Invesco Mortgage Capital (IVR) 10-Q 7 Nov 18 2018 Q3 Quarterly report Financial data

Document and Entity Information

Document and Entity Information - shares	9 Months Ended
	Sep. 30, 2018	Oct. 31, 2018
Document And Entity Information [Abstract]
Entity Registrant Name	Invesco Mortgage Capital Inc.
Trading Symbol	IVR
Entity Central Index Key	1,437,071
Current Fiscal Year End Date	--12-31
Entity Filer Category	Large Accelerated Filer
Document Type	10-Q
Document Period End Date	Sep. 30, 2018
Document Fiscal Year Focus	2,018
Document Fiscal Period Focus	Q3
Amendment Flag	false
Entity Emerging Growth Company	false
Entity Small Business	false
Entity Common Stock, Shares Outstanding		111,652,661

CONDENSED CONSOLIDATED BALANCE

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
ASSETS
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	$ 18,336,825	$ 18,190,754
Commercial loans, held-for-investment	31,707	191,808
Cash and cash equivalents	108,223	88,381
Restricted cash	300	620
Due from counterparties	26,380	0
Investment related receivable (including pledged securities of $449,289 and $0, respectively)	528,223	73,217
Derivative assets, at fair value	46,214	6,896
Other assets	145,015	105,580
Total assets	19,222,887	18,657,256
Liabilities:
Repurchase agreements	14,378,518	14,080,801
Secured loans	1,650,000	1,650,000
Exchangeable senior notes, net	0	143,231
Derivative liabilities, at fair value	13,982	32,765
Dividends and distributions payable	50,205	50,193
Investment related payable	559,398	5,191
Accrued interest payable	25,624	17,845
Collateral held payable	47,687	7,327
Accounts payable and accrued expenses	1,620	2,200
Due to affiliate	10,430	10,825
Total liabilities	16,737,464	16,000,378
Commitments and contingencies (See Note 16):
Equity:
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,652,661 and 111,624,159 shares issued and outstanding, respectively	1,116	1,116
Additional paid in capital	2,385,218	2,384,356
Accumulated other comprehensive income	174,553	261,029
Retained earnings (distributions in excess of earnings)	(663,007)	(579,334)
Total stockholders’ equity	2,461,204	2,630,491
Non-controlling interest	24,219	26,387
Total equity	2,485,423	2,656,878
Total liabilities and equity	19,222,887	18,657,256
Series A Preferred Stock
Equity:
Preferred Stock	135,356	135,356
Series B Preferred Stock
Equity:
Preferred Stock	149,860	149,860
Series C Preferred Stock
Equity:
Preferred Stock	$ 278,108	$ 278,108

CONDENSED CONSOLIDATED BALANC_2

CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($)	Sep. 30, 2018	Dec. 31, 2017
MBS and GSE CRT pledged as collateral	$ 17,473,000	$ 17,560,811,000
Investment related receivable pledged securities	$ 449,289,000	$ 0
Preferred Stock - par value (in usd per share)	$ 0.01	$ 0.01
Preferred Stock - shares authorized	50,000,000	50,000,000
Common Stock - par value (in usd per share)	$ 0.01	$ 0.01
Common Stock - shares authorized	450,000,000	450,000,000
Common Stock - shares issued	111,652,661	111,624,159
Common Stock - shares outstanding	111,652,661	111,624,159
Series A Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	5,600,000	5,600,000
Preferred Stock - shares outstanding	5,600,000	5,600,000
Preferred Stock - liquidation preference value	$ 140,000,000	$ 140,000,000
Series B Preferred Stock
Preferred Stock - dividend rate stated percentage	7.75%	7.75%
Preferred Stock - shares issued	6,200,000	6,200,000
Preferred Stock - shares outstanding	6,200,000	6,200,000
Preferred Stock - liquidation preference value	$ 155,000,000	$ 155,000,000
Series C Preferred Stock
Preferred Stock - dividend rate stated percentage	7.50%	7.50%
Preferred Stock - shares issued	11,500,000	11,500,000
Preferred Stock - shares outstanding	11,500,000	11,500,000
Preferred Stock - liquidation preference value	$ 287,500,000	$ 287,500,000

CONDENSED CONSOLIDATED STATEMEN

CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Interest Income
Mortgage-backed and credit risk transfer securities	$ 160,416	$ 134,138	$ 456,967	$ 374,038
Commercial and other loans	1,672	6,251	9,945	18,036
Total interest income	162,088	140,389	466,912	392,074
Interest Expense
Repurchase agreements	81,763	45,907	210,737	111,926
Secured loans	9,490	5,544	24,888	13,492
Exchangeable senior notes	0	2,724	1,621	11,236
Total interest expense	91,253	54,175	237,246	136,654
Net interest income	70,835	86,214	229,666	255,420
Other Income (loss)
Gain (loss) on investments, net	(207,910)	(11,873)	(404,657)	(2,551)
Equity in earnings (losses) of unconsolidated ventures	1,084	408	2,778	(1,280)
Gain (loss) on derivative instruments, net	87,672	1,955	288,208	(46,096)
Realized and unrealized credit derivative income (loss), net	4,975	(2,930)	8,875	38,428
Net loss on extinguishment of debt	0	(1,344)	(26)	(6,581)
Other investment income (loss), net	1,068	2,313	2,010	6,175
Total other income (loss)	(113,111)	(11,471)	(102,812)	(11,905)
Expenses
Management fee – related party	10,105	9,557	30,428	27,385
General and administrative	1,673	1,697	4,954	5,389
Total expenses	11,778	11,254	35,382	32,774
Net income (loss)	(54,054)	63,489	91,472	210,741
Net income (loss) attributable to non-controlling interest	(681)	800	1,153	2,656
Net income (loss) attributable to Invesco Mortgage Capital Inc.	(53,373)	62,689	90,319	208,085
Dividends to preferred stockholders	11,107	13,562	33,320	24,994
Net income (loss) attributable to common stockholders	$ (64,480)	$ 49,127	$ 56,999	$ 183,091
Earnings per share:
Net income (loss) attributable to common shareholders (basic) (usd per share)	$ (0.58)	$ 0.44	$ 0.51	$ 1.64
Net income (loss) attributable to common shareholders (diluted) (usd per share)	$ (0.58)	$ 0.43	$ 0.51	$ 1.59

CONDENSED CONSOLIDATED STATEM_2

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Statement of Comprehensive Income [Abstract]
Net income (loss)	$ (54,054)	$ 63,489	$ 91,472	$ 210,741
Other comprehensive income (loss):
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	(40,554)	19,089	(220,800)	75,011
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	134,280	7	153,406	1,508
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,422)	(6,438)	(19,859)	(19,105)
Currency translation adjustments on investment in unconsolidated venture	(1,126)	807	(328)	331
Total other comprehensive income (loss)	86,178	13,465	(87,581)	57,745
Comprehensive income (loss)	32,124	76,954	3,891	268,486
Less: Comprehensive (income) loss attributable to non-controlling interest	(405)	(970)	(48)	(3,384)
Less: Dividends to preferred stockholders	(11,107)	(13,562)	(33,320)	(24,994)
Comprehensive income (loss) attributable to common stockholders	$ 20,612	$ 62,422	$ (29,477)	$ 240,108

CONDENSED CONSOLIDATED STATEM_3

CONDENSED CONSOLIDATED STATEMENT OF EQUITY (Unaudited) - USD ($) $ in Thousands	Total	Preferred StockSeries A Preferred Stock	Preferred StockSeries B Preferred Stock	Preferred StockSeries C Preferred Stock	Common Stock	Additional Paid in Capital	Accumulated Other Comprehensive Income (Loss)	Retained Earnings (Distributions in excess of earnings)	Total Stockholders’ Equity	Non- Controlling Interest
Balance at beginning of period at Dec. 31, 2016							$ 293,668
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	$ 210,741
Other comprehensive loss	57,745
Rebalancing of ownership percentage of non-controlling interest	1
Balance at end of period at Sep. 30, 2017							350,686
Balance at beginning of period at Jun. 30, 2017							337,391
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	63,489
Other comprehensive loss	13,465
Rebalancing of ownership percentage of non-controlling interest	0
Balance at end of period at Sep. 30, 2017							350,686
Beginning Balance (in shares) at Dec. 31, 2017		5,600,000	6,200,000	11,500,000	111,624,159
Balance at beginning of period at Dec. 31, 2017	2,656,878	$ 135,356	$ 149,860	$ 278,108	$ 1,116	$ 2,384,356	261,029	$ (579,334)	$ 2,630,491	$ 26,387
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	91,472							90,319	90,319	1,153
Other comprehensive loss	(87,581)						(86,476)		(86,476)	(1,105)
Stock awards (in shares)					28,502
Common stock dividends	(140,672)							(140,672)	(140,672)
Common unit dividends	(1,796)									(1,796)
Preferred stock dividends	(33,320)							(33,320)	(33,320)
Amortization of equity-based compensation	442					436			436	6
Rebalancing of ownership percentage of non-controlling interest						426			426	(426)
Ending Balance (in shares) at Sep. 30, 2018		5,600,000	6,200,000	11,500,000	111,652,661
Balance at end of period at Sep. 30, 2018	2,485,423	$ 135,356	$ 149,860	$ 278,108	$ 1,116	2,385,218	174,553	(663,007)	2,461,204	24,219
Balance at beginning of period at Jun. 30, 2018							89,461
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Net income	(54,054)
Other comprehensive loss	86,178
Ending Balance (in shares) at Sep. 30, 2018		5,600,000	6,200,000	11,500,000	111,652,661
Balance at end of period at Sep. 30, 2018	$ 2,485,423	$ 135,356	$ 149,860	$ 278,108	$ 1,116	$ 2,385,218	$ 174,553	$ (663,007)	$ 2,461,204	$ 24,219

CONDENSED CONSOLIDATED STATEM_4

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017
Cash Flows from Operating Activities
Net income (loss)	$ 91,472	$ 210,741
Adjustments to reconcile net income to net cash provided by operating activities:
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net	37,263	53,612
Realized and unrealized (gain) loss on derivative instruments, net	(307,594)	(14,217)
Realized and unrealized (gain) loss on credit derivatives, net	8,034	(20,904)
Gain (loss) on investments, net	(404,657)	(2,551)
Loss from investments in unconsolidated ventures in excess of distributions received	320	1,925
Other amortization	(19,332)	(17,702)
Net loss on extinguishment of debt	26	6,581
(Gain) loss on foreign currency transactions, net	1,038	(3,715)
Changes in operating assets and liabilities:
Increase in operating assets	(1,140)	(9,713)
Decrease (increase) in operating liabilities	6,974	(4,985)
Net cash provided by operating activities	221,718	204,174
Cash Flows from Investing Activities
Purchase of mortgage-backed and credit risk transfer securities	(4,996,460)	(5,480,222)
(Contributions to) distributions from investments in unconsolidated ventures, net	1,107	9,023
Change in other assets	(41,094)	(3,457)
Principal payments from mortgage-backed and credit risk transfer securities	1,597,052	1,758,781
Proceeds from sale of mortgage-backed and credit risk transfer securities	2,836,065	625,540
Proceeds from/ (payments for) settlement or termination of forwards, swaps, futures and TBAs, net	249,492	(5,808)
Net change in due from counterparties and collateral held payable	13,980	1,255
Principal payments from commercial loans held-for-investment	160,809	0
Origination and advances of commercial loans, net of origination fees	(1,677)	(3,754)
Net cash used in investing activities	(180,726)	(3,098,642)
Cash Flows from Financing Activities
Proceeds from issuance of preferred stock, net of issuance cost	0	278,411
Due from counterparties - secured loans	0	(1,550)
Proceeds from repurchase agreements	108,342,902	107,218,532
Principal repayments of repurchase agreements	(108,044,996)	(104,288,947)
Extinguishment of exchangeable senior notes	(143,433)	(247,454)
Payments of deferred costs	(167)	0
Payments of dividends and distributions	(175,776)	(152,782)
Net cash (used in) provided by financing activities	(21,470)	2,806,210
Net change in cash, cash equivalents and restricted cash	19,522	(88,258)
Cash, cash equivalents and restricted cash, beginning of period	89,001	161,788
Cash, cash equivalents and restricted cash, end of period	108,523	73,530
Supplement Disclosure of Cash Flow Information
Interest paid	248,824	159,982
Non-cash Investing and Financing Activities Information
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities	(67,394)	76,519
Dividends and distributions declared not paid	50,205	59,909
Net change in investment related payable (receivable)	(100,061)	(141,085)
Net change in repurchase agreements, not settled	(189)	(1,416)
Change in due from counterparties and collateral held payable	$ 0	$ 86,450

Organization and Business Opera

Organization and Business Operations	9 Months Ended
	Sep. 30, 2018
Organization, Consolidation and Presentation of Financial Statements [Abstract]
Organization and Business Operations	Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company", "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership"), as its sole general partner. As of September 30, 2018 , we owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3% . We have one operating segment. We primarily invest in: • Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency RMBS"); • Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association or a federally chartered corporation such as the Federal National Mortgage Association or the Federal Home Loan Mortgage Corporation (collectively "Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency (“non-Agency CMBS”); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); • Residential and commercial mortgage loans; and • Other real estate-related financing agreements. We elected to be taxed as a real estate investment trust ("REIT") for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986 commencing with our taxable year ended December 31, 2009. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940.

Summary of Significant Accounti

Summary of Significant Accounting Policies	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
Summary of Significant Accounting Policies	Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2017 . The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. Significant Accounting Policies There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017 , other than the significant accounting policy disclosed below. Restricted Cash Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments. Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes. Accounting Pronouncements Recently Adopted Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type. Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the nine months ended September 30, 2017 . The adoption resulted in a $21.7 million decrease in net cash provided by operating activities, $22.9 million decrease in net cash used in investing activities and $1.3 million decrease in net cash provided by financing activities. We included restricted cash of $300,000 as of September 30, 2018 and $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.

Variable Interest Entities ("VI

Variable Interest Entities ("VIEs")	9 Months Ended
	Sep. 30, 2018
Variable Interest Entity Disclosure [Abstract]
Variable Interest Entities (VIEs)	Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at September 30, 2018 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,270,768 3,270,768 Non-Agency RMBS 1,158,712 1,158,712 Investments in unconsolidated ventures 24,217 24,217 Total 4,453,697 4,453,697 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 6 - "Other Assets" for additional details regarding these investments.

