer securities			24,265,520	2,387,143
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction [Line Items]
Management fee – related party	242	$ 250	726	$ 646
Investment in money market or mutual funds managed by affiliates of a related party	1,300		1,300		$ 1,300	$ 154,000
Invesco Advisers, Inc. | Affiliated Entity | Non-Agency CMBS
Related Party Transaction [Line Items]
Proceeds from sale of mortgage-backed and credit risk transfer securities	40,000		40,000
Marketable securities, recognized realized gain	$ 4,100		$ 4,100

Related Party Transactions - Sc

Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 3,381	$ 2,422	$ 8,772	$ 6,079
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	3,381	2,186	8,545	5,399
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 0	$ 236	$ 227	$ 680

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	Jun. 30, 2020	May 09, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Sep. 30, 2020	Sep. 30, 2019	Jul. 31, 2017
Class of Stock [Line Items]
Common stock, dividend, percentage of cash limit		10.00%
Dividend paid in common stock		$ 8,200	$ 9,070	$ (70,608)	$ 82,483	$ 64,263	$ 57,958	$ 57,720
Common stock dividends (in shares)	16,338,511
Payments of common stock dividend	$ 8,200
Common stock, dividends, shares calculation base (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			25,431						25,431
Proceeds from issuance of common stock			$ 80						$ 80
Stock issuance commission and fees			$ 2						$ 2
Number of shares repurchased during period (in shares)									0	0
Remaining number of shares authorized to be repurchased (in shares)			18,163,982						18,163,982
Common Stock | Equity Distribution Agreement
Class of Stock [Line Items]
Number of shares issued during period						0				1,093,136
Proceeds from issuance of common stock										$ 17,200
Stock issuance commission and fees										$ 363

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Sep. 30, 2020	Sep. 30, 2019
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ 22,812			$ 14,482			$ (217,064)	$ 114,019
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(54,615)			(954)			17,124	9,072
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(3,243)			(5,981)			(17,813)	(17,748)
Currency translation adjustments on investment in unconsolidated venture	397			290			489	(306)
Total other comprehensive income (loss)	(34,649)	$ (23,380)	$ (159,235)	7,837	$ 40,831	$ 56,369	(217,264)	105,037
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	1,157,792	1,410,381	2,931,899	2,670,101	2,671,714	2,286,697	2,931,899	2,286,697
Other comprehensive income (loss)	(34,649)	(23,380)	(159,235)	7,837	40,831	56,369	(217,264)	105,037
Ending Balance	1,211,140	1,157,792	1,410,381	2,911,032	2,670,101	2,671,714	1,211,140	2,911,032
Equity method investments attributable to Parent
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	397			290			489	(306)
Total other comprehensive income (loss)	397			290			489	(306)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	(553)		(645)	(83)		513	(645)	513
Other comprehensive income (loss)	397			290			489	(306)
Ending Balance	(156)	(553)		207	(83)		(156)	207
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	22,812			14,482			(217,064)	114,019
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	(54,615)			(954)			17,124	9,072
Total other comprehensive income (loss)	(31,803)			13,528			(199,940)	123,091
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	45,564		213,701	230,227		120,664	213,701	120,664
Other comprehensive income (loss)	(31,803)			13,528			(199,940)	123,091
Ending Balance	13,761	45,564		243,755	230,227		13,761	243,755
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	(3,243)			(5,981)			(17,813)	(17,748)
Total other comprehensive income (loss)	(3,243)			(5,981)			(17,813)	(17,748)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	61,337		75,907	87,869		99,636	75,907	99,636
Other comprehensive income (loss)	(3,243)			(5,981)			(17,813)	(17,748)
Ending Balance	58,094	61,337		81,888	87,869		58,094	81,888
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)	(34,649)	(23,380)	(159,235)	7,837	40,831	56,369
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Beginning Balance	106,348	129,728	288,963	318,013	277,182	220,813	288,963	220,813
Other comprehensive income (loss)	(34,649)	(23,380)	(159,235)	7,837	40,831	56,369
Ending Balance	$ 71,699	$ 106,348	$ 129,728	$ 325,850	$ 318,013	$ 277,182	$ 71,699	$ 325,850

Stockholders' Equity - Schedule

Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended						9 Months Ended
	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Sep. 30, 2019
Class of Stock [Line Items]
Common stock dividend declared (dollars per share)	$ 0.05	$ 0.02	$ 0.50	$ 0.45	$ 0.45	$ 0.45
Dividends, common stock	$ 9,070	$ 3,626	$ 82,483	$ 64,261	$ 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	$ 0.4844	$ 0.4844
Dividends, preferred stock	$ 2,713	$ 2,712	$ 2,713	$ 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	$ 0.4844	$ 0.4844
Dividends, preferred stock	$ 3,003	$ 3,004	$ 3,003	$ 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	$ 0.46875	$ 0.46875
Dividends, preferred stock	$ 5,391	$ 5,390	$ 5,391		$ 5,390	$ 5,391	$ 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		9 Months Ended
	Sep. 30, 2020	Sep. 30, 2019	Sep. 30, 2020	Sep. 30, 2019
Basic Earnings:
Net income (loss) available to common stockholders, basic	$ 96,859	$ 77,896	$ (1,830,385)	$ 212,809
Basic Earnings:
Shares available to common stockholders (in shares)	181,350,000	135,799,000	168,402,000	128,574,000
Effect of dilutive securities:
Restricted stock awards (in shares)	11,000	13,000	0	12,000
Dilutive Shares (in shares)	181,361,000	135,812,000	168,402,000	128,586,000
Net income (loss) attributable to common stockholders
Basic (usd per share)	$ 0.53	$ 0.57	$ (10.87)	$ 1.66
Diluted (usd per share)	$ 0.53	$ 0.57	$ (10.87)	$ 1.65
Restricted stock awards
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Antidilutive securities excluded from computation of EPS (in shares)			11,131

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($) $ in Thousands	Sep. 30, 2020	Dec. 31, 2019
Commitments and Contingencies Disclosure [Abstract]
Investments in unconsolidated ventures	$ 19,975	$ 21,998
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate	$ 6,700	$ 6,500

Subsequent Events (Details)

Subsequent Events (Details) - $ / shares	Nov. 05, 2020	Sep. 30, 2020	Jun. 30, 2020	Mar. 31, 2020	Sep. 30, 2019	Jun. 30, 2019	Mar. 31, 2019	Sep. 30, 2019
Series A Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)		$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844	$ 0.4844
Series A Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.4844
Series B Preferred Stock
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)		0.4844	0.4844	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	$ 0.46875	$ 0.46875
Series C Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.46875