Mortgage-Backed and Credit Risk

Mortgage-Backed and Credit Risk Transfer Securities	9 Months Ended
	Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]
Mortgage-Backed and Credit Risk Transfer Securities	Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of September 30, 2018 and December 31, 2017 . September 30, 2018 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 594,301 11,144 605,445 (3,286 ) 602,159 3.08 % 30 year fixed-rate 10,444,475 339,322 10,783,797 (284,747 ) 10,499,050 3.46 % ARM * 146,287 467 146,754 (1,676 ) 145,078 2.69 % Hybrid ARM* 1,011,695 19,333 1,031,028 (21,005 ) 1,010,023 2.68 % Total Agency RMBS pass-through 12,196,758 370,266 12,567,024 (310,714 ) 12,256,310 3.37 % Agency-CMO (2) 922,228 (684,283 ) 237,945 (13,795 ) 224,150 3.25 % Agency CMBS 578,952 11,995 590,947 (6,259 ) 584,688 3.39 % Non-Agency CMBS (3) 3,995,236 (715,867 ) 3,279,369 (8,601 ) 3,270,768 5.05 % Non-Agency RMBS (4)(5)(6) 2,832,999 (1,796,118 ) 1,036,881 121,831 1,158,712 7.26 % GSE CRT (7) 737,487 22,182 759,669 82,528 842,197 2.91 % Total 21,263,660 (2,791,825 ) 18,471,835 (135,010 ) 18,336,825 3.76 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of September 30, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 78.7% of principal/notional balance, 16.6% of amortized cost and 15.5% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.2% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS held by us is 46.6% variable rate, 47.1% fixed rate and 6.3% floating rate based on fair value. (5) Of the total discount in non-Agency RMBS, $198.5 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 56.2% of principal/notional balance, 2.5% of amortized cost and 2.5% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. December 31, 2017 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 2,917,307 119,120 3,036,427 (61,645 ) 2,974,782 2.17 % 30 year fixed-rate 7,354,211 295,977 7,650,188 (9,648 ) 7,640,540 3.09 % ARM 238,486 1,609 240,095 1,105 241,200 2.60 % Hybrid ARM 1,696,148 26,066 1,722,214 (2,829 ) 1,719,385 2.54 % Total Agency RMBS pass-through 12,206,152 442,772 12,648,924 (73,017 ) 12,575,907 2.79 % Agency-CMO (2) 1,226,539 (942,290 ) 284,249 (10,306 ) 273,943 2.91 % Non-Agency CMBS (3) 3,879,775 (704,097 ) 3,175,678 40,739 3,216,417 4.92 % Non-Agency RMBS (4)(5)(6) 2,785,704 (1,661,683 ) 1,124,021 133,587 1,257,608 7.19 % GSE CRT (7) 757,183 24,306 781,489 85,390 866,879 2.45 % Total 20,855,353 (2,840,992 ) 18,014,361 176,393 18,190,754 3.42 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% o f principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (4) Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value. (5) Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of September 30, 2018 and December 31, 2017 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of September 30, 2018 and December 31, 2017, approximately 61% and 36% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. September 30, 2018 December 31, 2017 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 369,459 232,700 602,159 2,842,440 132,342 2,974,782 30 year fixed-rate 1,569,998 8,929,052 10,499,050 2,467,871 5,172,669 7,640,540 ARM 145,078 — 145,078 241,200 — 241,200 Hybrid ARM 979,057 30,966 1,010,023 1,719,385 — 1,719,385 Total RMBS Agency pass-through 3,063,592 9,192,718 12,256,310 7,270,896 5,305,011 12,575,907 Agency-CMO 171,954 52,196 224,150 203,351 70,592 273,943 Agency CMBS — 584,688 584,688 — — — Non-Agency CMBS 2,241,109 1,029,659 3,270,768 2,376,413 840,004 3,216,417 Non-Agency RMBS 1,015,963 142,749 1,158,712 1,236,178 21,430 1,257,608 GSE CRT 611,163 231,034 842,197 635,537 231,342 866,879 Total 7,103,781 11,233,044 18,336,825 11,722,375 6,468,379 18,190,754 The components of the carrying value of our MBS and GSE CRT portfolio at September 30, 2018 and December 31, 2017 are presented below. September 30, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 18,495,706 2,767,954 21,263,660 Unamortized premium 449,797 — 449,797 Unamortized discount (551,097 ) (2,690,525 ) (3,241,622 ) Gross unrealized gains (1) 243,555 7,682 251,237 Gross unrealized losses (1) (379,122 ) (7,125 ) (386,247 ) Fair value 18,258,839 77,986 18,336,825 December 31, 2017 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,974,390 2,880,963 20,855,353 Unamortized premium 521,626 — 521,626 Unamortized discount (577,344 ) (2,785,274 ) (3,362,618 ) Gross unrealized gains (1) 336,543 5,113 341,656 Gross unrealized losses (1) (155,146 ) (10,117 ) (165,263 ) Fair value 18,100,069 90,685 18,190,754 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and nine months ended September 30, 2018 and 2017 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, 2018 and December 31, 2017 . $ in thousands September 30, 2018 December 31, 2017 Less than one year 135,685 135,559 Greater than one year and less than five years 4,097,807 7,934,836 Greater than or equal to five years 14,103,333 10,120,359 Total 18,336,825 18,190,754 The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 . September 30, 2018 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 442,294 (4,202 ) 75 13,153 (311 ) 23 455,447 (4,513 ) 98 30 year fixed-rate 7,109,826 (156,950 ) 248 2,538,629 (134,979 ) 84 9,648,455 (291,929 ) 332 ARM 76,597 (688 ) 6 45,981 (1,197 ) 9 122,578 (1,885 ) 15 Hybrid ARM 491,065 (8,070 ) 52 459,728 (13,770 ) 66 950,793 (21,840 ) 118 Total Agency RMBS pass-through (1) 8,119,782 (169,910 ) 381 3,057,491 (150,257 ) 182 11,177,273 (320,167 ) 563 Agency-CMO (2) 116,495 (7,696 ) 31 93,933 (8,179 ) 20 210,428 (15,875 ) 51 Agency CMBS (3) 584,688 (6,259 ) 12 — — — 584,688 (6,259 ) 12 Non-Agency CMBS (4) 1,569,147 (21,167 ) 108 513,211 (19,198 ) 39 2,082,358 (40,365 ) 147 Non-Agency RMBS (5) 247,068 (2,981 ) 26 57,666 (600 ) 11 304,734 (3,581 ) 37 Total 10,637,180 (208,013 ) 558 3,722,301 (178,234 ) 252 14,359,481 (386,247 ) 810 (1) Amounts disclosed includes Agency RMBS with a fair value of $ 8.7 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 250.2 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.6 million and $17.4 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.8 million and $1.2 million , respectively. (3) Fair value option has been elected for all Agency CMBS. (4) Amounts disclosed includes non-Agency CMBS with a fair value of $652.5 million for which the fair value option has been elected. Such securities have unrealized losses of $13.8 million . (5) Amounts disclosed includes non-Agency RMBS and non-Agency IO with a fair value of $115.1 million and $8.4 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $1.1 million and $368,000 , respectively. December 31, 2017 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 111,020 (321 ) 26 2,406,021 (67,285 ) 133 2,517,041 (67,606 ) 159 30 year fixed-rate 3,677,576 (20,730 ) 107 963,547 (27,158 ) 56 4,641,123 (47,888 ) 163 ARM 101,173 (902 ) 12 — — — 101,173 (902 ) 12 Hybrid ARM 614,321 (4,189 ) 73 517,642 (8,091 ) 47 1,131,963 (12,280 ) 120 Total Agency RMBS pass-through (1) 4,504,090 (26,142 ) 218 3,887,210 (102,534 ) 236 8,391,300 (128,676 ) 454 Agency-CMO (2) 75,299 (10,433 ) 44 81,988 (2,309 ) 5 157,287 (12,742 ) 49 Non-Agency CMBS (3) 892,553 (17,612 ) 81 135,139 (3,792 ) 12 1,027,692 (21,404 ) 93 Non-Agency RMBS (4) 84,439 (709 ) 15 96,263 (1,732 ) 11 180,702 (2,441 ) 26 Total 5,556,381 (54,896 ) 358 4,200,600 (110,367 ) 264 9,756,981 (165,263 ) 622 (1) Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 22.8 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000 , respectively. (3) Amounts disclosed includes non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million . (4) Amounts disclosed includes non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000 . Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $335.5 million at September 30, 2018 ( December 31, 2017 : $131.3 million ). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at September 30, 2018 and December 31, 2017 , any unrealized losses on these securities are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS and non-Agency CMBS were $50.7 million at September 30, 2018 ( December 31, 2017 : $33.9 million ). We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rates, prepayment speeds, and market fluctuations. These investment securities are included in our assessment for other-than-temporary impairment ("OTTI") on a quarterly basis. We assess our investment securities for OTTI on a quarterly basis. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either "temporary" or "other-than-temporary." This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The following table summarizes OTTI included in earnings for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 RMBS interest-only securities 702 4,959 7,100 8,835 Non-Agency RMBS (1) 35 — 85 754 Total 737 4,959 7,185 9,589 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations because we account for these securities under the fair value option. As of September 30, 2018 , we did not intend to sell the securities and determined that it was not more likely than not that we will be required to sell the securities. The following table summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Gross realized gains on sale of investments 739 — 774 2,208 Gross realized losses on sale of investments (141,454 ) (7 ) (162,251 ) (3,873 ) Other-than-temporary impairment losses (737 ) (4,959 ) (7,185 ) (9,589 ) Net unrealized gains and losses on MBS accounted for under the fair value option (66,831 ) (5,301 ) (236,967 ) (1,188 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option 377 (1,608 ) 993 9,866 Net unrealized gains and losses on trading securities (4 ) 2 (21 ) 25 Total gain (loss) on investments, net (207,910 ) (11,873 ) (404,657 ) (2,551 ) 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, 2018 and 2017 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 115,829 (20,850 ) 94,979 Non-Agency CMBS 37,938 1,470 39,408 Non-Agency RMBS 14,106 4,831 18,937 GSE CRT 7,513 (731 ) 6,782 Other 310 — 310 Total 175,696 (15,280 ) 160,416 For the three months ended September 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 99,748 (26,155 ) 73,593 Non-Agency CMBS 33,613 (591 ) 33,022 Non-Agency RMBS 17,109 4,846 21,955 GSE CRT 6,021 (597 ) 5,424 Other 144 — 144 Total 156,635 (22,497 ) 134,138 For the nine months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 329,576 (66,347 ) 263,229 Non-Agency CMBS 113,332 4,091 117,423 Non-Agency RMBS 41,313 15,167 56,480 GSE CRT 21,218 (2,124 ) 19,094 Other 741 — 741 Total 506,180 (49,213 ) 456,967 For the nine months ended September 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 282,958 (82,508 ) 200,450 Non-Agency CMBS 94,795 (5,077 ) 89,718 Non-Agency RMBS 55,854 12,967 68,821 GSE CRT 16,064 (1,315 ) 14,749 Other 300 — 300 Total 449,971 (75,933 ) 374,038

Commercial Loans Held-for-Inves

Commercial Loans Held-for-Investment	9 Months Ended
	Sep. 30, 2018
Receivables [Abstract]
Commercial Loans Held-for-Investment	Commercial Loans Held-for-Investment The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of September 30, 2018 and December 31, 2017 . $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) September 30, 2018 2 31,707 — 31,707 10.44 % 2.0 December 31, 2017 8 191,894 (86 ) 191,808 8.52 % 1.2 (1) Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements. These loans were not impaired, and no allowance for loan loss has been recorded as of September 30, 2018 and December 31, 2017 based on our analysis of credit quality factors as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017 .

Other Assets

Other Assets	9 Months Ended
	Sep. 30, 2018
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
Other Assets	Other Assets The following table summarizes our other assets as of September 30, 2018 and December 31, 2017 . $ in thousands September 30, 2018 December 31, 2017 FHLBI stock 74,250 74,250 Loan participation interest 45,058 — Investments in unconsolidated ventures 24,217 25,972 Investment in exchange-traded fund — 3,979 Prepaid expenses and other assets 1,490 1,379 Total 145,015 105,580 IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the FHLBI. The stock is recorded at cost. In August 2018, we acquired a participation interest in a secured loan collateralized by mortgage servicing rights. The loan has a two year term subject to a one year extension option. The participation interest bears interest at a floating rate based on LIBOR plus a spread. The weighted average asset yield for the participation interest was 5.97% as of September 30, 2018. We elected to account for the investment using the fair value option. Refer to Note 16- "Commitments and Contingencies" for additional details regarding our unfunded commitment on this loan participation interest. We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 16 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures. We redeemed our investment in an exchange-traded fund that is managed by an affiliate of our Manager in the third quarter of 2018.

Borrowings

Borrowings	9 Months Ended
	Sep. 30, 2018
Debt Disclosure [Abstract]
Borrowings	Borrowings We have financed the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following tables summarize certain characteristics of our borrowings at September 30, 2018 and December 31, 2017 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands September 30, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 10,693,221 2.29 % 42 Agency CMBS 559,258 2.28 % 61 Non-Agency CMBS 1,525,347 3.31 % 20 Non-Agency RMBS 876,406 3.36 % 26 GSE CRT 690,493 3.30 % 23 Loan participation interest 33,793 3.93 % 697 Total Repurchase Agreements 14,378,518 2.52 % 40 Secured Loans 1,650,000 2.38 % 2,044 Total Borrowings 16,028,518 2.50 % 246 $ in thousands December 31, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,111,755 1.58 % 25 Non-Agency CMBS 1,396,330 2.61 % 9 Non-Agency RMBS 915,225 2.77 % 31 GSE CRT 657,491 2.78 % 24 Total Repurchase Agreements 14,080,801 1.82 % 25 Secured Loans 1,650,000 1.52 % 2,317 Exchangeable Senior Notes (1) 143,410 5.00 % 74 Total Borrowings 15,874,211 1.82 % 263 (1) The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017 . The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017 . The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: September 30, 2018 10/1/2018 - 9/30/2019 14,344,725 10/1/2019 - 9/30/2020 333,793 10/1/2020 - 9/30/2021 100,000 10/1/2021 - 9/30/2022 — 10/1/2022 - 9/30/2023 — Thereafter 1,250,000 Total 16,028,518 The following tables summarize certain characteristics of our repurchase agreements and secured loans at September 30, 2018 and December 31, 2017 . September 30, 2018 $ in thousands Amount Outstanding Percent of Total Amount Outstanding Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC 1,516,849 9.5 % 1,615,248 Mirae Asset Securities 1,461,790 9.1 % 1,544,998 ING Financial Market 1,421,007 8.9 % 1,519,860 E D & F Man Capital Markets 1,229,333 7.7 % 1,300,892 Royal Bank of Canada 1,162,208 7.1 % 1,374,230 Industrial and Commercial Bank of China 1,069,894 6.7 % 1,141,135 South Street Securities 740,686 4.6 % 780,219 Citigroup 737,250 4.6 % 859,223 MUFJ Securities 520,086 3.2 % 581,079 Amherst Pierpont Securities 476,763 3.0 % 511,652 Federal Home Loan Mortgage Corp 448,893 2.8 % 476,023 Societe Generale 403,911 2.5 % 506,541 JP Morgan 342,608 2.1 % 408,518 Wells Fargo Securities 318,432 2.0 % 364,723 Goldman Sachs 316,714 2.0 % 413,391 BNP Paribas Securities 268,540 1.7 % 304,177 Guggenheim Liquidity Services 260,650 1.6 % 278,794 Mizuho Securities 258,112 1.6 % 281,012 Scotia Capital 204,958 1.3 % 213,515 Natixis Securities 201,715 1.3 % 235,189 All other counterparties (2) 1,018,119 6.4 % 1,172,737 Total Repurchase Agreement Counterparties 14,378,518 89.7 % 15,883,156 Secured Loans Counterparty: FHLBI 1,650,000 10.3 % 1,898,258 Total 16,028,518 100.0 % 17,781,414 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017 . See Note 8 - "Collateral Positions" of this Form 10-Q for additional details regarding collateral pledged. (2) Represents amounts outstanding with nine counterparties. December 31, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC 1,745,684 11.2 % 1,839,411 ING Financial Markets 1,482,603 9.4 % 1,571,061 Royal Bank of Canada 1,144,856 7.3 % 1,375,285 Industrial and Commercial Bank of China 1,038,844 6.6 % 1,102,543 E D & F Man Capital Markets 1,028,437 6.5 % 1,085,429 Mirae Asset Securities 958,756 6.1 % 1,018,664 MUFG Securities 865,201 5.5 % 936,071 Citigroup 724,094 4.6 % 841,977 Amherst Pierpont Securities 722,080 4.6 % 764,713 KGS-Alpha Capital Markets 461,098 2.9 % 491,313 JP Morgan 451,941 2.9 % 523,590 Societe Generale 386,737 2.5 % 495,093 BNP Paribas Securities 348,340 2.2 % 388,091 South Street Securities 332,623 2.1 % 354,689 Goldman Sachs 324,152 2.1 % 419,713 Mizuho Securities 310,835 2.0 % 330,555 Guggenheim Liquidity Services 306,081 1.9 % 322,452 Bank of Nova Scotia 289,705 1.8 % 301,715 Natixis Securities 275,764 1.8 % 302,291 All other counterparties (2) 882,970 5.5 % 1,058,759 Total Repurchase Agreement Counterparties 14,080,801 89.5 % 15,523,415 Secured Loans Counterparty: FHLBI 1,650,000 10.5 % 1,927,496 Total 15,730,801 100.0 % 17,450,911 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017 . See Note 8 - "Collateral Positions" of this Form 10-Q for additional details regarding collateral pledged. (2) Represents amounts outstanding with seven counterparties. Repurchase Agreements Our repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities ranging from one month to twelve months . Our repurchase agreement that is collateralized by a loan participation interest bears interest at a floating rate based on LIBOR plus a spread. Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. Repurchase agreements are subject to certain financial covenants. We were in compliance with these covenants at September 30, 2018 . Our repurchase agreement collateral ratio (MBS, GSE CRTs and a loan participation interest) pledged as collateral/Amount Outstanding) was 110% as of September 30, 2018 ( December 31, 2017 : 110% ). Secured Loans Our wholly-owned captive insurance subsidiary, IAS Services LLC, is a member of the FHLBI. As a member of the FHLBI, IAS Services LLC has borrowed funds from the FHLBI in the form of secured loans. As of September 30, 2018 , IAS Services LLC had $1.65 billion in outstanding secured loans from the FHLBI. These secured loans have floating rates that are based on the three-month FHLB swap rate plus a spread. For the nine months ended September 30, 2018 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 2.01% and a weighted average maturity of 5.6 years. The Federal Housing Finance Agency’s ("FHFA") final rule governing Federal Home Loan Bank membership (the "FHFA Rule") became effective on February 19, 2016. The FHFA Rule permits existing captive insurance companies, such as IAS Services LLC, to remain members until February 2021. New advances or renewals that mature after February 2021 are prohibited. The FHLBI has indicated it will honor the contractual maturity dates of existing advances to IAS Services LLC that were made prior to February 19, 2016 and extend beyond February 2021. We do not expect there to be any impact to our existing FHLBI borrowings under the FHFA rule. The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. As discussed in Note 6 - "Other Assets," IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured loans from the FHLBI. Exchangeable Senior Notes In 2013, our wholly-owned subsidiary, IAS Operating Partnership LP, issued $400 million in aggregate principal amount of Exchangeable Senior Notes (the "Notes") due March 15, 2018. We retired a portion of the Notes prior to their maturity and fully retired the Notes upon their maturity on March 15, 2018. In the three months ended September 30, 2017 , we retired $60.9 million of the Notes for a repurchase price of $62.1 million and realized a net loss on extinguishment of debt of $209,000 . In the nine months ended September 30, 2018 , we retired $143.4 million ( 2017 : $242.2 million ) of the Notes for a repurchase price of $143.4 million ( 2017 : $247.5 million ). We realized a net loss on extinguishment of debt of $26,000 and $6.6 million , respectively in the nine months ended September 30, 2018 and 2017. Accrued interest payable on the Notes was approximately $2.1 million as of December 31, 2017 .

Collateral Positions

Collateral Positions	9 Months Ended
	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Collateral Positions	Collateral Positions The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of September 30, 2018 and December 31, 2017 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2017 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of September 30, 2018 and December 31, 2017 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged September 30, 2018 December 31, 2017 Repurchase Agreements: Agency RMBS (1) 11,425,714 11,788,765 Agency CMBS 584,688 — Non-Agency CMBS 1,908,538 853,446 Non-Agency RMBS 1,076,961 1,737,831 GSE CRT 842,197 1,143,373 Loan participation interest 45,058 — Total repurchase agreements collateral pledged 15,883,156 15,523,415 Secured Loans: Agency RMBS 636,506 623,181 Non-Agency CMBS 1,261,752 1,304,315 Total secured loans collateral pledged 1,898,258 1,927,496 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS (2) 186,346 109,900 Cash 26,680 620 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 213,026 110,520 Total collateral pledged: Mortgage-backed and credit risk transfer securities 17,922,702 17,560,811 Loan participation interest 45,058 — Cash 26,680 620 Total collateral pledged 17,994,440 17,561,431 Collateral Held September 30, 2018 December 31, 2017 Interest Rate Swaps: Cash 47,687 7,327 Total collateral held 47,687 7,327 (1) Includes pledged securities of $449.3 million sold but not settled as of September 30, 2018 that are recorded as investment related receivable on our condensed consolidated balance sheet. Securities associated with unsettled trades remain legally pledged until the related repurchase agreement is repaid. There were no securities pledged as collateral associated with unsettled trades as of December 31, 2017. (2) During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above. Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value as determined by a pricing service agreed to by the respective lender and us. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. Secured Loans The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. IAS Services LLC would be required to provide additional collateral or fund margin calls if the value of pledged assets declines. Interest Rate Swaps Collateral pledged with our interest rate swap counterparties is segregated in our books and records. We have two types of interest rate swap agreements: bilateral interest rate swaps that are governed by an International Swaps and Derivatives Association ("ISDA") agreement and interest rate swaps that are centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH. Clearnet Limited ("LCH") through a Futures Commission Merchant ("FCM"). Interest rate swaps that are governed by an ISDA agreement provide for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate swaps change. We are required to pledge initial margin and daily variation margin for our interest rate swaps that are centrally cleared. The FCM determines the fair value of our centrally cleared swaps, including daily variation margin. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Accordingly, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Futures Contracts We are required to pledge initial margin and daily variation margin for our futures contracts that is based on the fair value of our contracts as determined by our FCM. The daily variation margin payment for our futures contracts is characterized as settlement of the futures contract itself rather than collateral. Accordingly, cash collateral pledged on our futures contracts is settled against the fair value of these contracts. Currency Forward Contracts Collateral pledged with our currency forward counterparty is segregated in our books and records. Eligible collateral to be pledged can be in the form of cash or securities. Our currency forward contract provides for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the currency forward contracts change.

Derivatives and Hedging Activit

Derivatives and Hedging Activities	9 Months Ended
	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivatives and Hedging Activities	Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2018 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps (1) (2) 8,620,000 2,700,000 (1,450,000 ) 9,870,000 Futures Contracts — 2,489,400 (1,040,000 ) 1,449,400 Currency Forward Contracts 76,859 185,578 (233,613 ) 28,824 Credit Derivatives 553,493 — (18,259 ) 535,234 TBA Purchase Contracts (3) — 283,100 (283,100 ) — TBA Sale Contracts — (283,100 ) 283,100 — Total 9,250,352 5,374,978 (2,741,872 ) 11,883,458 (1) Notional amount as of September 30, 2018 excludes $1.4 billion of interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2017 excludes $500.0 million of interest rate swaps with forward start dates. (3) To Be Announced Securities ("TBAs") Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one to twelve months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. In addition, our secured loans have floating interest rates. As such, we are exposed to changing interest rates. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps involve making fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount. Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $6.4 million as a decrease ( September 30, 2017 : $6.4 million as a decrease) and $19.9 million as a decrease ( September 30, 2017 : $19.1 million as a decrease) to interest expense for the three and nine months ended September 30, 2018 , respectively. During the next 12 months, we estimate that $23.7 million will be reclassified as a decrease to interest expense, repurchase agreements. As of September 30, 2018 , $104.3 million ( December 31, 2017 : $123.9 million ) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified to interest expense over a period of time through December 15, 2023. As of September 30, 2018 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing 1-month LIBOR 400,000 7/30/2020 2.69 % CME Central Clearing 1-month LIBOR 200,000 9/20/2020 2.79 % CME Central Clearing 1-month LIBOR 400,000 9/28/2020 2.72 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.69 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.50 % CME Central Clearing 3-month LIBOR 500,000 5/24/2021 2.25 % Citibank, N.A. 1-month LIBOR 200,000 5/25/2021 2.83 % CME Central Clearing 3-month LIBOR 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 1-month LIBOR 550,000 2/24/2022 2.45 % CME Central Clearing 3-month LIBOR 1,000,000 6/9/2022 2.21 % CME Central Clearing 3-month LIBOR 1,000,000 8/14/2022 1.87 % The Royal Bank of Scotland Plc 1-month LIBOR 500,000 8/15/2023 1.98 % CME Central Clearing 1-month LIBOR 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 1-month LIBOR 500,000 12/15/2023 2.20 % CME Central Clearing 3-month LIBOR 450,000 1/12/2024 2.10 % CME Central Clearing 3-month LIBOR 450,000 1/25/2024 2.15 % LCH Central Clearing 3-month LIBOR 1,000,000 2/6/2025 2.77 % CME Central Clearing 3-month LIBOR 100,000 4/2/2025 2.04 % LCH Central Clearing 3-month LIBOR 220,000 8/31/2027 2.12 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.78 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.39 % LCH Central Clearing 1-month LIBOR 200,000 7/3/2028 2.78 % Total 9,870,000 2.39 % As of September 30, 2018 , we had the following additional interest rate swaps outstanding with forward start dates: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing (1) 3-month LIBOR 600,000 2/5/2026 2.64 % LCH Central Clearing (2) 3-month LIBOR 200,000 3/17/2031 2.74 % LCH Central Clearing (3) 1-month LIBOR 600,000 8/24/2033 3.18 % Total 1,400,000 2.88 % (1) Forward start date of 2/5/2021 (2) Forward start date of 3/15/2021 (3) Forward start date of 8/24/2023 Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. TBAs, Futures and Currency Forward Contracts We purchase or sell certain TBAs and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales of TBAs and U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of September 30, 2018 , we did not have any forward contracts denominated in Pound Sterling ( December 31, 2017 : $49.7 million of notional amount of forward contracts denominated in Pound Sterling). As of September 30, 2018, we had $28.8 million ( December 31, 2017 : $27.2 million ) of notional amount of forward contracts denominated in Euro. Credit Derivatives Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the condensed consolidated balance sheets. At September 30, 2018 and December 31, 2017 , terms of the GSE CRT embedded derivatives are: $ in thousands September 30, 2018 December 31, 2017 Fair value amount 37,366 45,400 Notional amount 535,234 553,493 Maximum potential amount of future undiscounted payments 535,234 553,493 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of September 30, 2018 and December 31, 2017 . $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2018 As of December 31, 2017 As of September 30, 2018 As of December 31, 2017 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 46,212 6,896 Interest Rate Swaps Liability 5,683 31,548 Currency Forward Contracts 2 — Currency Forward Contracts 95 1,217 Futures Contracts 8,204 — 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, 2018 and 2017 . $ in thousands Three months ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,638 (663 ) 4,975 $ in thousands Three months ended September 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,873 (8,803 ) (2,930 ) $ in thousands Nine months ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 16,909 (8,034 ) 8,875 $ in thousands Nine months ended September 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 17,524 20,904 38,428 The following table summarizes the effect of interest rate swaps, futures contracts, currency forward contracts, and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2018 and 2017 : $ in thousands Three Months Ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 68,953 (2,763 ) (178 ) 66,012 Futures Contracts 27,136 — (5,548 ) 21,588 Currency Forward Contracts 3,569 — (3,480 ) 89 TBAs (17 ) — — (17 ) Total 99,641 (2,763 ) (9,206 ) 87,672 $ in thousands Three Months Ended September 30, 2017 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 21,126 (17,453 ) 144 3,817 Currency Forward Contracts (1,623 ) — (239 ) (1,862 ) Total 19,503 (17,453 ) (95 ) 1,955 $ in thousands Nine Months Ended September 30, 2018 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 225,499 (19,386 ) 65,181 271,294 Futures Contracts 22,499 — (8,204 ) 14,295 Currency Forward Contracts 1,512 — 1,124 2,636 TBAs (17 ) — — (17 ) Total 249,493 (19,386 ) 58,101 288,208 $ in thousands Nine Months Ended September 30, 2017 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (1,392 ) (60,313 ) 21,069 (40,636 ) Currency Forward Contracts (4,416 ) — (1,044 ) (5,460 ) Total (5,808 ) (60,313 ) 20,025 (46,096 ) Credit-risk-related Contingent Features We have agreements with each of our bilateral derivative counterparties. Some of those agreements contain a provision whereby if we default on any of our indebtedness, including default whereby repayment of the indebtedness has not been accelerated by the lender, we could be declared in default on our derivative obligations. We have minimum collateral posting thresholds with certain of our bilateral derivative counterparties and were not required to pledge collateral with these counterparties as of September 30, 2018 because our bilateral interest rate swaps were in a net asset position. If we had breached any of these provisions at September 30, 2018 , we could have been required to settle our obligations under these agreements at their termination value. We also have an agreement with a clearing counterparty for our interest rate swaps that includes cross default provisions. The fair value of our centrally cleared interest rate derivative contracts, which includes accrued interest and variation margin but excludes any adjustment for non-performance risk, was a net liability of $5.7 million as of September 30, 2018 . We were in compliance with all of the financial provisions of these counterparty agreements as of September 30, 2018 .

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	9 Months Ended
	Sep. 30, 2018
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the condensed consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2018 and December 31, 2017 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of September 30, 2018 , our derivative liability of $5.7 million ( December 31, 2017 : derivative liability of $10.3 million ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. Offsetting of Derivative Assets As of September 30, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 46,214 — 46,214 (2 ) (46,089 ) 123 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 8,299 — 8,299 (2 ) (8,297 ) — Repurchase Agreements (4) 14,378,518 — 14,378,518 (14,378,518 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 16,036,817 — 16,036,817 (16,028,520 ) (8,297 ) — Offsetting of Derivative Assets As of December 31, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2018 and December 31, 2017 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our derivatives was $186.3 million ( December 31, 2017 : $109.9 million ) at September 30, 2018 , of which $186.3 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $47.7 million and $7.3 million at September 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $26.7 million and $620,000 at September 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at September 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.9 billion and $15.5 billion at September 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at September 30, 2018 and December 31, 2017 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	9 Months Ended
	Sep. 30, 2018
Fair Value Disclosures [Abstract]
Fair Value of Financial Instruments	Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. September 30, 2018 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 18,299,459 37,366 — 18,336,825 Derivative assets — 46,214 — — 46,214 Other assets (4) (5) — — 45,058 24,217 69,275 Total assets — 18,345,673 82,424 24,217 18,452,314 Liabilities: Derivative liabilities 8,204 5,778 — — 13,982 Total liabilities 8,204 5,778 — — 13,982 December 31, 2017 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 18,145,354 45,400 — 18,190,754 Derivative assets — 6,896 — — 6,896 Other assets (5) 3,979 — — 25,972 29,951 Total assets 3,979 18,152,250 45,400 25,972 18,227,601 Liabilities: Derivative liabilities — 32,765 — — 32,765 Total liabilities — 32,765 — — 32,765 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of September 30, 2018 , the net embedded derivative asset position of $37.4 million includes $39.4 million of embedded derivatives in an asset position and $2.0 million of embedded derivatives in a liability position. As of December 31, 2017 , the net embedded derivative asset position of $45.4 million includes $46.5 million of embedded derivatives in an asset position and $1.1 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of September 30, 2018 and December 31, 2017 , the weighted average remaining term of investments in unconsolidated ventures is 2.4 and 1.9 years, respectively. (4) Includes $45.1 million of a loan participation interest as of September 30, 2018 . The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value. (5) Includes $4.0 million of an investment in an exchange-traded fund as of December 31, 2017. We sold this investment during the three months ended September 30, 2018. 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 2018 2017 2018 2017 Beginning balance 38,029 46,802 45,400 17,095 Unrealized credit derivative gains (losses), net (663 ) (8,803 ) (8,034 ) 20,904 Ending balance 37,366 37,999 37,366 37,999 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 2018 2017 2018 2017 Beginning balance — — — — Purchases 45,058 — 45,058 — Ending balance 45,058 — 45,058 — 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 September 30, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 37,366 Market Comparables, Vendor Pricing Weighted average life 2.9 - 6.2 years 4.4 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 45,400 Market Comparables, Vendor Pricing Weighted average life 2.6 - 6.8 years 4.8 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 31,707 31,114 191,808 191,930 Other assets 74,250 74,250 74,250 74,250 Total 105,957 105,364 266,058 266,180 Financial Liabilities Repurchase agreements 14,378,518 14,377,381 14,080,801 14,080,460 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes — — 143,231 143,948 Total 16,028,518 16,027,381 15,874,032 15,874,408 The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of commercial loans held-for-investment is a Level 3 fair value measurement. Subsequent to the origination or purchase, commercial loan investments are valued on a monthly basis by an independent third party valuation agent using a discounted cash flow technique. • The estimated fair value of FHLBI stock, included in "Other assets," is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at cost. As a result, the cost of the FHLBI stock approximates its fair value. • The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. • The estimated fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread and the spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value. • The estimated fair value of exchangeable senior notes is a Level 2 fair value measurement based on a valuation obtained from a third-party pricing service.

Related Party Transactions

Related Party Transactions	9 Months Ended
	Sep. 30, 2018
Related Party Transactions [Abstract]
Related Party Transactions	Related Party Transactions Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three and nine months ended September 30, 2018 , we reimbursed our Manager $168,000 ( September 30, 2017 : $202,000 ) and $599,000 ( September 30, 2017 : $589,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $41.2 million as of September 30, 2018 ( December 31, 2017 : $74.4 million ) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets. Management Fee Expense We pay our Manager a management fee equal to 1.50% of our stockholders’ equity per annum. The fee is calculated and payable quarterly in arrears. For purposes of calculating the management fee, stockholders’ equity is equal to the sum of the net proceeds from all issuances of equity securities since inception including proceeds from the issuance of operating partnership units to an affiliate of our Manager, plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid to repurchase common stock since inception. Stockholder's equity excludes (i) any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income); (ii) cumulative net realized losses that are not attributable to permanently impaired investments and that relate to the investments for which market movement is accounted for in other comprehensive income; provided, however, that such adjustment shall not exceed cumulative unrealized net gains in other comprehensive income; (iii) one-time events pursuant to changes in U.S. GAAP; and (iv) certain non-cash items after discussions between our Manager and our independent directors and approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for our operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Incurred costs, prepaid or expensed 2,133 2,378 4,925 5,172 Incurred costs, charged against equity as a cost of raising capital — — 167 — Total incurred costs, originally paid by our Manager 2,133 2,378 5,092 5,172 Termination Fee If we terminate our management agreement, we owe our Manager a termination fee equal to three times the sum of our average annual management fee during the 24 -month period before termination, calculated as of the end of the most recently completed fiscal quarter.

Stockholders' Equity

Stockholders' Equity	9 Months Ended
	Sep. 30, 2018
Equity [Abstract]
Stockholders' Equity	Stockholders’ Equity Preferred Stock Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. In August 2017, we completed a public offering of 11,500,000 shares of 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock at the price of $25.00 per share. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 27, 2017, we had the option to redeem shares of Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of Series B Preferred Stock after December 27, 2024 and shares of Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. Common Stock In December 2017, we entered into an equity distribution agreement with a placement agent under which we may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our automatic shelf registration statement (as amended and/or supplemented). As of September 30, 2018 , we have not sold any shares of common stock under the equity distribution agreement. Securities Convertible into Shares of Common Stock The non-controlling interest holder of the Operating Partnership units, a wholly-owned Invesco subsidiary, has the right to cause the Operating Partnership to redeem their operating partnership units ("OP Units") for cash equal to the market value of an equivalent number of shares of common stock, or at our option, we may purchase their OP Units by issuing one share of common stock for each OP Unit redeemed. We also have an equity incentive plan which allows us to grant securities convertible into our common stock to our independent directors and employees of our Manager and its affiliates. Share Repurchase Program During the three and nine months ended September 30, 2018 and 2017 , we did not repurchase any shares of our common stock. As of September 30, 2018 , we had authority to purchase 18,239,082 shares of our common stock through our share repurchase program. The share repurchase program has no stated expiration date. Share-Based Compensation We established the 2009 Equity Incentive Plan for grants of common stock and other equity based awards to our independent directors and officers and employees of our Manager and its affiliates (the "Incentive Plan"). Under the Incentive Plan, a total of 1,000,000 shares of common stock are authorized for issuance. Unless terminated earlier, the Incentive Plan will terminate in 2019 , but will continue to govern the unexpired awards. As of September 30, 2018 , 769,181 shares of common stock remain available for future issuance under the Incentive Plan. We recognized compensation expense of approximately $107,000 ( September 30, 2017 : $129,000 ) and approximately $306,000 ( September 30, 2017 : $326,000 ) for shares issued to our independent directors under the Incentive Plan for the three and nine months ended September 30, 2018 . During the three months ended September 30, 2018 and 2017 , we issued 6,620 shares and 6,650 shares of common stock, respectively, to our independent directors. During the nine months ended September 30, 2018 and 2017 , we issued 20,262 shares and 17,398 shares of common stock, respectively, to our independent directors. The fair market value of the shares granted was determined by the closing stock market price on the date of the grant. The grants vested immediately. We recognized compensation expense of approximately $71,000 ( September 30, 2017 : $33,000 ) and approximately $115,000 ( September 30, 2017 : $99,000 ) for the three and nine months ended September 30, 2018 for restricted stock units awarded to employees of our Manager and its affiliates under the Incentive Plan. Our Manager reimburses us for the cost of these restricted stock awards under the terms of our management agreement. At September 30, 2018 , there was approximately $131,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 42 months, with a weighted-average remaining vesting period of 16 months. The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three and nine months ended September 30, 2018 . Three Months Ended September 30, Nine Months Ended September 30, 2018 2018 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 19,185 $ 14.56 19,827 $ 14.35 Shares granted during the period — — 7,055 15.37 Shares forfeited during the period (3,967 ) 14.56 (3,967 ) 14.56 Shares vested during the period (4,167 ) 14.62 (11,864 ) 14.71 Unvested at the end of the period 11,051 $ 14.55 11,051 $ 14.55 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three and nine months ended September 30, 2018 and 2017 . The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended September 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (40,554 ) — (40,554 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 134,280 — 134,280 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,422 ) (6,422 ) Currency translation adjustments on investment in unconsolidated venture (1,126 ) — — (1,126 ) Total other comprehensive income/(loss) (1,126 ) 93,726 (6,422 ) 86,178 AOCI balance at beginning of period 1,736 (22,901 ) 110,626 89,461 Total other comprehensive income/(loss) (1,126 ) 93,726 (6,422 ) 86,178 Other comprehensive income/(loss) attributable to non-controlling interest 13 (1,181 ) 82 (1,086 ) AOCI balance at end of period 623 69,644 104,286 174,553 Three Months Ended September 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 19,089 — 19,089 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 7 — 7 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,438 ) (6,438 ) Currency translation adjustments on investment in unconsolidated venture 807 — — 807 Total other comprehensive income/(loss) 807 19,096 (6,438 ) 13,465 AOCI balance at beginning of period (375 ) 201,158 136,608 337,391 Total other comprehensive income/(loss) 807 19,096 (6,438 ) 13,465 Other comprehensive income/(loss) attributable to non-controlling interest (10 ) (241 ) 81 (170 ) Rebalancing of ownership percentage of non-controlling interest — — — — AOCI balance at end of period 422 220,013 130,251 350,686 Nine Months Ended September 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (220,800 ) — (220,800 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 153,406 — 153,406 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,859 ) (19,859 ) Currency translation adjustments on investment in unconsolidated venture (328 ) — — (328 ) Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) Other comprehensive income/(loss) attributable to non-controlling interest 4 850 251 1,105 AOCI balance at end of period 623 69,644 104,286 174,553 Nine Months Ended September 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 75,011 — 75,011 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 1,508 — 1,508 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,105 ) (19,105 ) Currency translation adjustments on investment in unconsolidated venture 331 — — 331 Total other comprehensive income/(loss) 331 76,519 (19,105 ) 57,745 AOCI balance at beginning of period 95 144,458 149,115 293,668 Total other comprehensive income/(loss) 331 76,519 (19,105 ) 57,745 Other comprehensive income/(loss) attributable to non-controlling interest (4 ) (965 ) 241 (728 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 AOCI balance at end of period 422 220,013 130,251 350,686 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the condensed consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends We declared the following dividends during the nine months ended September 30, 2018 and 2017: Series A Preferred Stock Dividends Declared Per Share Amount Date of Payment 2018 September 14, 2018 $ 0.4844 October 25, 2018 June 15, 2018 $ 0.4844 July 25, 2018 March 15, 2018 $ 0.4844 April 25, 2018 2017 September 14, 2017 $ 0.4844 October 25, 2017 June 15, 2017 $ 0.4844 July 25, 2017 March 15, 2017 $ 0.4844 April 25, 2017 Series B Preferred Stock Dividends Declared Per Share Amount Date of Payment 2018 August 2, 2018 $ 0.4844 September 27, 2018 May 2, 2018 $ 0.4844 June 27, 2018 February 15, 2018 $ 0.4844 March 27, 2018 2017 September 14, 2017 $ 0.4844 December 27, 2017 June 15, 2017 $ 0.4844 September 27, 2017 March 15, 2017 $ 0.48 June 27, 2017 Series C Preferred Stock Dividends Declared Per Share Amount Date of Payment 2018 August 2, 2018 $ 0.4688 September 27, 2018 May 2, 2018 $ 0.4688 June 27, 2018 February 15, 2018 $ 0.4688 March 27, 2018 2017 September 14, 2017 $ 0.6823 December 27, 2017 Common Stock Dividends Declared Per Share Amount Date of Payment 2018 September 14, 2018 $ 0.42 October 26, 2018 June 15, 2018 $ 0.42 July 26, 2018 March 15, 2018 $ 0.42 April 26, 2018 2017 September 14, 2017 $ 0.41 October 26, 2017 June 15, 2017 $ 0.40 July 26, 2017 March 15, 2017 $ 0.40 April 26, 2017

Earnings per Common Share

Earnings per Common Share	9 Months Ended
	Sep. 30, 2018
Earnings Per Share [Abstract]
Earnings per Common Share	Earnings per Common Share Earnings per share for the three and nine months ended September 30, 2018 and 2017 is computed as follows: Three Months Ended September 30, Nine Months Ended September 30, In thousands except per share amounts 2018 2017 2018 2017 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (64,480 ) 49,127 56,999 183,091 Effect of dilutive securities: Income allocated to exchangeable senior notes — 2,724 — 11,236 Income (loss) allocated to non-controlling interest (681 ) 800 1,153 2,656 Dilutive net income (loss) available to stockholders (65,161 ) 52,651 58,152 196,983 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,647 111,614 111,639 111,607 Effect of dilutive securities: Restricted stock awards — 20 16 20 Non-controlling interest OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 8,166 — 11,226 Dilutive Shares 113,072 121,225 113,080 124,278 Earnings per share: Net income (loss) attributable to common stockholders Basic (0.58 ) 0.44 0.51 1.64 Diluted (0.58 ) 0.43 0.51 1.59 The following potential common shares were excluded from our diluted earnings per share calculation as the effect would be anti-dilutive: 14,766 for restricted stock awards for the three months ended September 30, 2018 and 1,583,503 for the exchangeable senior notes for the nine months ended September 30, 2018 .

Non-controlling Interest - Oper

Non-controlling Interest - Operating Partnership	9 Months Ended
	Sep. 30, 2018
Noncontrolling Interest [Abstract]
Non-controlling Interest - Operating Partnership	Non-controlling Interest - Operating Partnership Non-controlling interest represents the aggregate ownership interest of a wholly-owned Invesco subsidiary in our Operating Partnership. The ownership percentage is determined by dividing the number of OP Units held by the Unit Holders by the total number of dilutive shares of common stock. The issuance or repurchase of common stock ("Share" or "Shares") or OP Units changes the percentage ownership of both the Unit Holders and the common stockholders. Since an OP unit is generally redeemable for cash or Shares at our option, it is deemed to be a Share equivalent. Therefore, such transactions are treated as capital transactions and result in a reallocation between stockholders’ equity and non-controlling interest in the accompanying condensed consolidated balance sheets. As of September 30, 2018 and December 31, 2017 , non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.3% interest in the Operating Partnership. Income allocated to the non-controlling interest is based on the Unit Holders' ownership percentage of the Operating Partnership. The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Net income (loss) allocated (681 ) 800 1,153 2,656 Distributions paid 599 570 1,796 1,710 As of September 30, 2018 and December 31, 2017 , distributions payable to the non-controlling interest were $598,500 and $598,500 , respectively.

Commitments and Contingencies

Commitments and Contingencies	9 Months Ended
	Sep. 30, 2018
Commitments and Contingencies Disclosure [Abstract]
Commitments and Contingencies	Commitments and Contingencies Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off-balance sheet commitments as of September 30, 2018 are discussed below. As discussed in Note 6 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of September 30, 2018 and December 31, 2017 , our undrawn capital and purchase commitments were $10.1 million and $10.2 million , respectively. As discussed in Note 6 - "Other Assets", we have funded our portion of a commitment in a loan participation. The remainder of our commitment under the agreement will be funded over the two year term of the loan based upon the financing needs of the borrower. As of September 30, 2018 , we have an unfunded commitment of $29.9 million . As discussed in Note 5 - "Commercial Loans Held-for-Investment", we purchase and originate commercial loans. As of September 30, 2018 , we have no unfunded commitments on commercial loans held for investment ( December 31, 2017 : $4.8 million ). We have entered into agreements with financial institutions to guarantee certain obligations of our subsidiaries. We would be required to perform under these guarantees in the event of certain defaults. We have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.

Subsequent Events

Subsequent Events	9 Months Ended
	Sep. 30, 2018
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events We have reviewed subsequent events occurring through the date that these condensed consolidated financial statements were issued and determined that no subsequent events occurred that would require accrual or additional disclosure.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	9 Months Ended
	Sep. 30, 2018
Accounting Policies [Abstract]
Basis of Presentation	Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2017 .
Consolidation	The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the condensed consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented.
Use of Estimates	Use of Estimates The preparation of condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates.
Restricted Cash	Restricted Cash Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments. Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes.
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements	Accounting Pronouncements Recently Adopted Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type. Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the nine months ended September 30, 2017 . The adoption resulted in a $21.7 million decrease in net cash provided by operating activities, $22.9 million decrease in net cash used in investing activities and $1.3 million decrease in net cash provided by financing activities. We included restricted cash of $300,000 as of September 30, 2018 and $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements.

Variable Interest Entities ("_2

Variable Interest Entities ("VIEs") (Tables)	9 Months Ended
	Sep. 30, 2018
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Summary of Assets and Liabilities of Variable Interest Entities	Our maximum risk of loss in VIEs in which we are not the primary beneficiary at September 30, 2018 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,270,768 3,270,768 Non-Agency RMBS 1,158,712 1,158,712 Investments in unconsolidated ventures 24,217 24,217 Total 4,453,697 4,453,697

Mortgage-Backed and Credit Ri_2

Mortgage-Backed and Credit Risk Transfer Securities (Tables)	9 Months Ended
	Sep. 30, 2018
Investments, Debt and Equity Securities [Abstract]
Summary of Investment Portfolio	The components of the carrying value of our MBS and GSE CRT portfolio at September 30, 2018 and December 31, 2017 are presented below. September 30, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 18,495,706 2,767,954 21,263,660 Unamortized premium 449,797 — 449,797 Unamortized discount (551,097 ) (2,690,525 ) (3,241,622 ) Gross unrealized gains (1) 243,555 7,682 251,237 Gross unrealized losses (1) (379,122 ) (7,125 ) (386,247 ) Fair value 18,258,839 77,986 18,336,825 December 31, 2017 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,974,390 2,880,963 20,855,353 Unamortized premium 521,626 — 521,626 Unamortized discount (577,344 ) (2,785,274 ) (3,362,618 ) Gross unrealized gains (1) 336,543 5,113 341,656 Gross unrealized losses (1) (155,146 ) (10,117 ) (165,263 ) Fair value 18,100,069 90,685 18,190,754 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and nine months ended September 30, 2018 and 2017 is provided below within this Note 4. The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of September 30, 2018 and December 31, 2017 . September 30, 2018 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 594,301 11,144 605,445 (3,286 ) 602,159 3.08 % 30 year fixed-rate 10,444,475 339,322 10,783,797 (284,747 ) 10,499,050 3.46 % ARM * 146,287 467 146,754 (1,676 ) 145,078 2.69 % Hybrid ARM* 1,011,695 19,333 1,031,028 (21,005 ) 1,010,023 2.68 % Total Agency RMBS pass-through 12,196,758 370,266 12,567,024 (310,714 ) 12,256,310 3.37 % Agency-CMO (2) 922,228 (684,283 ) 237,945 (13,795 ) 224,150 3.25 % Agency CMBS 578,952 11,995 590,947 (6,259 ) 584,688 3.39 % Non-Agency CMBS (3) 3,995,236 (715,867 ) 3,279,369 (8,601 ) 3,270,768 5.05 % Non-Agency RMBS (4)(5)(6) 2,832,999 (1,796,118 ) 1,036,881 121,831 1,158,712 7.26 % GSE CRT (7) 737,487 22,182 759,669 82,528 842,197 2.91 % Total 21,263,660 (2,791,825 ) 18,471,835 (135,010 ) 18,336,825 3.76 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of September 30, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 78.7% of principal/notional balance, 16.6% of amortized cost and 15.5% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.2% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS held by us is 46.6% variable rate, 47.1% fixed rate and 6.3% floating rate based on fair value. (5) Of the total discount in non-Agency RMBS, $198.5 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 56.2% of principal/notional balance, 2.5% of amortized cost and 2.5% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. December 31, 2017 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 2,917,307 119,120 3,036,427 (61,645 ) 2,974,782 2.17 % 30 year fixed-rate 7,354,211 295,977 7,650,188 (9,648 ) 7,640,540 3.09 % ARM 238,486 1,609 240,095 1,105 241,200 2.60 % Hybrid ARM 1,696,148 26,066 1,722,214 (2,829 ) 1,719,385 2.54 % Total Agency RMBS pass-through 12,206,152 442,772 12,648,924 (73,017 ) 12,575,907 2.79 % Agency-CMO (2) 1,226,539 (942,290 ) 284,249 (10,306 ) 273,943 2.91 % Non-Agency CMBS (3) 3,879,775 (704,097 ) 3,175,678 40,739 3,216,417 4.92 % Non-Agency RMBS (4)(5)(6) 2,785,704 (1,661,683 ) 1,124,021 133,587 1,257,608 7.19 % GSE CRT (7) 757,183 24,306 781,489 85,390 866,879 2.45 % Total 20,855,353 (2,840,992 ) 18,014,361 176,393 18,190,754 3.42 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% o f principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (4) Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value. (5) Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value. (7) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net.
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, 2018 and December 31, 2017 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of September 30, 2018 and December 31, 2017, approximately 61% and 36% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. September 30, 2018 December 31, 2017 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 369,459 232,700 602,159 2,842,440 132,342 2,974,782 30 year fixed-rate 1,569,998 8,929,052 10,499,050 2,467,871 5,172,669 7,640,540 ARM 145,078 — 145,078 241,200 — 241,200 Hybrid ARM 979,057 30,966 1,010,023 1,719,385 — 1,719,385 Total RMBS Agency pass-through 3,063,592 9,192,718 12,256,310 7,270,896 5,305,011 12,575,907 Agency-CMO 171,954 52,196 224,150 203,351 70,592 273,943 Agency CMBS — 584,688 584,688 — — — Non-Agency CMBS 2,241,109 1,029,659 3,270,768 2,376,413 840,004 3,216,417 Non-Agency RMBS 1,015,963 142,749 1,158,712 1,236,178 21,430 1,257,608 GSE CRT 611,163 231,034 842,197 635,537 231,342 866,879 Total 7,103,781 11,233,044 18,336,825 11,722,375 6,468,379 18,190,754
Fair Value of Mortgage-Backed Securities and GSE CRT Portfolio According to Weighted Average Life Classification	The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of September 30, 2018 and December 31, 2017 . $ in thousands September 30, 2018 December 31, 2017 Less than one year 135,685 135,559 Greater than one year and less than five years 4,097,807 7,934,836 Greater than or equal to five years 14,103,333 10,120,359 Total 18,336,825 18,190,754
Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time	The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at September 30, 2018 and December 31, 2017 . September 30, 2018 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 442,294 (4,202 ) 75 13,153 (311 ) 23 455,447 (4,513 ) 98 30 year fixed-rate 7,109,826 (156,950 ) 248 2,538,629 (134,979 ) 84 9,648,455 (291,929 ) 332 ARM 76,597 (688 ) 6 45,981 (1,197 ) 9 122,578 (1,885 ) 15 Hybrid ARM 491,065 (8,070 ) 52 459,728 (13,770 ) 66 950,793 (21,840 ) 118 Total Agency RMBS pass-through (1) 8,119,782 (169,910 ) 381 3,057,491 (150,257 ) 182 11,177,273 (320,167 ) 563 Agency-CMO (2) 116,495 (7,696 ) 31 93,933 (8,179 ) 20 210,428 (15,875 ) 51 Agency CMBS (3) 584,688 (6,259 ) 12 — — — 584,688 (6,259 ) 12 Non-Agency CMBS (4) 1,569,147 (21,167 ) 108 513,211 (19,198 ) 39 2,082,358 (40,365 ) 147 Non-Agency RMBS (5) 247,068 (2,981 ) 26 57,666 (600 ) 11 304,734 (3,581 ) 37 Total 10,637,180 (208,013 ) 558 3,722,301 (178,234 ) 252 14,359,481 (386,247 ) 810 (1) Amounts disclosed includes Agency RMBS with a fair value of $ 8.7 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 250.2 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.6 million and $17.4 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.8 million and $1.2 million , respectively. (3) Fair value option has been elected for all Agency CMBS. (4) Amounts disclosed includes non-Agency CMBS with a fair value of $652.5 million for which the fair value option has been elected. Such securities have unrealized losses of $13.8 million . (5) Amounts disclosed includes non-Agency RMBS and non-Agency IO with a fair value of $115.1 million and $8.4 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $1.1 million and $368,000 , respectively. December 31, 2017 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 15 year fixed-rate 111,020 (321 ) 26 2,406,021 (67,285 ) 133 2,517,041 (67,606 ) 159 30 year fixed-rate 3,677,576 (20,730 ) 107 963,547 (27,158 ) 56 4,641,123 (47,888 ) 163 ARM 101,173 (902 ) 12 — — — 101,173 (902 ) 12 Hybrid ARM 614,321 (4,189 ) 73 517,642 (8,091 ) 47 1,131,963 (12,280 ) 120 Total Agency RMBS pass-through (1) 4,504,090 (26,142 ) 218 3,887,210 (102,534 ) 236 8,391,300 (128,676 ) 454 Agency-CMO (2) 75,299 (10,433 ) 44 81,988 (2,309 ) 5 157,287 (12,742 ) 49 Non-Agency CMBS (3) 892,553 (17,612 ) 81 135,139 (3,792 ) 12 1,027,692 (21,404 ) 93 Non-Agency RMBS (4) 84,439 (709 ) 15 96,263 (1,732 ) 11 180,702 (2,441 ) 26 Total 5,556,381 (54,896 ) 358 4,200,600 (110,367 ) 264 9,756,981 (165,263 ) 622 (1) Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 22.8 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000 , respectively. (3) Amounts disclosed includes non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million . (4) Amounts disclosed includes non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000 .
Changes in other than temporary impairment included in earnings	The following table summarizes OTTI included in earnings for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 RMBS interest-only securities 702 4,959 7,100 8,835 Non-Agency RMBS (1) 35 — 85 754 Total 737 4,959 7,185 9,589 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income.
Realized Gain (Loss) on Investments	The following table summarizes the components of our total gain (loss) on investments, net for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Gross realized gains on sale of investments 739 — 774 2,208 Gross realized losses on sale of investments (141,454 ) (7 ) (162,251 ) (3,873 ) Other-than-temporary impairment losses (737 ) (4,959 ) (7,185 ) (9,589 ) Net unrealized gains and losses on MBS accounted for under the fair value option (66,831 ) (5,301 ) (236,967 ) (1,188 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option 377 (1,608 ) 993 9,866 Net unrealized gains and losses on trading securities (4 ) 2 (21 ) 25 Total gain (loss) on investments, net (207,910 ) (11,873 ) (404,657 ) (2,551 )
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, 2018 and 2017 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 115,829 (20,850 ) 94,979 Non-Agency CMBS 37,938 1,470 39,408 Non-Agency RMBS 14,106 4,831 18,937 GSE CRT 7,513 (731 ) 6,782 Other 310 — 310 Total 175,696 (15,280 ) 160,416 For the three months ended September 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 99,748 (26,155 ) 73,593 Non-Agency CMBS 33,613 (591 ) 33,022 Non-Agency RMBS 17,109 4,846 21,955 GSE CRT 6,021 (597 ) 5,424 Other 144 — 144 Total 156,635 (22,497 ) 134,138 For the nine months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 329,576 (66,347 ) 263,229 Non-Agency CMBS 113,332 4,091 117,423 Non-Agency RMBS 41,313 15,167 56,480 GSE CRT 21,218 (2,124 ) 19,094 Other 741 — 741 Total 506,180 (49,213 ) 456,967 For the nine months ended September 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 282,958 (82,508 ) 200,450 Non-Agency CMBS 94,795 (5,077 ) 89,718 Non-Agency RMBS 55,854 12,967 68,821 GSE CRT 16,064 (1,315 ) 14,749 Other 300 — 300 Total 449,971 (75,933 ) 374,038

Commercial Loans Held-for-Inv_2

Commercial Loans Held-for-Investment (Tables)	9 Months Ended
	Sep. 30, 2018
Receivables [Abstract]
Schedule of Commercial Loans Held-for-Investment	The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of September 30, 2018 and December 31, 2017 . $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) September 30, 2018 2 31,707 — 31,707 10.44 % 2.0 December 31, 2017 8 191,894 (86 ) 191,808 8.52 % 1.2 (1) Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements.

Other Assets (Tables)

Other Assets (Tables)	9 Months Ended
	Sep. 30, 2018
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, 2018 and December 31, 2017 . $ in thousands September 30, 2018 December 31, 2017 FHLBI stock 74,250 74,250 Loan participation interest 45,058 — Investments in unconsolidated ventures 24,217 25,972 Investment in exchange-traded fund — 3,979 Prepaid expenses and other assets 1,490 1,379 Total 145,015 105,580

Borrowings (Tables)

Borrowings (Tables)	9 Months Ended
	Sep. 30, 2018
Debt Disclosure [Abstract]
Schedule of Borrowings	The following tables summarize certain characteristics of our borrowings at September 30, 2018 and December 31, 2017 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands September 30, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 10,693,221 2.29 % 42 Agency CMBS 559,258 2.28 % 61 Non-Agency CMBS 1,525,347 3.31 % 20 Non-Agency RMBS 876,406 3.36 % 26 GSE CRT 690,493 3.30 % 23 Loan participation interest 33,793 3.93 % 697 Total Repurchase Agreements 14,378,518 2.52 % 40 Secured Loans 1,650,000 2.38 % 2,044 Total Borrowings 16,028,518 2.50 % 246 $ in thousands December 31, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,111,755 1.58 % 25 Non-Agency CMBS 1,396,330 2.61 % 9 Non-Agency RMBS 915,225 2.77 % 31 GSE CRT 657,491 2.78 % 24 Total Repurchase Agreements 14,080,801 1.82 % 25 Secured Loans 1,650,000 1.52 % 2,317 Exchangeable Senior Notes (1) 143,410 5.00 % 74 Total Borrowings 15,874,211 1.82 % 263 (1) The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017 . The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017 .
Schedule of Maturities of Outstanding Borrowings	The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: September 30, 2018 10/1/2018 - 9/30/2019 14,344,725 10/1/2019 - 9/30/2020 333,793 10/1/2020 - 9/30/2021 100,000 10/1/2021 - 9/30/2022 — 10/1/2022 - 9/30/2023 — Thereafter 1,250,000 Total 16,028,518
Schedule of Repurchase Agreements by Counterparties	The following tables summarize certain characteristics of our repurchase agreements and secured loans at September 30, 2018 and December 31, 2017 . September 30, 2018 $ in thousands Amount Outstanding Percent of Total Amount Outstanding Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC 1,516,849 9.5 % 1,615,248 Mirae Asset Securities 1,461,790 9.1 % 1,544,998 ING Financial Market 1,421,007 8.9 % 1,519,860 E D & F Man Capital Markets 1,229,333 7.7 % 1,300,892 Royal Bank of Canada 1,162,208 7.1 % 1,374,230 Industrial and Commercial Bank of China 1,069,894 6.7 % 1,141,135 South Street Securities 740,686 4.6 % 780,219 Citigroup 737,250 4.6 % 859,223 MUFJ Securities 520,086 3.2 % 581,079 Amherst Pierpont Securities 476,763 3.0 % 511,652 Federal Home Loan Mortgage Corp 448,893 2.8 % 476,023 Societe Generale 403,911 2.5 % 506,541 JP Morgan 342,608 2.1 % 408,518 Wells Fargo Securities 318,432 2.0 % 364,723 Goldman Sachs 316,714 2.0 % 413,391 BNP Paribas Securities 268,540 1.7 % 304,177 Guggenheim Liquidity Services 260,650 1.6 % 278,794 Mizuho Securities 258,112 1.6 % 281,012 Scotia Capital 204,958 1.3 % 213,515 Natixis Securities 201,715 1.3 % 235,189 All other counterparties (2) 1,018,119 6.4 % 1,172,737 Total Repurchase Agreement Counterparties 14,378,518 89.7 % 15,883,156 Secured Loans Counterparty: FHLBI 1,650,000 10.3 % 1,898,258 Total 16,028,518 100.0 % 17,781,414 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017 . See Note 8 - "Collateral Positions" of this Form 10-Q for additional details regarding collateral pledged. (2) Represents amounts outstanding with nine counterparties. December 31, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding Collateral Pledged (1) Repurchase Agreement Counterparties: HSBC 1,745,684 11.2 % 1,839,411 ING Financial Markets 1,482,603 9.4 % 1,571,061 Royal Bank of Canada 1,144,856 7.3 % 1,375,285 Industrial and Commercial Bank of China 1,038,844 6.6 % 1,102,543 E D & F Man Capital Markets 1,028,437 6.5 % 1,085,429 Mirae Asset Securities 958,756 6.1 % 1,018,664 MUFG Securities 865,201 5.5 % 936,071 Citigroup 724,094 4.6 % 841,977 Amherst Pierpont Securities 722,080 4.6 % 764,713 KGS-Alpha Capital Markets 461,098 2.9 % 491,313 JP Morgan 451,941 2.9 % 523,590 Societe Generale 386,737 2.5 % 495,093 BNP Paribas Securities 348,340 2.2 % 388,091 South Street Securities 332,623 2.1 % 354,689 Goldman Sachs 324,152 2.1 % 419,713 Mizuho Securities 310,835 2.0 % 330,555 Guggenheim Liquidity Services 306,081 1.9 % 322,452 Bank of Nova Scotia 289,705 1.8 % 301,715 Natixis Securities 275,764 1.8 % 302,291 All other counterparties (2) 882,970 5.5 % 1,058,759 Total Repurchase Agreement Counterparties 14,080,801 89.5 % 15,523,415 Secured Loans Counterparty: FHLBI 1,650,000 10.5 % 1,927,496 Total 15,730,801 100.0 % 17,450,911 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2017 . See Note 8 - "Collateral Positions" of this Form 10-Q for additional details regarding collateral pledged. (2) Represents amounts outstanding with seven counterparties.

Collateral Positions (Tables)

Collateral Positions (Tables)	9 Months Ended
	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Fair Value of Collateral Hold and Pledged	The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps, futures contracts and currency forward contracts as of September 30, 2018 and December 31, 2017 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2017 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of September 30, 2018 and December 31, 2017 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged September 30, 2018 December 31, 2017 Repurchase Agreements: Agency RMBS (1) 11,425,714 11,788,765 Agency CMBS 584,688 — Non-Agency CMBS 1,908,538 853,446 Non-Agency RMBS 1,076,961 1,737,831 GSE CRT 842,197 1,143,373 Loan participation interest 45,058 — Total repurchase agreements collateral pledged 15,883,156 15,523,415 Secured Loans: Agency RMBS 636,506 623,181 Non-Agency CMBS 1,261,752 1,304,315 Total secured loans collateral pledged 1,898,258 1,927,496 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS (2) 186,346 109,900 Cash 26,680 620 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 213,026 110,520 Total collateral pledged: Mortgage-backed and credit risk transfer securities 17,922,702 17,560,811 Loan participation interest 45,058 — Cash 26,680 620 Total collateral pledged 17,994,440 17,561,431 Collateral Held September 30, 2018 December 31, 2017 Interest Rate Swaps: Cash 47,687 7,327 Total collateral held 47,687 7,327 (1) Includes pledged securities of $449.3 million sold but not settled as of September 30, 2018 that are recorded as investment related receivable on our condensed consolidated balance sheet. Securities associated with unsettled trades remain legally pledged until the related repurchase agreement is repaid. There were no securities pledged as collateral associated with unsettled trades as of December 31, 2017. (2) During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above.

Derivatives and Hedging Activ_2

Derivatives and Hedging Activities (Tables)	9 Months Ended
	Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Outstanding Interest Rate Swaptions and Derivative Instrument Information	The following table summarizes changes in the notional amount of our derivative instruments during 2018 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps (1) (2) 8,620,000 2,700,000 (1,450,000 ) 9,870,000 Futures Contracts — 2,489,400 (1,040,000 ) 1,449,400 Currency Forward Contracts 76,859 185,578 (233,613 ) 28,824 Credit Derivatives 553,493 — (18,259 ) 535,234 TBA Purchase Contracts (3) — 283,100 (283,100 ) — TBA Sale Contracts — (283,100 ) 283,100 — Total 9,250,352 5,374,978 (2,741,872 ) 11,883,458 (1) Notional amount as of September 30, 2018 excludes $1.4 billion of interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2017 excludes $500.0 million of interest rate swaps with forward start dates. (3) To Be Announced Securities ("TBAs")
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges	As of September 30, 2018 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing 1-month LIBOR 400,000 7/30/2020 2.69 % CME Central Clearing 1-month LIBOR 200,000 9/20/2020 2.79 % CME Central Clearing 1-month LIBOR 400,000 9/28/2020 2.72 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.69 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.50 % CME Central Clearing 3-month LIBOR 500,000 5/24/2021 2.25 % Citibank, N.A. 1-month LIBOR 200,000 5/25/2021 2.83 % CME Central Clearing 3-month LIBOR 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 1-month LIBOR 550,000 2/24/2022 2.45 % CME Central Clearing 3-month LIBOR 1,000,000 6/9/2022 2.21 % CME Central Clearing 3-month LIBOR 1,000,000 8/14/2022 1.87 % The Royal Bank of Scotland Plc 1-month LIBOR 500,000 8/15/2023 1.98 % CME Central Clearing 1-month LIBOR 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 1-month LIBOR 500,000 12/15/2023 2.20 % CME Central Clearing 3-month LIBOR 450,000 1/12/2024 2.10 % CME Central Clearing 3-month LIBOR 450,000 1/25/2024 2.15 % LCH Central Clearing 3-month LIBOR 1,000,000 2/6/2025 2.77 % CME Central Clearing 3-month LIBOR 100,000 4/2/2025 2.04 % LCH Central Clearing 3-month LIBOR 220,000 8/31/2027 2.12 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.78 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.39 % LCH Central Clearing 1-month LIBOR 200,000 7/3/2028 2.78 % Total 9,870,000 2.39 % As of September 30, 2018 , we had the following additional interest rate swaps outstanding with forward start dates: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing (1) 3-month LIBOR 600,000 2/5/2026 2.64 % LCH Central Clearing (2) 3-month LIBOR 200,000 3/17/2031 2.74 % LCH Central Clearing (3) 1-month LIBOR 600,000 8/24/2033 3.18 % Total 1,400,000 2.88 % (1) Forward start date of 2/5/2021 (2) Forward start date of 3/15/2021 (3) Forward start date of 8/24/2023
Disclosure of Credit Derivatives	At September 30, 2018 and December 31, 2017 , terms of the GSE CRT embedded derivatives are: $ in thousands September 30, 2018 December 31, 2017 Fair value amount 37,366 45,400 Notional amount 535,234 553,493 Maximum potential amount of future undiscounted payments 535,234 553,493
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet	The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of September 30, 2018 and December 31, 2017 . $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2018 As of December 31, 2017 As of September 30, 2018 As of December 31, 2017 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 46,212 6,896 Interest Rate Swaps Liability 5,683 31,548 Currency Forward Contracts 2 — Currency Forward Contracts 95 1,217 Futures Contracts 8,204 —
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, 2018 and 2017 . $ in thousands Three months ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,638 (663 ) 4,975 $ in thousands Three months ended September 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,873 (8,803 ) (2,930 ) $ in thousands Nine months ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 16,909 (8,034 ) 8,875 $ in thousands Nine months ended September 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 17,524 20,904 38,428 The following table summarizes the effect of interest rate swaps, futures contracts, currency forward contracts, and TBAs reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and nine months ended September 30, 2018 and 2017 : $ in thousands Three Months Ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 68,953 (2,763 ) (178 ) 66,012 Futures Contracts 27,136 — (5,548 ) 21,588 Currency Forward Contracts 3,569 — (3,480 ) 89 TBAs (17 ) — — (17 ) Total 99,641 (2,763 ) (9,206 ) 87,672 $ in thousands Three Months Ended September 30, 2017 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 21,126 (17,453 ) 144 3,817 Currency Forward Contracts (1,623 ) — (239 ) (1,862 ) Total 19,503 (17,453 ) (95 ) 1,955 $ in thousands Nine Months Ended September 30, 2018 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 225,499 (19,386 ) 65,181 271,294 Futures Contracts 22,499 — (8,204 ) 14,295 Currency Forward Contracts 1,512 — 1,124 2,636 TBAs (17 ) — — (17 ) Total 249,493 (19,386 ) 58,101 288,208 $ in thousands Nine Months Ended September 30, 2017 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (1,392 ) (60,313 ) 21,069 (40,636 ) Currency Forward Contracts (4,416 ) — (1,044 ) (5,460 ) Total (5,808 ) (60,313 ) 20,025 (46,096 )

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Tables)	9 Months Ended
	Sep. 30, 2018
Offsetting [Abstract]
Offsetting Derivative Assets	Offsetting of Derivative Assets As of September 30, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 46,214 — 46,214 (2 ) (46,089 ) 123 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 8,299 — 8,299 (2 ) (8,297 ) — Repurchase Agreements (4) 14,378,518 — 14,378,518 (14,378,518 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 16,036,817 — 16,036,817 (16,028,520 ) (8,297 ) — Offsetting of Derivative Assets As of December 31, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2018 and December 31, 2017 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our derivatives was $186.3 million ( December 31, 2017 : $109.9 million ) at September 30, 2018 , of which $186.3 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $47.7 million and $7.3 million at September 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $26.7 million and $620,000 at September 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at September 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.9 billion and $15.5 billion at September 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at September 30, 2018 and December 31, 2017 , respectively.
Offsetting Derivative Liabilities	Offsetting of Derivative Assets As of September 30, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 46,214 — 46,214 (2 ) (46,089 ) 123 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 2018 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 8,299 — 8,299 (2 ) (8,297 ) — Repurchase Agreements (4) 14,378,518 — 14,378,518 (14,378,518 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 16,036,817 — 16,036,817 (16,028,520 ) (8,297 ) — Offsetting of Derivative Assets As of December 31, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral Received Net Amount Derivatives (1) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2017 Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2) Cash Collateral Pledged Net Amount Derivatives (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2018 and December 31, 2017 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. (3) The fair value of securities pledged against our derivatives was $186.3 million ( December 31, 2017 : $109.9 million ) at September 30, 2018 , of which $186.3 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $47.7 million and $7.3 million at September 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $26.7 million and $620,000 at September 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at September 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.9 billion and $15.5 billion at September 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at September 30, 2018 and December 31, 2017 , respectively.

Fair Value of Financial Instr_2

Fair Value of Financial Instruments (Tables)	9 Months Ended
	Sep. 30, 2018
Fair Value Disclosures [Abstract]
Fair Value Measured on Recurring Basis	The following tables present our assets and liabilities measured at fair value on a recurring basis. September 30, 2018 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 18,299,459 37,366 — 18,336,825 Derivative assets — 46,214 — — 46,214 Other assets (4) (5) — — 45,058 24,217 69,275 Total assets — 18,345,673 82,424 24,217 18,452,314 Liabilities: Derivative liabilities 8,204 5,778 — — 13,982 Total liabilities 8,204 5,778 — — 13,982 December 31, 2017 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 18,145,354 45,400 — 18,190,754 Derivative assets — 6,896 — — 6,896 Other assets (5) 3,979 — — 25,972 29,951 Total assets 3,979 18,152,250 45,400 25,972 18,227,601 Liabilities: Derivative liabilities — 32,765 — — 32,765 Total liabilities — 32,765 — — 32,765 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of September 30, 2018 , the net embedded derivative asset position of $37.4 million includes $39.4 million of embedded derivatives in an asset position and $2.0 million of embedded derivatives in a liability position. As of December 31, 2017 , the net embedded derivative asset position of $45.4 million includes $46.5 million of embedded derivatives in an asset position and $1.1 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of September 30, 2018 and December 31, 2017 , the weighted average remaining term of investments in unconsolidated ventures is 2.4 and 1.9 years, respectively. (4) Includes $45.1 million of a loan participation interest as of September 30, 2018 . The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value. (5) Includes $4.0 million of an investment in an exchange-traded fund as of December 31, 2017. We sold this investment during the three months ended September 30, 2018.
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 2018 2017 2018 2017 Beginning balance 38,029 46,802 45,400 17,095 Unrealized credit derivative gains (losses), net (663 ) (8,803 ) (8,034 ) 20,904 Ending balance 37,366 37,999 37,366 37,999
Loan participation interest Level 3 Roll Forward	The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Beginning balance — — — — Purchases 45,058 — 45,058 — Ending balance 45,058 — 45,058 —
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 September 30, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 37,366 Market Comparables, Vendor Pricing Weighted average life 2.9 - 6.2 years 4.4 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 45,400 Market Comparables, Vendor Pricing Weighted average life 2.6 - 6.8 years 4.8 years
Carrying Value and Estimated Fair Value of Financial Instruments	The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at September 30, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 31,707 31,114 191,808 191,930 Other assets 74,250 74,250 74,250 74,250 Total 105,957 105,364 266,058 266,180 Financial Liabilities Repurchase agreements 14,378,518 14,377,381 14,080,801 14,080,460 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes — — 143,231 143,948 Total 16,028,518 16,027,381 15,874,032 15,874,408

Related Party Transactions (Tab

Related Party Transactions (Tables)	9 Months Ended
	Sep. 30, 2018
Related Party Transactions [Abstract]
Schedule of Related Party Transactions	The following table summarizes the costs incurred on our behalf by our Manager for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Incurred costs, prepaid or expensed 2,133 2,378 4,925 5,172 Incurred costs, charged against equity as a cost of raising capital — — 167 — Total incurred costs, originally paid by our Manager 2,133 2,378 5,092 5,172

Shareholders' Equity (Tables)

Shareholders' Equity (Tables)	9 Months Ended
	Sep. 30, 2018
Equity [Abstract]
Schedule of Nonvested Restricted Stock Units Activity	The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three and nine months ended September 30, 2018 . Three Months Ended September 30, Nine Months Ended September 30, 2018 2018 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 19,185 $ 14.56 19,827 $ 14.35 Shares granted during the period — — 7,055 15.37 Shares forfeited during the period (3,967 ) 14.56 (3,967 ) 14.56 Shares vested during the period (4,167 ) 14.62 (11,864 ) 14.71 Unvested at the end of the period 11,051 $ 14.55 11,051 $ 14.55 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date.
Schedule of accumulated other comprehensive income	The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended September 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (40,554 ) — (40,554 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 134,280 — 134,280 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,422 ) (6,422 ) Currency translation adjustments on investment in unconsolidated venture (1,126 ) — — (1,126 ) Total other comprehensive income/(loss) (1,126 ) 93,726 (6,422 ) 86,178 AOCI balance at beginning of period 1,736 (22,901 ) 110,626 89,461 Total other comprehensive income/(loss) (1,126 ) 93,726 (6,422 ) 86,178 Other comprehensive income/(loss) attributable to non-controlling interest 13 (1,181 ) 82 (1,086 ) AOCI balance at end of period 623 69,644 104,286 174,553 Three Months Ended September 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 19,089 — 19,089 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 7 — 7 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,438 ) (6,438 ) Currency translation adjustments on investment in unconsolidated venture 807 — — 807 Total other comprehensive income/(loss) 807 19,096 (6,438 ) 13,465 AOCI balance at beginning of period (375 ) 201,158 136,608 337,391 Total other comprehensive income/(loss) 807 19,096 (6,438 ) 13,465 Other comprehensive income/(loss) attributable to non-controlling interest (10 ) (241 ) 81 (170 ) Rebalancing of ownership percentage of non-controlling interest — — — — AOCI balance at end of period 422 220,013 130,251 350,686 Nine Months Ended September 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (220,800 ) — (220,800 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 153,406 — 153,406 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,859 ) (19,859 ) Currency translation adjustments on investment in unconsolidated venture (328 ) — — (328 ) Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) Other comprehensive income/(loss) attributable to non-controlling interest 4 850 251 1,105 AOCI balance at end of period 623 69,644 104,286 174,553 Nine Months Ended September 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 75,011 — 75,011 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 1,508 — 1,508 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,105 ) (19,105 ) Currency translation adjustments on investment in unconsolidated venture 331 — — 331 Total other comprehensive income/(loss) 331 76,519 (19,105 ) 57,745 AOCI balance at beginning of period 95 144,458 149,115 293,668 Total other comprehensive income/(loss) 331 76,519 (19,105 ) 57,745 Other comprehensive income/(loss) attributable to non-controlling interest (4 ) (965 ) 241 (728 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 AOCI balance at end of period 422 220,013 130,251 350,686
Schedule of Dividends Declared	We declared the following dividends during the nine months ended September 30, 2018 and 2017: Series A Preferred Stock Dividends Declared Per Share Amount Date of Payment 2018 September 14, 2018 $ 0.4844 October 25, 2018 June 15, 2018 $ 0.4844 July 25, 2018 March 15, 2018 $ 0.4844 April 25, 2018 2017 September 14, 2017 $ 0.4844 October 25, 2017 June 15, 2017 $ 0.4844 July 25, 2017 March 15, 2017 $ 0.4844 April 25, 2017 Series B Preferred Stock Dividends Declared Per Share Amount Date of Payment 2018 August 2, 2018 $ 0.4844 September 27, 2018 May 2, 2018 $ 0.4844 June 27, 2018 February 15, 2018 $ 0.4844 March 27, 2018 2017 September 14, 2017 $ 0.4844 December 27, 2017 June 15, 2017 $ 0.4844 September 27, 2017 March 15, 2017 $ 0.48 June 27, 2017 Series C Preferred Stock Dividends Declared Per Share Amount Date of Payment 2018 August 2, 2018 $ 0.4688 September 27, 2018 May 2, 2018 $ 0.4688 June 27, 2018 February 15, 2018 $ 0.4688 March 27, 2018 2017 September 14, 2017 $ 0.6823 December 27, 2017 Common Stock Dividends Declared Per Share Amount Date of Payment 2018 September 14, 2018 $ 0.42 October 26, 2018 June 15, 2018 $ 0.42 July 26, 2018 March 15, 2018 $ 0.42 April 26, 2018 2017 September 14, 2017 $ 0.41 October 26, 2017 June 15, 2017 $ 0.40 July 26, 2017 March 15, 2017 $ 0.40 April 26, 2017

Earnings per Common Share (Tabl

Earnings per Common Share (Tables)	9 Months Ended
	Sep. 30, 2018
Earnings Per Share [Abstract]
Earnings Per Share	Earnings per share for the three and nine months ended September 30, 2018 and 2017 is computed as follows: Three Months Ended September 30, Nine Months Ended September 30, In thousands except per share amounts 2018 2017 2018 2017 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (64,480 ) 49,127 56,999 183,091 Effect of dilutive securities: Income allocated to exchangeable senior notes — 2,724 — 11,236 Income (loss) allocated to non-controlling interest (681 ) 800 1,153 2,656 Dilutive net income (loss) available to stockholders (65,161 ) 52,651 58,152 196,983 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,647 111,614 111,639 111,607 Effect of dilutive securities: Restricted stock awards — 20 16 20 Non-controlling interest OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 8,166 — 11,226 Dilutive Shares 113,072 121,225 113,080 124,278 Earnings per share: Net income (loss) attributable to common stockholders Basic (0.58 ) 0.44 0.51 1.64 Diluted (0.58 ) 0.43 0.51 1.59

Non-controlling Interest - Op_2

Non-controlling Interest - Operating Partnership (Tables)	9 Months Ended
	Sep. 30, 2018
Noncontrolling Interest [Abstract]
Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests	The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the three and nine months ended September 30, 2018 and 2017 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2018 2017 2018 2017 Net income (loss) allocated (681 ) 800 1,153 2,656 Distributions paid 599 570 1,796 1,710

Organization and Business Ope_2

Organization and Business Operations (Detail) - segment	9 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Organization And Business Operations
Ownership interest in Operating Partnership	98.70%
Ownership percentage in Operating Partnership	1.30%	1.30%
Number of operating segments	1
Minimum distribution percentage of taxable income to qualify for REIT	90.00%
Invesco Investments (Bermuda) Ltd
Organization And Business Operations
Ownership percentage in Operating Partnership	1.30%

Summary of Significant Accoun_3

Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands	9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Decrease in net cash provided by operating activities	$ (221,718)	$ (204,174)
Decrease in net cash used in investing activities	(180,726)	(3,098,642)
Decrease in net cash provided by financing activities	21,470	(2,806,210)
Restricted cash	$ 300		$ 620
Accounting Standards Update 2016-15
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Decrease in net cash provided by operating activities		(21,700)
Decrease in net cash used in investing activities		22,900
Decrease in net cash provided by financing activities		$ (1,300)

Variable Interest Entities ("_3

Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Variable Interest Entity
Carrying Amount	$ 18,336,825	$ 18,190,754
Variable Interest Entity, Not Primary Beneficiary
Variable Interest Entity
Carrying Amount	4,453,697
Company's Maximum Risk of Loss	4,453,697
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS
Variable Interest Entity
Carrying Amount	3,270,768
Company's Maximum Risk of Loss	3,270,768
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS
Variable Interest Entity
Carrying Amount	1,158,712
Company's Maximum Risk of Loss	1,158,712
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures
Variable Interest Entity
Carrying Amount	24,217
Company's Maximum Risk of Loss	$ 24,217

Mortgage-Backed and Credit Ri_3

Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 21,263,660	$ 20,855,353
Unamortized Premium (Discount)	(2,791,825)	(2,840,992)
Amortized Cost	18,471,835	18,014,361
Unrealized Gain/ (Loss), net	(135,010)	176,393
Fair value	$ 18,336,825	$ 18,190,754
Period- end Weighted Average Yield	3.76%	3.42%
Percentage of agency collateralized mortgage obligations interest only securities, principal balance	78.70%	81.80%
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost	16.60%	20.90%
Percentage of agency collateralized mortgage obligations interest only securities, fair value	15.50%	18.70%
Percentage of CMBS interest only, principal balance	15.20%	15.80%
Percentage of CMBS interest only, amortized cost	0.40%	0.50%
Percentage of CMBS interest only, fair value	0.50%	0.60%
Unamortized premium (discount) non-accretable portion	$ 198,500	$ 195,300
Percentage of Non-Agency RMBS interest-only, principal balance	56.20%	51.50%
Percentage of Non-Agency RMBS interest-only, amortized cost	2.50%	2.00%
Percentage of Non-Agency RMBS interest only, fair value	2.50%	1.80%
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 594,301	$ 2,917,307
Unamortized Premium (Discount)	11,144	119,120
Amortized Cost	605,445	3,036,427
Unrealized Gain/ (Loss), net	(3,286)	(61,645)
Fair value	$ 602,159	$ 2,974,782
Period- end Weighted Average Yield	3.08%	2.17%
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 10,444,475	$ 7,354,211
Unamortized Premium (Discount)	339,322	295,977
Amortized Cost	10,783,797	7,650,188
Unrealized Gain/ (Loss), net	(284,747)	(9,648)
Fair value	$ 10,499,050	$ 7,640,540
Period- end Weighted Average Yield	3.46%	3.09%
ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 146,287	$ 238,486
Unamortized Premium (Discount)	467	1,609
Amortized Cost	146,754	240,095
Unrealized Gain/ (Loss), net	(1,676)	1,105
Fair value	$ 145,078	$ 241,200
Period- end Weighted Average Yield	2.69%	2.60%
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 1,011,695	$ 1,696,148
Unamortized Premium (Discount)	19,333	26,066
Amortized Cost	1,031,028	1,722,214
Unrealized Gain/ (Loss), net	(21,005)	(2,829)
Fair value	$ 1,010,023	$ 1,719,385
Period- end Weighted Average Yield	2.68%	2.54%
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 12,196,758	$ 12,206,152
Unamortized Premium (Discount)	370,266	442,772
Amortized Cost	12,567,024	12,648,924
Unrealized Gain/ (Loss), net	(310,714)	(73,017)
Fair value	$ 12,256,310	$ 12,575,907
Period- end Weighted Average Yield	3.37%	2.79%
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 922,228	$ 1,226,539
Unamortized Premium (Discount)	(684,283)	(942,290)
Amortized Cost	237,945	284,249
Unrealized Gain/ (Loss), net	(13,795)	(10,306)
Fair value	$ 224,150	$ 273,943
Period- end Weighted Average Yield	3.25%	2.91%
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 578,952
Unamortized Premium (Discount)	11,995
Amortized Cost	590,947
Unrealized Gain/ (Loss), net	(6,259)
Fair value	$ 584,688	$ 0
Period- end Weighted Average Yield	3.39%
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 3,995,236	3,879,775
Unamortized Premium (Discount)	(715,867)	(704,097)
Amortized Cost	3,279,369	3,175,678
Unrealized Gain/ (Loss), net	(8,601)	40,739
Fair value	$ 3,270,768	$ 3,216,417
Period- end Weighted Average Yield	5.05%	4.92%
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 2,832,999	$ 2,785,704
Unamortized Premium (Discount)	(1,796,118)	(1,661,683)
Amortized Cost	1,036,881	1,124,021
Unrealized Gain/ (Loss), net	121,831	133,587
Fair value	$ 1,158,712	$ 1,257,608
Period- end Weighted Average Yield	7.26%	7.19%
Percentage of non-agency securities classified as variable rate	46.60%	52.20%
Percentage of non-agency securities classified as fixed rate	47.10%	37.80%
Percentage of non-agency securities classified as floating rate	6.30%	10.00%
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Principal/ Notional Balance	$ 737,487	$ 757,183
Unamortized Premium (Discount)	22,182	24,306
Amortized Cost	759,669	781,489
Unrealized Gain/ (Loss), net	82,528	85,390
Fair value	$ 842,197	$ 866,879
Period- end Weighted Average Yield	2.91%	2.45%

Mortgage-Backed and Credit Ri_4

Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Percentage of MBS and GSE CRT are accounted for under the fair value option	61.00%	36.00%
Gross unrealized losses	$ 386,247	$ 165,263
Agency RMBS, Agency CMBS and CMO
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	335,500	131,300
Agency IO, non-Agency RMBS and non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Gross unrealized losses	$ 50,700	$ 33,900

Mortgage-Backed and Credit Ri_5

Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	$ 7,103,781	$ 11,722,375
Securities under Fair Value Option	11,233,044	6,468,379
Marketable Securities	18,336,825	18,190,754
15 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	369,459	2,842,440
Securities under Fair Value Option	232,700	132,342
Marketable Securities	602,159	2,974,782
30 year fixed-rate
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,569,998	2,467,871
Securities under Fair Value Option	8,929,052	5,172,669
Marketable Securities	10,499,050	7,640,540
ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	145,078	241,200
Securities under Fair Value Option	0	0
Marketable Securities	145,078	241,200
Hybrid ARM
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	979,057	1,719,385
Securities under Fair Value Option	30,966	0
Marketable Securities	1,010,023	1,719,385
Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	3,063,592	7,270,896
Securities under Fair Value Option	9,192,718	5,305,011
Marketable Securities	12,256,310	12,575,907
Agency-CMO
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	171,954	203,351
Securities under Fair Value Option	52,196	70,592
Marketable Securities	224,150	273,943
Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	0	0
Securities under Fair Value Option	584,688	0
Marketable Securities	584,688	0
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	2,241,109	2,376,413
Securities under Fair Value Option	1,029,659	840,004
Marketable Securities	3,270,768	3,216,417
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	1,015,963	1,236,178
Securities under Fair Value Option	142,749	21,430
Marketable Securities	1,158,712	1,257,608
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Available-for-sale Securities	611,163	635,537
Securities under Fair Value Option	231,034	231,342
Marketable Securities	$ 842,197	$ 866,879

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, 2018	Dec. 31, 2017
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	$ 21,263,660	$ 20,855,353
Unamortized premium	449,797	521,626
Unamortized discount	(3,241,622)	(3,362,618)
Gross unrealized gains	251,237	341,656
Gross unrealized losses	(386,247)	(165,263)
Fair value	18,336,825	18,190,754
MBS and GSE CRT Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	18,495,706	17,974,390
Unamortized premium	449,797	521,626
Unamortized discount	(551,097)	(577,344)
Gross unrealized gains	243,555	336,543
Gross unrealized losses	(379,122)	(155,146)
Fair value	18,258,839	18,100,069
Interest-Only Securities
Debt Securities, Available-for-sale [Line Items]
Principal/ notional balance	2,767,954	2,880,963
Unamortized premium	0	0
Unamortized discount	(2,690,525)	(2,785,274)
Gross unrealized gains	7,682	5,113
Gross unrealized losses	(7,125)	(10,117)
Fair value	$ 77,986	$ 90,685

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, 2018	Dec. 31, 2017
Investments, Debt and Equity Securities [Abstract]
Less than one year	$ 135,685	$ 135,559
Greater than one year and less than five years	4,097,807	7,934,836
Greater than or equal to five years	14,103,333	10,120,359
Fair value	$ 18,336,825	$ 18,190,754

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, 2018USD ($)security	Dec. 31, 2017USD ($)security
Fair Value
Less than 12 Months	$ 10,637,180	$ 5,556,381
12 Months or More	3,722,301	4,200,600
Total	14,359,481	9,756,981
Unrealized Losses
Less than 12 Months	(208,013)	(54,896)
12 Months or More	(178,234)	(110,367)
Total	$ (386,247)	$ (165,263)
Number of Securities
Less than 12 Months (in securities) | security	558	358
12 Months or More (in securities) | security	252	264
Total (in securities) | security	810	622
15 year fixed-rate
Fair Value
Less than 12 Months	$ 442,294	$ 111,020
12 Months or More	13,153	2,406,021
Total	455,447	2,517,041
Unrealized Losses
Less than 12 Months	(4,202)	(321)
12 Months or More	(311)	(67,285)
Total	$ (4,513)	$ (67,606)
Number of Securities
Less than 12 Months (in securities) | security	75	26
12 Months or More (in securities) | security	23	133
Total (in securities) | security	98	159
30 year fixed-rate
Fair Value
Less than 12 Months	$ 7,109,826	$ 3,677,576
12 Months or More	2,538,629	963,547
Total	9,648,455	4,641,123
Unrealized Losses
Less than 12 Months	(156,950)	(20,730)
12 Months or More	(134,979)	(27,158)
Total	$ (291,929)	$ (47,888)
Number of Securities
Less than 12 Months (in securities) | security	248	107
12 Months or More (in securities) | security	84	56
Total (in securities) | security	332	163
ARM
Fair Value
Less than 12 Months	$ 76,597	$ 101,173
12 Months or More	45,981	0
Total	122,578	101,173
Unrealized Losses
Less than 12 Months	(688)	(902)
12 Months or More	(1,197)	0
Total	$ (1,885)	$ (902)
Number of Securities
Less than 12 Months (in securities) | security	6	12
12 Months or More (in securities) | security	9	0
Total (in securities) | security	15	12
Hybrid ARM
Fair Value
Less than 12 Months	$ 491,065	$ 614,321
12 Months or More	459,728	517,642
Total	950,793	1,131,963
Unrealized Losses
Less than 12 Months	(8,070)	(4,189)
12 Months or More	(13,770)	(8,091)
Total	$ (21,840)	$ (12,280)
Number of Securities
Less than 12 Months (in securities) | security	52	73
12 Months or More (in securities) | security	66	47
Total (in securities) | security	118	120
Agency RMBS
Fair Value
Less than 12 Months	$ 8,119,782	$ 4,504,090
12 Months or More	3,057,491	3,887,210
Total	11,177,273	8,391,300
Unrealized Losses
Less than 12 Months	(169,910)	(26,142)
12 Months or More	(150,257)	(102,534)
Total	$ (320,167)	$ (128,676)
Number of Securities
Less than 12 Months (in securities) | security	381	218
12 Months or More (in securities) | security	182	236
Total (in securities) | security	563	454
Fair value option, fair value	$ 8,700,000	$ 3,400,000
Fair value option, unrealized losses	250,200	22,800
Agency-CMO
Fair Value
Less than 12 Months	116,495	75,299
12 Months or More	93,933	81,988
Total	210,428	157,287
Unrealized Losses
Less than 12 Months	(7,696)	(10,433)
12 Months or More	(8,179)	(2,309)
Total	$ (15,875)	$ (12,742)
Number of Securities
Less than 12 Months (in securities) | security	31	44
12 Months or More (in securities) | security	20	5
Total (in securities) | security	51	49
Agency IO
Number of Securities
Fair value option, fair value	$ 22,600	$ 36,500
Fair value option, unrealized losses	6,800	10,100
Agency-CMO
Number of Securities
Fair value option, fair value	17,400	9,500
Fair value option, unrealized losses	1,200	88
Agency CMBS
Fair Value
Less than 12 Months	584,688
12 Months or More	0
Total	584,688
Unrealized Losses
Less than 12 Months	(6,259)
12 Months or More	0
Total	$ (6,259)
Number of Securities
Less than 12 Months (in securities) | security	12
12 Months or More (in securities) | security	0
Total (in securities) | security	12
Non-Agency CMBS
Fair Value
Less than 12 Months	$ 1,569,147	892,553
12 Months or More	513,211	135,139
Total	2,082,358	1,027,692
Unrealized Losses
Less than 12 Months	(21,167)	(17,612)
12 Months or More	(19,198)	(3,792)
Total	$ (40,365)	$ (21,404)
Number of Securities
Less than 12 Months (in securities) | security	108	81
12 Months or More (in securities) | security	39	12
Total (in securities) | security	147	93
Fair value option, fair value	$ 652,500	$ 596,000
Fair value option, unrealized losses	13,800	8,900
Non-Agency RMBS
Fair Value
Less than 12 Months	247,068	84,439
12 Months or More	57,666	96,263
Total	304,734	180,702
Unrealized Losses
Less than 12 Months	(2,981)	(709)
12 Months or More	(600)	(1,732)
Total	$ (3,581)	$ (2,441)
Number of Securities
Less than 12 Months (in securities) | security	26	15
12 Months or More (in securities) | security	11	11
Total (in securities) | security	37	26
Fair value option, fair value	$ 115,100
Fair value option, unrealized losses	1,100
Non-Agency IO
Number of Securities
Fair value option, fair value	8,400	$ 530
Fair value option, unrealized losses	$ 368	$ 39

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, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 737	$ 4,959	$ 7,185	$ 9,589
RMBS interest-only securities
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	702	4,959	7,100	8,835
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Other-than-temporary credit impairment losses	$ 35	$ 0	$ 85	$ 754

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, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Debt Securities, Available-for-sale [Line Items]
Gross realized gains on sale of investments	$ 739	$ 0	$ 774	$ 2,208
Gross realized losses on sale of investments	(141,454)	(7)	(162,251)	(3,873)
Other-than-temporary impairment losses	(737)	(4,959)	(7,185)	(9,589)
Net unrealized gains and losses on trading securities	(4)	2	(21)	25
Total gain (loss) on investments, net	(207,910)	(11,873)	(404,657)	(2,551)
MBS
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	(66,831)	(5,301)	(236,967)	(1,188)
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Net unrealized gains and losses on securities accounted for under the fair value option	$ 377	$ (1,608)	$ 993	$ 9,866

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, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	$ 175,696	$ 156,635	$ 506,180	$ 449,971
Net (Premium Amortization)/Discount Accretion	(15,280)	(22,497)	(49,213)	(75,933)
Interest Income	160,416	134,138	456,967	374,038
Agency RMBS and CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	115,829	99,748	329,576	282,958
Net (Premium Amortization)/Discount Accretion	(20,850)	(26,155)	(66,347)	(82,508)
Interest Income	94,979	73,593	263,229	200,450
Non-Agency CMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	37,938	33,613	113,332	94,795
Net (Premium Amortization)/Discount Accretion	1,470	(591)	4,091	(5,077)
Interest Income	39,408	33,022	117,423	89,718
Non-Agency RMBS
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	14,106	17,109	41,313	55,854
Net (Premium Amortization)/Discount Accretion	4,831	4,846	15,167	12,967
Interest Income	18,937	21,955	56,480	68,821
GSE CRT
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	7,513	6,021	21,218	16,064
Net (Premium Amortization)/Discount Accretion	(731)	(597)	(2,124)	(1,315)
Interest Income	6,782	5,424	19,094	14,749
Other
Debt Securities, Available-for-sale [Line Items]
Coupon Interest	310	144	741	300
Net (Premium Amortization)/Discount Accretion	0	0	0	0
Interest Income	$ 310	$ 144	$ 741	$ 300

Commercial Loans Held-for-Inv_3

Commercial Loans Held-for-Investment (Details)	9 Months Ended	12 Months Ended
	Sep. 30, 2018USD ($)loan	Dec. 31, 2017USD ($)loan
Accounts, Notes, Loans and Financing Receivable
Carrying value	$ 31,707,000	$ 191,808,000
Commercial Portfolio Segment
Accounts, Notes, Loans and Financing Receivable
Allowance for loan losses	$ 0	$ 0
Commercial Portfolio Segment | Mezzanine Loans
Accounts, Notes, Loans and Financing Receivable
Number of loans | loan	2	8
Principal Balance	$ 31,707,000	$ 191,894,000
Unamortized (fees)/ costs, net	0	(86,000)
Carrying value	$ 31,707,000	$ 191,808,000
Weighted Average Coupon	10.44%	8.52%
Weighted Average Years to Maturity	2 years	1 year 2 months

Other Assets - Schedule of Othe

Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]
FHLBI stock	$ 74,250	$ 74,250
Loan participation interest	45,058	0
Investments in unconsolidated ventures	24,217	25,972
Investment in exchange-traded fund	0	3,979
Prepaid expenses and other assets	1,490	1,379
Total	$ 145,015	$ 105,580

Other Assets - Additional Infor

Other Assets - Additional Information (Details)	1 Months Ended
	Aug. 31, 2018
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, term	2 years
Secured loan collateralized by mortgage servicing rights
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, term	2 years
Loans receivable, renewal option, term	1 year
Participation interest in a secured loan collateralized by mortgage servicing rights | LIBOR
Loans and Leases Receivable Disclosure [Line Items]
Loans receivable, basis spread on variable rate	5.97%

Borrowings - Schedule of Borrow

Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018	Dec. 31, 2017
Repurchase Agreements:
Amount outstanding	$ 14,378,518	$ 14,080,801
Weighted average interest rate	2.52%	1.82%
Weighted average remaining maturity	40 days	25 days
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Total Borrowings
Carrying value of exchangeable senior notes	0	143,231
Secured Debt, Excluding Asset-Backed Securities
Total Borrowings
Amount outstanding	$ 16,028,518	$ 15,874,211
Weighted average interest rate	2.50%	1.82%
Weighted average remaining maturity	246 days	263 days
Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 10,693,221	$ 11,111,755
Weighted average interest rate	2.29%	1.58%
Weighted average remaining maturity	42 days	25 days
Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 559,258
Weighted average interest rate	2.28%
Weighted average remaining maturity	61 days
Non-Agency CMBS
Repurchase Agreements:
Amount outstanding	$ 1,525,347	$ 1,396,330
Weighted average interest rate	3.31%	2.61%
Weighted average remaining maturity	20 days	9 days
Non-Agency RMBS
Repurchase Agreements:
Amount outstanding	$ 876,406	$ 915,225
Weighted average interest rate	3.36%	2.77%
Weighted average remaining maturity	26 days	31 days
GSE CRT
Repurchase Agreements:
Amount outstanding	$ 690,493	$ 657,491
Weighted average interest rate	3.30%	2.78%
Weighted average remaining maturity	23 days	24 days
Loan participation interest
Repurchase Agreements:
Amount outstanding	$ 33,793
Weighted average interest rate	3.93%
Weighted average remaining maturity	697 days
Secured Loans
Secured Loans
Amount outstanding	$ 1,650,000	$ 1,650,000
Weighted average interest rate	2.38%	1.52%
Weighted average remaining maturity	2044 days	2317 days
Exchangeable Senior Notes
Exchangeable Senior Notes
Amount outstanding		$ 143,410
Weighted average interest rate		5.00%
Weighted average remaining maturity		74 days
Total Borrowings
Debt issuance costs		$ 179

Borrowings - Schedule of Maturi

Borrowings - Schedule of Maturities (Details) $ in Thousands	Sep. 30, 2018USD ($)
Debt Disclosure [Abstract]
10/1/2018 - 9/30/2019	$ 14,344,725
10/1/2019 - 9/30/2020	333,793
10/1/2020 - 9/30/2021	100,000
10/1/2021 - 9/30/2022	0
10/1/2022 - 9/30/2023	0
Thereafter	1,250,000
Total	$ 16,028,518

Borrowings - Repurchase Agreeme

Borrowings - Repurchase Agreements (Detail) $ in Thousands	9 Months Ended	12 Months Ended
	Sep. 30, 2018USD ($)Counterparty	Dec. 31, 2017USD ($)Counterparty
Repurchase Agreement Counterparty
Amount Outstanding	$ 14,378,518	$ 14,080,801
MBS and GSE CRTs Collateral Pledged	15,883,156	15,523,415
Advances from Federal Home Loan Banks	1,650,000	1,650,000
Secured Loans Counterparty, Collateral Pledged	1,898,258	1,927,496
Total, Amount Outstanding	$ 16,028,518	$ 15,730,801
Total, Percentage of Total Amount Outstanding	100.00%	100.00%
MBS and GSE CRTs Collateral Pledged	$ 17,781,414	$ 17,450,911
Number of counterparties | Counterparty	9	7
Repurchase Agreement Counterparties [Member]
Repurchase Agreement Counterparty
Amount Outstanding	$ 14,378,518	$ 14,080,801
Percent of Total Amount Outstanding	89.70%	89.50%
MBS and GSE CRTs Collateral Pledged	$ 15,883,156	$ 15,523,415
HSBC
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,516,849	$ 1,745,684
Percent of Total Amount Outstanding	9.50%	11.20%
MBS and GSE CRTs Collateral Pledged	$ 1,615,248	$ 1,839,411
Mirae Asset Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,461,790	$ 958,756
Percent of Total Amount Outstanding	9.10%	6.10%
MBS and GSE CRTs Collateral Pledged	$ 1,544,998	$ 1,018,664
ING Financial Market
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,421,007	$ 1,482,603
Percent of Total Amount Outstanding	8.90%	9.40%
MBS and GSE CRTs Collateral Pledged	$ 1,519,860	$ 1,571,061
E D & F Man Capital Markets
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,229,333	$ 1,028,437
Percent of Total Amount Outstanding	7.70%	6.50%
MBS and GSE CRTs Collateral Pledged	$ 1,300,892	$ 1,085,429
Royal Bank of Canada
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,162,208	$ 1,144,856
Percent of Total Amount Outstanding	7.10%	7.30%
MBS and GSE CRTs Collateral Pledged	$ 1,374,230	$ 1,375,285
Industrial and Commercial Bank of China
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,069,894	$ 1,038,844
Percent of Total Amount Outstanding	6.70%	6.60%
MBS and GSE CRTs Collateral Pledged	$ 1,141,135	$ 1,102,543
South Street Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 740,686	$ 332,623
Percent of Total Amount Outstanding	4.60%	2.10%
MBS and GSE CRTs Collateral Pledged	$ 780,219	$ 354,689
Citigroup
Repurchase Agreement Counterparty
Amount Outstanding	$ 737,250	$ 724,094
Percent of Total Amount Outstanding	4.60%	4.60%
MBS and GSE CRTs Collateral Pledged	$ 859,223	$ 841,977
KGS-Alpha Capital Markets
Repurchase Agreement Counterparty
Amount Outstanding		$ 461,098
Percent of Total Amount Outstanding		2.90%
MBS and GSE CRTs Collateral Pledged		$ 491,313
MUFJ Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 520,086
Percent of Total Amount Outstanding	3.20%
MBS and GSE CRTs Collateral Pledged	$ 581,079
MUFG Securities
Repurchase Agreement Counterparty
Amount Outstanding		$ 865,201
Percent of Total Amount Outstanding		5.50%
MBS and GSE CRTs Collateral Pledged		$ 936,071
Amherst Pierpont Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 476,763	$ 722,080
Percent of Total Amount Outstanding	3.00%	4.60%
MBS and GSE CRTs Collateral Pledged	$ 511,652	$ 764,713
Federal Home Loan Mortgage Corp
Repurchase Agreement Counterparty
Amount Outstanding	$ 448,893
Percent of Total Amount Outstanding	2.80%
MBS and GSE CRTs Collateral Pledged	$ 476,023
Societe Generale
Repurchase Agreement Counterparty
Amount Outstanding	$ 403,911	$ 386,737
Percent of Total Amount Outstanding	2.50%	2.50%
MBS and GSE CRTs Collateral Pledged	$ 506,541	$ 495,093
JP Morgan
Repurchase Agreement Counterparty
Amount Outstanding	$ 342,608	$ 451,941
Percent of Total Amount Outstanding	2.10%	2.90%
MBS and GSE CRTs Collateral Pledged	$ 408,518	$ 523,590
Wells Fargo Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 318,432
Percent of Total Amount Outstanding	2.00%
MBS and GSE CRTs Collateral Pledged	$ 364,723
Goldman Sachs
Repurchase Agreement Counterparty
Amount Outstanding	$ 316,714	$ 324,152
Percent of Total Amount Outstanding	2.00%	2.10%
MBS and GSE CRTs Collateral Pledged	$ 413,391	$ 419,713
BNP Paribas Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 268,540	$ 348,340
Percent of Total Amount Outstanding	1.70%	2.20%
MBS and GSE CRTs Collateral Pledged	$ 304,177	$ 388,091
Guggenheim Liquidity Services
Repurchase Agreement Counterparty
Amount Outstanding	$ 260,650	$ 306,081
Percent of Total Amount Outstanding	1.60%	1.90%
MBS and GSE CRTs Collateral Pledged	$ 278,794	$ 322,452
Mizuho Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 258,112	$ 310,835
Percent of Total Amount Outstanding	1.60%	2.00%
MBS and GSE CRTs Collateral Pledged	$ 281,012	$ 330,555
Scotia Capital
Repurchase Agreement Counterparty
Amount Outstanding	$ 204,958
Percent of Total Amount Outstanding	1.30%
MBS and GSE CRTs Collateral Pledged	$ 213,515
Natixis Securities
Repurchase Agreement Counterparty
Amount Outstanding	$ 201,715	$ 275,764
Percent of Total Amount Outstanding	1.30%	1.80%
MBS and GSE CRTs Collateral Pledged	$ 235,189	$ 302,291
Bank of Nova Scotia
Repurchase Agreement Counterparty
Amount Outstanding		$ 289,705
Percent of Total Amount Outstanding		1.80%
MBS and GSE CRTs Collateral Pledged		$ 301,715
All other counterparties
Repurchase Agreement Counterparty
Amount Outstanding	$ 1,018,119	$ 882,970
Percent of Total Amount Outstanding	6.40%	5.50%
MBS and GSE CRTs Collateral Pledged	$ 1,172,737	$ 1,058,759
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks	$ 1,650,000	$ 1,650,000
Secured Loans Counterparty, Percentage of Total Amount Outstanding	10.30%	10.50%
Secured Loans Counterparty, Collateral Pledged	$ 1,898,258	$ 1,927,496

Borrowings - Additional Informa

Borrowings - Additional Information (Detail) - USD ($)	3 Months Ended		9 Months Ended		12 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017	Dec. 31, 2013
Repurchase Agreement Counterparty
Collateral ratio			110.00%		110.00%
Advances from Federal Home Loan Banks	$ 1,650,000,000		$ 1,650,000,000		$ 1,650,000,000
Payment for debt retirement			143,433,000	$ 247,454,000
Net loss on extinguishment of debt	0	$ (1,344,000)	$ (26,000)	(6,581,000)
Minimum
Repurchase Agreement Counterparty
Repurchase obligation maturity			1 month
Maximum
Repurchase Agreement Counterparty
Repurchase obligation maturity			12 months
FHLBI
Repurchase Agreement Counterparty
Advances from Federal Home Loan Banks	$ 1,650,000,000		$ 1,650,000,000
Average outstanding borrowings from FHLBI			$ 1,650,000,000
FHLBI weighted average interest rate on advances			2.01%
Weighted average maturity (in years)			5 years 7 months
Exchangeable Senior Notes
Repurchase Agreement Counterparty
Debt principal amount						$ 400,000,000
Debt retired amount		(60,900,000)	$ (143,400,000)	(242,200,000)
Payment for debt retirement		62,100,000	$ 143,400,000	$ 247,500,000
Net loss on extinguishment of debt		$ (209,000)
Accrued interest payable					$ 2,100,000

Collateral Positions (Details)

Collateral Positions (Details) - USD ($)	Sep. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Repurchase agreements collateral pledged	$ 15,883,156,000	$ 15,523,415,000
Securities loaned collateral pledged	1,898,258,000	1,927,496,000
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	186,300,000	109,900,000
Total collateral pledged	17,994,440,000	17,561,431,000
Cash	47,687,000	7,327,000
Total collateral held	47,687,000	7,327,000
Investment related receivable pledged securities	449,289,000	0
Cash
Derivative [Line Items]
Total collateral pledged	26,680,000	620,000
Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	213,026,000	110,520,000
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Cash
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	26,680,000	620,000
Agency RMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	11,425,714,000	11,788,765,000
Securities loaned collateral pledged	636,506,000	623,181,000
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts
Derivative [Line Items]
Interest rate swaps, futures contracts and currency forward contracts collateral pledged	186,346,000	109,900,000
Agency CMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	584,688,000	0
Non-Agency CMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	1,908,538,000	853,446,000
Securities loaned collateral pledged	1,261,752,000	1,304,315,000
Non-Agency RMBS
Derivative [Line Items]
Repurchase agreements collateral pledged	1,076,961,000	1,737,831,000
GSE CRT
Derivative [Line Items]
Repurchase agreements collateral pledged	842,197,000	1,143,373,000
Loan participation interest
Derivative [Line Items]
Repurchase agreements collateral pledged	45,058,000	0
Total collateral pledged	45,058,000	0
Mortgage-backed and credit risk transfer securities
Derivative [Line Items]
Total collateral pledged	$ 17,922,702,000	$ 17,560,811,000

Derivatives and Hedging Activ_3

Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail)	9 Months Ended
	Sep. 30, 2018USD ($)
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	$ 9,250,352,000
Additions	5,374,978,000
Settlement, Termination, Expiration or Exercise	(2,741,872,000)
Notional Amount as of September 30, 2018	11,883,458,000
Interest Rate Swaps
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	8,620,000,000
Additions	2,700,000,000
Settlement, Termination, Expiration or Exercise	(1,450,000,000)
Notional Amount as of September 30, 2018	9,870,000,000
Interest Rate Swaps with Forward Start Dates
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	500,000,000
Notional Amount as of September 30, 2018	1,400,000,000
Futures Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	0
Additions	2,489,400,000
Settlement, Termination, Expiration or Exercise	(1,040,000,000)
Notional Amount as of September 30, 2018	1,449,400,000
Currency Forward Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	76,859,000
Additions	185,578,000
Settlement, Termination, Expiration or Exercise	(233,613,000)
Notional Amount as of September 30, 2018	28,824,000
Credit Derivatives
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	553,493,000
Additions	0
Settlement, Termination, Expiration or Exercise	(18,259,000)
Notional Amount as of September 30, 2018	535,234,000
TBA Purchase Contracts
Derivative Interest Rate Swaptions
Additions	283,100,000
Settlement, Termination, Expiration or Exercise	(283,100,000)
Notional Amount as of September 30, 2018	0
TBA Sale Contracts
Derivative Interest Rate Swaptions
Notional Amount as of December 31, 2017	0
Additions	(283,100,000)
Settlement, Termination, Expiration or Exercise	283,100,000
Notional Amount as of September 30, 2018	$ 0

Derivatives and Hedging Activ_4

Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Decrease (increase) to interest expense	$ 6,400	$ 6,400	$ 19,900	$ 19,100
Amount reclassified to interest expenses within Next 12 months	23,700		23,700
Unrealized gain on discontinued cash flow hedges included in AOCI	2,461,204		2,461,204		$ 2,630,491
Notional amount	11,883,458		11,883,458		9,250,352
Derivative Liabilities	8,299		8,299		22,445
Cash margin deposits	26,700		26,700		620
Derivative and hedging attributable to Parent
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Unrealized gain on discontinued cash flow hedges included in AOCI	104,300		104,300		123,900
Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	28,824		28,824		76,859
Derivative Liabilities	95		95		1,217
Pound Sterling | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount					49,700
Euro | Currency Forward Contracts
Derivative Instruments and Hedging Activities Disclosures [Line Items]
Notional amount	$ 28,800		$ 28,800		$ 27,200

Derivatives and Hedging Activ_5

Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($)	Sep. 30, 2018	Dec. 31, 2017
Interest Rate Derivatives Outstanding
Notional amount	$ 11,883,458,000	$ 9,250,352,000
Interest Rate Swaps
Interest Rate Derivatives Outstanding
Notional amount	$ 9,870,000,000	8,620,000,000
Fixed Interest Rate in Contract	2.39495%
Interest Rate Swaps | LCH Central Clearing 2.69%
Interest Rate Derivatives Outstanding
Notional amount	$ 400,000,000
Fixed Interest Rate in Contract	2.686%
Interest Rate Swaps | CME Central Clearing 2.79%
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.7905%
Interest Rate Swaps | CME Central Clearing 2.72%
Interest Rate Derivatives Outstanding
Notional amount	$ 400,000,000
Fixed Interest Rate in Contract	2.7195%
Interest Rate Swaps | CME Central Clearing 2.69%
Interest Rate Derivatives Outstanding
Notional amount	$ 300,000,000
Fixed Interest Rate in Contract	2.691%
Interest Rate Swaps | CME Central Clearing 2.50%
Interest Rate Derivatives Outstanding
Notional amount	$ 300,000,000
Fixed Interest Rate in Contract	2.496%
Interest Rate Swaps | CME Central Clearing 2.25%
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	2.249%
Interest Rate Swaps | Citibank, N.A.
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.83%
Interest Rate Swaps | CME Central Clearing 2.44%
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	2.439%
Interest Rate Swaps | HSBC Bank USA, National Association 2.45%
Interest Rate Derivatives Outstanding
Notional amount	$ 550,000,000
Fixed Interest Rate in Contract	2.45%
Interest Rate Swaps | CME Central Clearing 2.21%
Interest Rate Derivatives Outstanding
Notional amount	$ 1,000,000,000
Fixed Interest Rate in Contract	2.213%
Interest Rate Swaps | CME Central Clearing 1.87%
Interest Rate Derivatives Outstanding
Notional amount	$ 1,000,000,000
Fixed Interest Rate in Contract	1.8665%
Interest Rate Swaps | The Royal Bank of Scotland Plc
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	1.98375%
Interest Rate Swaps | CME Central Clearing 2.88%
Interest Rate Derivatives Outstanding
Notional amount	$ 600,000,000
Fixed Interest Rate in Contract	2.883%
Interest Rate Swaps | HSBC Bank USA, National Association 2.20%
Interest Rate Derivatives Outstanding
Notional amount	$ 500,000,000
Fixed Interest Rate in Contract	2.201%
Interest Rate Swaps | CME Central Clearing 2.10%
Interest Rate Derivatives Outstanding
Notional amount	$ 450,000,000
Fixed Interest Rate in Contract	2.0999%
Interest Rate Swaps | CME Central Clearing 2.15%
Interest Rate Derivatives Outstanding
Notional amount	$ 450,000,000
Fixed Interest Rate in Contract	2.1456%
Interest Rate Swaps | LCH Central Clearing 2.77%
Interest Rate Derivatives Outstanding
Notional amount	$ 1,000,000,000
Fixed Interest Rate in Contract	2.7735%
Interest Rate Swaps | CME Central Clearing 2.04%
Interest Rate Derivatives Outstanding
Notional amount	$ 100,000,000
Fixed Interest Rate in Contract	2.0375%
Interest Rate Swaps | LCH Central Clearing 2.12%
Interest Rate Derivatives Outstanding
Notional amount	$ 220,000,000
Fixed Interest Rate in Contract	2.1225%
Interest Rate Swaps | CME Central Clearing 2.78%
Interest Rate Derivatives Outstanding
Notional amount	$ 250,000,000
Fixed Interest Rate in Contract	2.778%
Interest Rate Swaps | CME Central Clearing 2.39%
Interest Rate Derivatives Outstanding
Notional amount	$ 250,000,000
Fixed Interest Rate in Contract	2.387%
Interest Rate Swaps | LCH Central Clearing 2.78%
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.7835%
Interest Rate Swaps with Forward Start Dates
Interest Rate Derivatives Outstanding
Notional amount	$ 1,400,000,000	$ 500,000,000
Fixed Interest Rate in Contract	2.88457%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing 2.64%
Interest Rate Derivatives Outstanding
Notional amount	$ 600,000,000
Fixed Interest Rate in Contract	2.6405%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing 2.74%
Interest Rate Derivatives Outstanding
Notional amount	$ 200,000,000
Fixed Interest Rate in Contract	2.741%
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing 3.18%
Interest Rate Derivatives Outstanding
Notional amount	$ 600,000,000
Fixed Interest Rate in Contract	3.1765%

Derivatives and Hedging Activ_6

Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Notional amount	$ 11,883,458	$ 9,250,352
GSE CRT | GSE CRT Embedded Derivatives
Derivative [Line Items]
Fair value amount	37,366	45,400
Notional amount	535,234	553,493
Maximum potential amount of future undiscounted payments	$ 535,234	$ 553,493

Derivatives and Hedging Activ_7

Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivatives, Fair Value
Derivative Assets	$ 46,214	$ 6,896
Derivative Liabilities	8,299	22,445
Interest Rate Swaps Asset
Derivatives, Fair Value
Derivative Assets	46,212	6,896
Currency Forward Contracts
Derivatives, Fair Value
Derivative Assets	2	0
Derivative Liabilities	95	1,217
Interest Rate Swaps Liability
Derivatives, Fair Value
Derivative Liabilities	5,683	31,548
Futures Contracts
Derivatives, Fair Value
Derivative Assets	$ 8,204	$ 0

Derivatives and Hedging Activ_8

Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Derivative Instruments, Gain (Loss)
Gain (loss) on derivative instruments, net	$ 87,672	$ 1,955	$ 288,208	$ (46,096)
Not Designated as Hedging Instrument
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	99,641	19,503	249,493	(5,808)
Contractual net interest expense	(2,763)	(17,453)	(19,386)	(60,313)
Unrealized gain (loss), net	(9,206)	(95)	58,101	20,025
Gain (loss) on derivative instruments, net	87,672	1,955	288,208	(46,096)
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	0	0	0	0
Contractual net interest expense	5,638	5,873	16,909	17,524
Unrealized gain (loss), net	(663)	(8,803)	(8,034)	20,904
Gain (loss) on derivative instruments, net	4,975	(2,930)	8,875	38,428
Not Designated as Hedging Instrument | Interest Rate Swaps
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	68,953	21,126	225,499	(1,392)
Contractual net interest expense	(2,763)	(17,453)	(19,386)	(60,313)
Unrealized gain (loss), net	(178)	144	65,181	21,069
Gain (loss) on derivative instruments, net	66,012	3,817	271,294	(40,636)
Not Designated as Hedging Instrument | Futures Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	27,136		22,499
Contractual net interest expense	0		0
Unrealized gain (loss), net	(5,548)		(8,204)
Gain (loss) on derivative instruments, net	21,588		14,295
Not Designated as Hedging Instrument | Currency Forward Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	3,569	(1,623)	1,512	(4,416)
Contractual net interest expense	0	0	0	0
Unrealized gain (loss), net	(3,480)	(239)	1,124	(1,044)
Gain (loss) on derivative instruments, net	89	$ (1,862)	$ 2,636	$ (5,460)
Not Designated as Hedging Instrument | TBA Sale Contracts
Derivative Instruments, Gain (Loss)
Realized gain (loss) on derivative instruments, net	(17)
Contractual net interest expense	0
Unrealized gain (loss), net	0
Gain (loss) on derivative instruments, net	$ (17)

Derivatives and Hedging Activ_9

Derivatives and Hedging Activities - Credit Risk Related Contingent Features (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative liability, net	$ (13,982)	$ (32,765)
Cash margin deposits	26,700	620
Central Clearing Counterparty
Derivative [Line Items]
Derivative liability, net	$ (5,700)	$ (10,300)

Offsetting Assets and Liabili_3

Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivative [Line Items]
Derivative liabilities, at fair value	$ (13,982)	$ (32,765)
Central Clearing Counterparty
Derivative [Line Items]
Derivative liabilities, at fair value	$ (5,700)	$ (10,300)

Offsetting Assets and Liabili_4

Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivatives Asset
Gross Amounts of Recognized Assets	$ 46,214	$ 6,896
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets	46,214	6,896
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(2)	0
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received	(46,089)	(6,896)
Net Amount	$ 123	$ 0

Offsetting Assets and Liabili_5

Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands	Sep. 30, 2018	Dec. 31, 2017
Derivatives Liability
Gross Amounts of Recognized Liabilities	$ 8,299	$ 22,445
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	8,299	22,445
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(2)	(21,169)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(8,297)	(620)
Net Amount	0	656
Repurchase Agreements
Gross Amounts of Recognized Liabilities	14,378,518	14,080,801
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	14,378,518	14,080,801
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(14,378,518)	(14,080,801)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Secured Loans
Gross Amounts of Recognized Liabilities	1,650,000	1,650,000
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	1,650,000	1,650,000
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(1,650,000)	(1,650,000)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	0	0
Net Amount	0	0
Total Borrowings
Gross Amounts of Recognized Liabilities	16,036,817	15,753,246
Gross Amounts Offset in the Condensed Consolidated Balance Sheets	0	0
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets	16,036,817	15,753,246
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments	(16,028,520)	(15,751,970)
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted	(8,297)	(620)
Net Amount	0	656
Interest rate swaps collateral pledged	186,300	109,900
Cash collateral posted by Company's derivative counterparties	47,687	7,327
Due from counterparties	26,700	620
Fair value of securities pledged under repurchase agreement	15,883,156	15,523,415
Collateral pledged against secured loans	1,898,258	1,927,496
IAS Services LLC
Total Borrowings
Collateral pledged against secured loans	1,900,000
Centrally Cleared Interest Rate Swaps
Total Borrowings
Interest rate swaps collateral pledged	$ 186,300	$ 86,200

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, 2018	Dec. 31, 2017
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	$ 18,336,825	$ 18,190,754
Derivative Assets	46,214	6,896
Derivative Liabilities	$ 8,299	$ 22,445
Weighted average remaining term of investments in unconsolidated ventures	2 years 5 months	1 year 11 months
Loan participation interest	$ 45,058	$ 0
Securities under Fair Value Option	11,233,044	6,468,379
GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	842,197	866,879
Securities under Fair Value Option	231,034	231,342
Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives in an asset position	37,366	45,400
Recurring
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	18,336,825	18,190,754
Derivative Assets	46,214	6,896
Other assets, at fair value	69,275	29,951
Total assets	18,452,314	18,227,601
Derivative Liabilities	13,982	32,765
Total liabilities	13,982	32,765
Recurring | Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	0	0
Derivative Assets	0	0
Other assets, at fair value	0	3,979
Total assets	0	3,979
Derivative Liabilities	8,204	0
Total liabilities	8,204	0
Recurring | Level 1 | Exchange-traded funds
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Securities under Fair Value Option		4,000
Recurring | Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	18,299,459	18,145,354
Derivative Assets	46,214	6,896
Other assets, at fair value	0	0
Total assets	18,345,673	18,152,250
Derivative Liabilities	5,778	32,765
Total liabilities	5,778	32,765
Recurring | Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,473,413 and $17,560,811, respectively)	37,366	45,400
Derivative Assets	0	0
Other assets, at fair value	45,058	0
Total assets	82,424	45,400
Derivative Liabilities	0	0
Total liabilities	0	0
Recurring | Level 3 | GSE CRT
Fair Value, Balance Sheet Grouping, Financial Statement Captions
Embedded derivatives at fair value	37,400	45,400
Embedded derivatives in an asset position	39,400	46,500
Embedded derivatives in a liability position	2,000	1,100
Recurring | NAV as a practical expedient
Fair Value, Balance Sheet Grouping, Financial Statement Captions
NAV as a practical expedient	$ 24,217	$ 25,972

Fair Value of Financial Instr_4

Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward]
Beginning balance	$ 38,029	$ 46,802	$ 45,400	$ 17,095
Unrealized credit derivative gains (losses), net	(663)	(8,803)	(8,034)	20,904
Ending balance	$ 37,366	$ 37,999	$ 37,366	$ 37,999

Fair Value of Financial Instr_5

Fair Value of Financial Instruments - Loan participation interest Level 3 Roll Forward (Details) - Loan participation interest - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning balance	$ 0	$ 0	$ 0	$ 0
Purchases	45,058	0	45,058	0
Ending balance	$ 45,058	$ 0	$ 45,058	$ 0

Fair Value of Financial Instr_6

Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Level 3 $ in Thousands	Sep. 30, 2018USD ($)year	Dec. 31, 2017USD ($)year
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives | $	$ 37,366	$ 45,400
Measurement Input, Expected Term | Minimum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	2.9	2.6
Measurement Input, Expected Term | Maximum
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	6.2	6.8
Measurement Input, Expected Term | Weighted Average
Fair Value Inputs, Assets, Quantitative Information
GSE CRT Embedded Derivatives, measurement input	4.4	4.8

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, 2018	Dec. 31, 2017
Carrying Value
Financial Assets
Other assets	$ 74,250	$ 74,250
Total	105,957	266,058
Financial Liabilities
Repurchase agreements	14,378,518	14,080,801
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	0	143,231
Total	16,028,518	15,874,032
Carrying Value | Commercial loans, held-for-investment
Financial Assets
Commercial loans, held-for-investment	31,707	191,808
Estimated Fair Value
Financial Assets
Other assets	74,250	74,250
Total	105,364	266,180
Financial Liabilities
Repurchase agreements	14,377,381	14,080,460
Secured loans	1,650,000	1,650,000
Exchangeable senior notes	0	143,948
Total	16,027,381	15,874,408
Estimated Fair Value | Commercial loans, held-for-investment
Financial Assets
Commercial loans, held-for-investment	$ 31,114	$ 191,930

Related Party Transactions - Ad

Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017	Dec. 31, 2017
Related Party Transaction [Line Items]
Management fee – related party	$ 10,105	$ 9,557	$ 30,428	$ 27,385
Investment in money market or mutual funds managed by affiliates of a related party	108,223		$ 108,223		$ 88,381
Manager
Related Party Transaction [Line Items]
Management fee as percentage of stockholders' equity per annum			1.50%
Termination fee multiplier			3
Termination fees assessment period			24 months
Invesco Advisers, Inc. | Affiliated Entity
Related Party Transaction [Line Items]
Management fee – related party	168	$ 202	$ 599	$ 589
Investment in money market or mutual funds managed by affiliates of a related party	$ 41,200		$ 41,200		$ 74,400

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, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 2,133	$ 2,378	$ 5,092	$ 5,172
Incurred costs, prepaid or expensed
Related Party Transaction [Line Items]
Amounts of transaction with related party	2,133	2,378	4,925	5,172
Incurred costs, charged against equity as a cost of raising capital
Related Party Transaction [Line Items]
Amounts of transaction with related party	$ 0	$ 0	$ 167	$ 0

Stockholders' Equity - Addition

Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands	1 Months Ended		2 Months Ended	3 Months Ended		9 Months Ended
	Dec. 31, 2017	Aug. 31, 2017	Sep. 27, 2017	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017	Sep. 28, 2017
Class of Stock [Line Items]
Equity distribution agreement, authorized (in shares)	17,000,000
Common Stock
Class of Stock [Line Items]
Remaining number of shares authorized to be repurchased (in shares)				18,239,082		18,239,082
Preferred Stock
Class of Stock [Line Items]
Preferred stock, redemption price per share (dollars per share)				$ 25		$ 25
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 C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend rate		7.50%
Preferred stock, liquidation preference (dollars per share)		$ 25
Preferred stock, dividends per annum (dollars per share)			$ 1.875
Proceeds from issuance of preferred stock, net of offering costs		11,500,000
LIBOR | Series B Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend variable rate spread				5.18%		5.18%
LIBOR | Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend variable rate spread								5.289%
Incentive Plan
Class of Stock [Line Items]
Number of shares of common stock remain available for future issuance (in shares)				769,181		769,181
Total unrecognized compensation cost				$ 131		$ 131
Share-based compensation cost not yet recognized, period for recognition						42 months
Weighted average remaining vesting period						16 months
Incentive Plan | Common Stock
Class of Stock [Line Items]
Common stock options reserved for issuance (in shares)				1,000,000		1,000,000
Compensation expense recognized				$ 107	$ 129	$ 306	$ 326
Restricted stock issued (in shares)				6,620	6,650	20,262	17,398
Incentive Plan | Common Stock | Employee
Class of Stock [Line Items]
Compensation expense recognized				$ 71	$ 33	$ 115	$ 99

Shareholders' Equity - Restrict

Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares	3 Months Ended	9 Months Ended
	Sep. 30, 2018	Sep. 30, 2018
Restricted Stock Units
Unvested at the beginning of the period (in shares)	19,185	19,827
Shares granted during the period (in shares)	0	7,055
Shares forfeited during the period (in shares)	(3,967)	(3,967)
Shares vested during the period (in shares)	(4,167)	(11,864)
Unvested at the end of the period (in shares)	11,051	11,051
Weighted Average Grant Date Fair Value
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share)	$ 14.56	$ 14.35
Granted, Weighted Average Grant Date Fair Value (usd per share)	0	15.37
Forfeitures, Weighted Average Grant Date Fair Value (usd per share)	14.56	14.56
Vested, Weighted Average Grant Date Fair Value (usd per share)	14.62	14.71
Weighted Average Grant Date Fair Value, at the end of the period (usd per share)	$ 14.55	$ 14.55

Stockholders' Equity - Componen

Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	$ (40,554)	$ 19,089	$ (220,800)	$ 75,011
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	134,280	7	153,406	1,508
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,422)	(6,438)	(19,859)	(19,105)
Currency translation adjustments on investment in unconsolidated venture	(1,126)	807	(328)	331
Total other comprehensive income (loss)	86,178	13,465	(87,581)	57,745
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period			2,656,878
Total other comprehensive income/(loss)	86,178	13,465	(87,581)	57,745
Other comprehensive income/(loss) attributable to non-controlling interest	(1,086)	(170)	1,105	(728)
Rebalancing of ownership percentage of non-controlling interest		0		1
Balance at end of period	2,485,423		2,485,423
Equity method investments including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Currency translation adjustments on investment in unconsolidated venture	(1,126)	807	(328)	331
Total other comprehensive income (loss)	(1,126)	807	(328)	331
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income/(loss)	(1,126)	807	(328)	331
Other comprehensive income/(loss) attributable to non-controlling interest	13	(10)	4	(4)
Rebalancing of ownership percentage of non-controlling interest		0		0
Available-for-sale securities including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net	(40,554)	19,089	(220,800)	75,011
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net	134,280	7	153,406	1,508
Total other comprehensive income (loss)	93,726	19,096	(67,394)	76,519
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income/(loss)	93,726	19,096	(67,394)	76,519
Other comprehensive income/(loss) attributable to non-controlling interest	(1,181)	(241)	850	(965)
Rebalancing of ownership percentage of non-controlling interest		0		1
Derivative and hedging including portion attributable to noncontrolling interest
Accumulated Other Comprehensive Income (Loss) [Line Items]
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense	(6,422)	(6,438)	(19,859)	(19,105)
Total other comprehensive income (loss)	(6,422)	(6,438)	(19,859)	(19,105)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Total other comprehensive income/(loss)	(6,422)	(6,438)	(19,859)	(19,105)
Other comprehensive income/(loss) attributable to non-controlling interest	82	81	251	241
Rebalancing of ownership percentage of non-controlling interest		0		0
Equity method investments attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	1,736	(375)	947	95
Balance at end of period	623	422	623	422
Available-for-sale securities attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	(22,901)	201,158	136,188	144,458
Balance at end of period	69,644	220,013	69,644	220,013
Derivative and hedging attributable to Parent
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	110,626	136,608	123,894	149,115
Balance at end of period	104,286	130,251	104,286	130,251
Accumulated other comprehensive income
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total other comprehensive income (loss)			(86,476)
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward]
Balance at beginning of period	89,461	337,391	261,029	293,668
Total other comprehensive income/(loss)			(86,476)
Balance at end of period	$ 174,553	$ 350,686	$ 174,553	$ 350,686

Stockholders' Equity - Schedule

Stockholders' Equity - Schedule of Dividends Declared (Details) - $ / shares	3 Months Ended
	Sep. 30, 2018	Jun. 30, 2018	Mar. 31, 2018	Sep. 30, 2017	Jun. 30, 2017	Mar. 31, 2017
Class of Stock [Line Items]
Common stock dividend declared (dollars per share)	$ 0.42	$ 0.42	$ 0.42	$ 0.41	$ 0.40	$ 0.40
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
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
Series C Preferred Stock
Class of Stock [Line Items]
Preferred stock dividend declared (dollars per share)	$ 0.46875	$ 0.46875	$ 0.46875	$ 0.68229

Earnings per Common Share - Ear

Earnings per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Basic Earnings:
Net income (loss) available to common stockholders	$ (64,480)	$ 49,127	$ 56,999	$ 183,091
Effect of dilutive securities:
Income allocated to exchangeable senior notes	0	2,724	0	11,236
Income (loss) allocated to non-controlling interest	(681)	800	1,153	2,656
Dilutive net income (loss) available to stockholders	$ (65,161)	$ 52,651	$ 58,152	$ 196,983
Basic Earnings:
Shares available to common stockholders (in shares)	111,647,000	111,614,000	111,639,000	111,607,000
Effect of dilutive securities:
Restricted stock awards (in shares)	0	20,000	16,000	20,000
Non-controlling interest OP units (in shares)	1,425,000	1,425,000	1,425,000	1,425,000
Exchangeable senior notes (in shares)	0	8,166,000	0	11,226,000
Dilutive Shares (in shares)	113,072,000	121,225,000	113,080,000	124,278,000
Net income (loss) attributable to common stockholders
Basic (usd per share)	$ (0.58)	$ 0.44	$ 0.51	$ 1.64
Diluted (usd per share)	$ (0.58)	$ 0.43	$ 0.51	$ 1.59
Restricted Stock Units (RSUs)
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Number of shares excluded from diluted earnings per share calculation	14,766
Exchangeable Senior Notes
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items]
Number of shares excluded from diluted earnings per share calculation			1,583,503

Non-controlling Interest - Op_3

Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($)	Sep. 30, 2018	Dec. 31, 2017
Noncontrolling Interest
Non-controlling interest related to the outstanding of OP Units	1,425,000	1,425,000
Non-controlling interest in Operating Partnership	1.30%	1.30%
Non-controlling Interest
Noncontrolling Interest
Distribution payable	$ 598,500	$ 598,500

Non-controlling Interest - Op_4

Non-controlling Interest - Operating Partnership - Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests (Details) - Non-controlling Interest - USD ($) $ in Thousands	3 Months Ended		9 Months Ended
	Sep. 30, 2018	Sep. 30, 2017	Sep. 30, 2018	Sep. 30, 2017
Noncontrolling Interest
Net income (loss) allocated	$ (681)	$ 800	$ 1,153	$ 2,656
Distributions paid	$ 599	$ 570	$ 1,796	$ 1,710

Commitments and Contingencies (

Commitments and Contingencies (Details) - USD ($)	1 Months Ended
	Aug. 31, 2018	Sep. 30, 2018	Dec. 31, 2017
Loans and Leases Receivable Disclosure [Line Items]
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate		$ 10,100,000	$ 10,200,000
Loans receivable, term	2 years
Commercial Portfolio Segment
Loans and Leases Receivable Disclosure [Line Items]
Unfunded commitment		0	$ 4,800,000
Loan participation interest
Loans and Leases Receivable Disclosure [Line Items]
Unfunded commitment		$ 29,900,000